| Investments |
NOTE 3 –
INVESTMENTS
Short-Term
Investments
The Funds may purchase U.S.
Treasury Bills, agency securities, and other high-credit quality
short-term fixed income or similar securities with original
maturities of one year or less. A portion of these investments may
be posted as collateral in connection with swap agreements and/or
used as collateral for a Fund’s trading in futures and
forward contracts.
Accounting for
Derivative Instruments
In seeking to achieve each
Fund’s investment objective, the Sponsor uses a mathematical
approach to investing. Using this approach, the Sponsor determines
the type, quantity and mix of investment positions, including
derivative positions, which the Sponsor believes in combination,
should produce returns consistent with a Fund’s
objective.
All open derivative
positions at period-end for each Fund are disclosed in the Schedule
of Investments and the notional value of these open positions
relative to the shareholders’ equity of each Fund is
generally representative of the notional value of open positions to
shareholders’ equity throughout the reporting period for each
respective Fund. The volume associated with derivative positions
varies on a daily basis as each Fund transacts derivative contracts
in order to achieve the appropriate exposure, as expressed in
notional value, in comparison to shareholders’ equity
consistent with each Fund’s investment objective.
Following is a description
of the derivative instruments used by the Funds during the
reporting period, including the primary underlying risk exposures
related to each instrument type.
Futures
Contracts
The Funds enter into
futures contracts to gain exposure to changes in the value of, or
as a substitute for investing directly in (or shorting), an
underlying index, currency or commodity. A futures contract
obligates the seller to deliver (and the purchaser to accept) the
future delivery of a specified quantity and type of asset at a
specified time and place. The contractual obligations of a buyer or
seller may generally be satisfied by taking or making physical
delivery of the underlying commodity, if applicable, or by making
an offsetting sale or purchase of an identical futures contract on
the same or linked exchange before the designated date of delivery,
or by cash settlement at expiration of contract.
Upon entering into a
futures contract, each Fund is required to deposit and maintain as
collateral at least such initial margin as required by the exchange
on which the transaction is effected. The initial margin is
segregated as cash balances with brokers for futures contracts, as
disclosed in the Statements of Financial Condition, and is
restricted as to its use. The Funds that enter into futures
contracts maintain collateral at the broker in the form of cash.
Pursuant to the futures contract, each Fund generally agrees to
receive from or pay to the broker(s) an amount of cash equal to the
daily fluctuation in value of the futures contract. Such receipts
or payments are known as variation margin and are recorded by each
Fund as unrealized gains or losses. Each Fund will realize a gain
or loss upon closing of a futures transaction.
Futures contracts involve,
to varying degrees, elements of market risk (specifically commodity
price risk or equity market volatility risk) and exposure to loss
in excess of the amount of variation margin. The face or contract
amounts reflect the extent of the total exposure each Fund has in
the particular classes of instruments. Additional risks associated
with the use of futures contracts are imperfect correlation between
movements in the price of the futures contracts and the market
value of the underlying index or commodity and the possibility of
an illiquid market for a futures contract. With futures contracts,
there is minimal but some counterparty risk to the Funds since
futures contracts are exchange-traded and the exchange’s
clearinghouse, as counterparty to all exchange-traded futures
contracts, guarantees the futures contracts against default. Many
futures exchanges and boards of trade limit the amount of
fluctuation permitted in futures contract prices during a single
trading day. Once the daily limit has been reached in a particular
contract, no trades may be made that day at a price beyond that
limit or trading may be suspended for specified times during the
trading day. Futures contracts prices could move to the limit for
several consecutive trading days with little or no trading, thereby
preventing prompt liquidation of futures positions and potentially
subjecting a Fund to substantial losses. If trading is not
possible, or if a Fund determines not to close a futures position
in anticipation of adverse price movements, the Fund will be
required to make daily cash payments of variation margin. The risk
the Fund will be unable to close out a futures position will be
minimized by entering into such transactions on a national exchange
with an active and liquid secondary market.
Swap
Agreements
Certain of the Funds enter
into swap agreements for purposes of pursuing their investment
objectives or as a substitute for investing directly in (or
shorting) an underlying index, currency or commodity, or to create
an economic hedge against a position. Swap agreements are two-party
contracts that have traditionally been entered into primarily with
institutional investors in over-the-counter (“OTC”)
markets for a specified period, ranging from a day to more than one
year. However, the Dodd-Frank Wall Street Reform and Consumers
Protection Act (the “Dodd-Frank Act”) provides for
significant reforms of the OTC derivative markets, including a
requirement to execute certain swap and forward transactions on a
CFTC-regulated market and/or to clear such transactions through a
CFTC-regulated central clearing organization. In a standard swap
transaction, two parties agree to exchange the returns earned or
realized on a particular predetermined investment, instrument or
index in exchange for a fixed or floating rate of return in respect
of a predetermined notional amount. In the case of futures
contracts based indices, such as those used by the Commodity Index
Funds and the VIX Funds, the reference interest rate is zero.
Transaction or commission costs are reflected in the benchmark
level at which the transaction is entered into. The gross returns
to be exchanged are calculated with respect to a notional amount
and the benchmark returns to which the swap is linked. Swap
agreements do not involve the delivery of underlying
instruments.
Generally, swap agreements
entered into by the Funds calculate and settle the obligations of
the parties to the agreement on a “net basis” with a
single payment. Consequently, each Fund’s current obligations
(or rights) under a swap agreement will generally be equal only to
the net amount to be paid or received under the agreement based on
the relative values of such obligations (or rights) (the “net
amount”). In a typical swap agreement entered into by a
Matching VIX Fund or an Ultra Fund, the Matching VIX Fund or Ultra
Fund would be entitled to settlement payments in the event the
benchmark increases and would be required to make payments to the
swap counterparties in the event the benchmark decreases, adjusted
for any transaction costs or trading spreads on the notional amount
the Funds may pay. In a typical swap agreement entered into by a
Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund
would be required to make payments to the swap counterparties in
the event the benchmark increases and would be entitled to
settlement payments in the event the benchmark decreases, adjusted
for any transaction costs or trading spreads on the notional amount
the Funds may pay.
The net amount of the
excess, if any, of each Fund’s obligations over its
entitlements with respect to each uncleared swap agreement is
accrued on a daily basis and an amount of cash and/or securities
having an aggregate value at least equal to such accrued excess is
maintained for the benefit of the counterparty in a segregated
account by the Funds’ Custodian. The net amount of the
excess, if any, of each Fund’s entitlements over its
obligations with respect to each uncleared swap agreement is
accrued on a daily basis and an amount of cash and/or securities
having an aggregate value at least equal to such accrued excess is
maintained for the benefit of the Fund in a segregated account by
the Fund’s Custodian. Until a swap agreement is settled in
cash, the gain or loss on the notional amount less any transaction
costs or trading spreads payable by each Fund on the notional
amount are recorded as “unrealized appreciation or
depreciation on swap agreements” and, when cash is exchanged,
the gain or loss realized is recorded as “realized gains or
losses on swap agreements.” Swap agreements are generally
valued at the last settled price of the benchmark referenced
asset.
The Trust, on behalf of a
Fund, may enter into agreements with certain counterparties for
derivative transactions. These agreements contain various
conditions, events of default, termination events, covenants and
representations. The triggering of certain events or the default on
certain terms of the agreement could allow a party to terminate a
transaction under the agreement and request immediate payment in an
amount equal to the net positions owed the party under the
agreement. This could cause a Fund to have to enter into a new
transaction with the same counterparty, enter into a transaction
with a different counterparty or seek to achieve its investment
objective through any number of different investments or investment
techniques.
Swap agreements involve, to
varying degrees, elements of market risk (commodity price risk) and
exposure to loss in excess of the unrealized gain/loss reflected.
The notional amounts reflect the extent of the total investment
exposure each Fund has under the swap agreement, which may exceed
the NAV of each Fund. Additional risks associated with the use of
swap agreements are imperfect correlations between movements in the
notional amount and the price of the underlying reference index and
the inability of counterparties to perform. Each Fund bears the
risk of loss of the amount expected to be received under a swap
agreement in the event of the default or bankruptcy of a swap
agreement counterparty. A Fund will typically enter into swap
agreements only with major global financial institutions. The
creditworthiness of each of the firms that is a party to a swap
agreement is monitored by the Sponsor. The Sponsor may use various
techniques to minimize credit risk including early termination and
payment, using different counterparties, limiting the net amount
due from any individual counterparty and generally requiring
collateral to be posted by the counterparty in an amount
approximately equal to that owed to the Funds. All of the
outstanding swap agreements at March 31, 2013 contractually
terminate within one month but may be terminated without penalty by
either party daily. Upon termination, the Fund is entitled to pay
or receive the “unrealized appreciation or
depreciation” amount.
The Funds, as applicable,
collateralize swap agreements by segregating or designating cash
and/or certain securities as indicated on the Statements of
Financial Condition or Schedules of Investments. As noted above,
collateral posted in connection with uncleared derivative
transactions is held for the benefit of the counterparty in a
segregated tri-party account at the Custodian to protect the
counterparty against non-payment by the Funds. In the event of a
default by the counterparty, the Funds will seek withdrawal of this
collateral from the segregated account and may incur certain costs
in exercising its right with respect to the collateral. If a
counterparty becomes bankrupt or otherwise fails to perform its
obligations due to financial difficulties, the Funds may experience
significant delays in obtaining any recovery in a bankruptcy or
other reorganizational proceeding. The Funds may obtain only
limited recovery or may obtain no recovery in such
circumstances.
The Funds remain subject to
credit risk with respect to the amount they expect to receive from
counterparties. However, the Funds have sought to mitigate these
risks in connection with uncleared swaps by generally requiring
that the counterparties for each Fund agree to post collateral for
the benefit of the Fund, marked to market daily, in an amount
approximately equal to what the counterparty owes the Fund, subject
to certain minimum thresholds. In the event of the bankruptcy of a
counterparty, the Fund will have direct access to the collateral
received from the counterparty, generally as of the day prior to
the bankruptcy, because there is a one day time lag between the
Fund’s request for collateral and the delivery of such
collateral. To the extent any such collateral is insufficient, the
Funds will be exposed to counterparty risk as described above,
including the possible delays in recovering amounts as a result of
bankruptcy proceedings. As of March 31, 2013, the collateral
posted by counterparties consisted of cash and U.S. Treasury
Securities.
The counterparty/credit
risk for cleared derivative transactions is generally lower than
for uncleared over-the-counter derivatives since generally a
clearing organization becomes substituted for each counterparty to
a cleared derivative contract and, in effect, guarantees the
parties’ performance under the contract as each party to a
trade looks only to the clearing organization for performance of
financial obligations. In addition, cleared derivative transactions
benefit from daily marking-to-market and settlement, and
segregation and minimum capital requirements applicable to
intermediaries.
Forward
Contracts
Certain of the Funds enter
into forward contracts for purposes of pursuing their investment
objectives and as a substitute for investing directly in (or
shorting) commodities and/or currencies. A forward contract is an
agreement between two parties to purchase or sell a specified
quantity of an asset at or before a specified date in the future at
a specified price. Forward contracts are typically traded in the
OTC markets and all details of the contract are negotiated between
the counterparties to the agreement. Accordingly, the forward
contracts are valued by reference to the contracts traded in the
OTC markets.
The contractual obligations
of a buyer or seller may generally be satisfied by taking or making
physical delivery of the underlying commodity or currency,
establishing an opposite position in the contract and recognizing
the profit or loss on both positions simultaneously on the delivery
date or, in some instances, paying a cash settlement before the
designated date of delivery. The forward contracts are adjusted by
the daily fluctuation of the underlying commodity or currency and
any gains or losses are recorded for financial statement purposes
as unrealized gains or losses until the contract settlement
date.
Forward contracts have
traditionally not been cleared or guaranteed by a third party.
However, the Dodd-Frank Act provides for significant reforms of the
OTC derivatives markets, including a requirement to execute most
forward contracts on a CFTC-regulated market and/or to clear such
transactions through a CFTC-regulated central clearing
organization. The Funds may collateralize uncleared forward
commodity contracts by segregating or designating cash and/or
certain securities as indicated on their Statements of Financial
Condition or Schedules of Investments. Such collateral is held for
the benefit of the counterparty in a segregated tri-party account
at the Custodian to protect the counterparty against non-payment by
the Funds. In the event of a default by the counterparty, the Funds
will seek withdrawal of this collateral from the segregated account
and may incur certain costs in exercising its right with respect to
the collateral. If a counterparty becomes bankrupt or otherwise
fails to perform its obligations due to financial difficulties, the
Funds may experience significant delays in obtaining any recovery
in a bankruptcy or other reorganizational proceeding. The Funds may
obtain only limited recovery or may obtain no recovery in such
circumstances.
The Funds remain subject to
credit risk with respect to the amount they expect to receive from
counterparties. However, the Funds have sought to mitigate these
risks in connection with uncleared swaps by generally requiring
that the counterparties for each Fund agree to post collateral for
the benefit of the Fund, marked to market daily, in an amount
approximately equal to what the counterparty owes a Fund, subject
to minimum thresholds. In the event of the bankruptcy of a
counterparty, the Fund will have direct access to the collateral
received from the counterparty, generally as of the day prior to
the bankruptcy, because there is a one day time lag between the
Fund’s request for collateral and the delivery of such
collateral. To the extent any such collateral is insufficient, the
Fund will be exposed to counterparty risk as described above,
including the possible delays in recovering amounts as a result of
bankruptcy proceedings. As of March 31, 2013, the collateral
posted by counterparties consisted of cash and U.S. Treasury
Securities.
Participants in trading
foreign exchange forward contracts often do not require margin
deposits, but rely upon internal credit limitations and their
judgments regarding the creditworthiness of their counterparties.
In recent years, however, many OTC market participants in foreign
exchange trading have begun to require their counterparties to post
margin.
A Fund will typically enter
into forward contracts only with major global financial
institutions. The creditworthiness of each of the firms that is a
party to a forward contract is monitored by the Sponsor.
The counterparty/credit
risk for cleared derivative transactions is generally lower than
for uncleared over-the-counter derivatives since generally a
clearing organization becomes substituted for each counterparty to
a cleared derivative contract and, in effect, guarantees the
parties’ performance under the contract as each party to a
trade looks only to the clearing organization for performance of
financial obligations. In addition, cleared derivative transactions
benefit from daily marking-to-market and settlement, and
segregation and minimum capital requirements applicable to
intermediaries.
Fair Value
of Derivative Instruments
as of
March 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset
Derivatives
|
|
|
Liability
Derivatives
|
|
|
Derivatives not
accounted for
as hedging
instruments
|
|
Statements
of
Financial
Condition
Location
|
|
Fund
|
|
Unrealized
Appreciation |
|
|
Statements
of
Financial
Condition
Location
|
|
Fund
|
|
Unrealized
Depreciation |
|
| Commodities
Contracts |
|
Receivables on open futures
contracts, unrealized appreciation on swap and/or forward
agreements |
|
ProShares UltraShort DJ-UBS
Crude Oil
|
|
$
|
231,524
|
*
|
|
Payable on open futures
contracts, unrealized depreciation on swap and/or forward
agreement |
|
ProShares UltraShort DJ-UBS Commodity |
|
$ |
92,919 |
|
| |
|
ProShares UltraShort
Silver
|
|
|
294,121
|
*
|
|
|
ProShares UltraShort DJ-UBS Crude Oil |
|
|
11,368,414 |
|
| |
|
ProShares Ultra DJ-UBS Commodity |
|
|
115,047 |
|
|
|
ProShares UltraShort DJ-UBS Natural Gas |
|
|
3,496,753 |
* |
| |
|
ProShares Ultra DJ-UBS
Crude Oil
|
|
|
26,556,087
|
*
|
|
|
ProShares UltraShort Gold |
|
|
3,247,692 |
* |
| |
|
ProShares Ultra DJ-UBS Natural Gas
|
|
|
14,044,618
|
*
|
|
|
ProShares UltraShort Silver |
|
|
11,313 |
|
| |
|
ProShares Ultra Gold
|
|
|
9,223,820 |
* |
|
|
ProShares Ultra Silver |
|
|
8,134,488
|
*
|
|
|
|
|
|
|
|
| Foreign Exchange
Contracts |
|
Unrealized appreciation on
foreign currency forward contracts and receivables on open futures
contracts |
|
ProShares Short
Euro
|
|
|
61,713
|
*
|
|
Unrealized depreciation on
foreign currency forward contracts and payable on open futures
contracts |
|
ProShares
UltraShort
Australian
Dollar
|
|
|
109,570 |
* |
| |
|
ProShares UltraShort
Euro
|
|
|
15,104,660
|
|
|
|
ProShares UltraShort
Euro
|
|
|
1,439,211 |
|
| |
|
ProShares UltraShort
Yen
|
|
|
2,732,626 |
|
|
|
ProShares Ultra Euro |
|
|
137,134
|
|
| |
|
ProShares Ultra
Australian
Dollar
|
|
|
124,930 |
* |
|
|
ProShares Ultra Yen |
|
|
70,562 |
|
| |
|
ProShares Ultra
Euro
|
|
|
3,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| VIX Futures
Contracts |
|
Receivables on open futures
contracts, unrealized appreciation on swap and/or forwards
agreement |
|
ProShares Short VIX Short-Term Futures ETF |
|
|
2,388,716 |
* |
|
Payable on open futures
contracts, unrealized depreciation on swap and/or forwards
agreement |
|
ProShares VIX Short-Term
Futures ETF
|
|
|
8,346,060 |
* |
| |
|
|
|
|
|
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
1,876,429 |
* |
| |
|
|
|
|
|
|
|
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
18,737,121
|
*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
70,881,000 |
* |
|
|
|
Total Trust |
|
$ |
57,067,666 |
* |
| * |
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. |
Fair Value
of Derivative Instruments
as of
December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Asset
Derivatives
|
|
|
Liability
Derivatives
|
|
|
Derivatives not
accounted for
as hedging
instruments
|
|
Statements
of
Financial
Condition
Location
|
|
Fund
|
|
Unrealized
Appreciation |
|
|
Statements
of
Financial
Condition
Location
|
|
Fund
|
|
Unrealized
Depreciation |
|
| Commodities
Contracts |
|
Receivables on open futures
contracts, unrealized appreciation on swap and/or forward
agreements |
|
ProShares UltraShort DJ-UBS Commodity |
|
$ |
148,502 |
|
|
Payable on open futures
contracts, unrealized depreciation on swap and/or forward
agreement |
|
ProShares UltraShort DJ-UBS Crude Oil |
|
$ |
9,636,781 |
* |
| |
|
ProShares UltraShort DJ-UBS
Natural Gas
|
|
|
409,135 |
* |
|
|
ProShares Ultra DJ-UBS
Commodity
|
|
|
306,268
|
|
| |
|
ProShares UltraShort
Gold
|
|
|
3,745,096 |
* |
|
|
ProShares Ultra DJ-UBS Natural Gas |
|
|
3,816,950 |
* |
| |
|
ProShares UltraShort Silver |
|
|
19,347,705 |
* |
|
|
ProShares Ultra Gold |
|
|
15,667,298 |
* |
| |
|
ProShares Ultra DJ-UBS
Crude Oil
|
|
|
55,294,030 |
* |
|
|
ProShares Ultra Silver |
|
|
145,780,726 |
* |
|
|
|
|
|
|
|
| Foreign Exchange
Contracts |
|
Unrealized appreciation on
foreign currency forward contracts and receivables on open futures
contracts |
|
ProShares UltraShort Australian Dollar |
|
|
85,590 |
* |
|
Unrealized depreciation on
foreign currency forward contracts and payable on open futures
contracts |
|
ProShares Short
Euro
|
|
|
55,056
|
*
|
| |
|
ProShares UltraShort Euro |
|
|
251,047
|
|
|
|
ProShares UltraShort
Euro
|
|
|
13,398,619 |
|
| |
|
ProShares UltraShort Yen |
|
|
38,346,817
|
|
|
|
ProShares UltraShort
Yen
|
|
|
232,642 |
|
| |
|
ProShares Ultra Euro |
|
|
89,473 |
|
|
|
ProShares Ultra
Australian
Dollar
|
|
|
99,030 |
* |
| |
|
ProShares Ultra Yen |
|
|
13,523 |
|
|
|
ProShares Ultra
Euro
|
|
|
2,314
|
|
| |
|
|
|
|
|
|
|
|
ProShares Ultra Yen |
|
|
507,819 |
|
|
|
|
|
|
|
|
| VIX Futures
Contracts |
|
Receivables on open futures
contracts, unrealized appreciation on swap and/or forwards
agreement |
|
ProShares VIX Short-Term Futures ETF |
|
|
2,368,824 |
* |
|
Payable on open futures
contracts, unrealized depreciation on swap and/or forwards
agreement |
|
ProShares VIX Short-Term Futures ETF |
|
|
2,590,243 |
* |
| |
|
ProShares VIX Mid-Term Futures ETF |
|
|
233,160
|
*
|
|
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
1,703,570
|
*
|
| |
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
4,034,873 |
* |
|
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
1,676,460 |
* |
| |
|
ProShares Short VIX
Short-Term Futures ETF
|
|
|
627,059 |
* |
|
|
ProShares Short VIX
Short-Term Futures ETF
|
|
|
2,014,234 |
* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
124,994,834 |
* |
|
|
|
Total Trust |
|
$ |
197,488,010 |
* |
| * |
Includes cumulative
appreciation/depreciation of futures contracts as reported in the
Schedules of Investments. Only current day’s variation margin
is reported within the Statements of Financial Condition in
receivable/payable on open futures contracts. |
The Effect
of Derivative Instruments on the Statements of
Operations
For the
three months ended March 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives
not accounted for as
hedging instruments
|
|
Location of Gain or (Loss) on
Derivatives Recognized in Income
|
|
Fund
|
|
Realized Gain
or
(Loss) on
Derivatives
Recognized in
Income |
|
|
Change in
Unrealized
Appreciation or
Depreciation on
Derivatives
Recognized in
Income |
|
| Commodity
Contracts |
|
Net realized gain
(loss) on futures contracts, swap and/or forward
agreements/changes in
unrealized appreciation/
depreciation on futures contracts, swap and/or forward
agreements
|
|
ProShares UltraShort DJ-UBS Commodity |
|
$ |
308,498 |
|
|
$ |
(241,421 |
) |
| |
|
ProShares UltraShort DJ-UBS Crude Oil |
|
|
(6,125,158 |
) |
|
|
(1,500,109 |
) |
| |
|
ProShares UltraShort DJ-UBS Natural Gas |
|
|
(1,773,421 |
) |
|
|
(3,905,888 |
) |
| |
|
ProShares UltraShort
Gold
|
|
|
12,883,467
|
|
|
|
(6,992,788
|
)
|
| |
|
ProShares UltraShort Silver |
|
|
29,204,512 |
|
|
|
(19,064,897 |
) |
| |
|
ProShares Ultra DJ-UBS Commodity |
|
|
(508,897 |
) |
|
|
421,315 |
|
| |
|
ProShares Ultra DJ-UBS Crude Oil |
|
|
66,564,325 |
|
|
|
(28,737,943 |
) |
| |
|
ProShares Ultra DJ-UBS
Natural Gas
|
|
|
5,748,194
|
|
|
|
17,861,568
|
|
| |
|
ProShares Ultra Gold |
|
|
(50,415,205 |
) |
|
|
24,891,118 |
|
| |
|
ProShares Ultra
Silver
|
|
|
(215,688,548
|
)
|
|
|
137,646,238
|
|
| Foreign Exchange
Contracts |
|
Net realized gain
(loss) on futures contracts, swap and/or forward
agreements/changes in
unrealized appreciation/
depreciation on futures contracts, swap and/or forward
agreements
|
|
ProShares Short Euro |
|
|
(8,000 |
) |
|
|
116,769 |
|
| |
|
ProShares UltraShort Australian Dollar |
|
|
112,030 |
|
|
|
(195,160 |
) |
| |
|
ProShares UltraShort Euro |
|
|
(2,949,680 |
) |
|
|
26,813,021 |
|
| |
|
ProShares UltraShort
Yen
|
|
|
96,886,297
|
|
|
|
(35,381,549
|
)
|
| |
|
ProShares Ultra Australian
Dollar
|
|
|
(149,275
|
)
|
|
|
223,960
|
|
| |
|
ProShares Ultra Euro |
|
|
(65,362
|
)
|
|
|
(221,155
|
)
|
| |
|
ProShares Ultra
Yen
|
|
|
(1,217,971
|
)
|
|
|
423,734
|
|
|
|
|
|
|
| VIX Futures
Contracts |
|
Net realized gain
(loss) on futures contracts, swap and/or forward
agreements/changes in
unrealized appreciation/
depreciation on futures contracts, swap and/or forward
agreements
|
|
ProShares VIX Short-Term
Futures ETF
|
|
|
(55,408,949 |
) |
|
|
(8,124,641 |
) |
| |
|
ProShares VIX Mid-Term Futures ETF |
|
|
(10,260,171
|
)
|
|
|
(406,019 |
) |
| |
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
(122,690,073 |
) |
|
|
(21,095,534 |
) |
| |
|
ProShares Short VIX
Short-Term Futures ETF
|
|
|
25,204,111 |
|
|
|
3,775,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(230,349,276 |
) |
|
$ |
86,306,510 |
|
The Effect
of Derivative Instruments on the Statements of
Operations
For the
three months ended March 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives
not accounted for as
hedging instruments
|
|
Location of Gain or (Loss) on
Derivatives Recognized in Income
|
|
Fund
|
|
Realized Gain
or
(Loss) on
Derivatives
Recognized in
Income |
|
|
Change in
Unrealized
Appreciation or
Depreciation on
Derivatives
Recognized in
Income |
|
|
Commodity
Contracts
|
|
Net realized gain
(loss) on futures
contracts, swap and/or forward agreements/changes in
unrealized appreciation/
depreciation on futures contracts, swap and/or forward
agreements
|
|
ProShares UltraShort DJ-UBS Commodity |
|
$ |
74,310 |
|
|
$ |
(361,088 |
) |
| |
|
ProShares UltraShort DJ-UBS
Crude Oil
|
|
|
(3,831,611 |
) |
|
|
(901,690 |
) |
| |
|
ProShares UltraShort DJ-UBS
Natural Gas
|
|
|
4,437,111 |
|
|
|
5,930,960 |
|
| |
|
ProShares UltraShort
Gold
|
|
|
(1,545,985 |
) |
|
|
(33,068,073 |
) |
| |
|
ProShares UltraShort Silver |
|
|
(35,684,414
|
)
|
|
|
(34,342,752
|
)
|
| |
|
ProShares Ultra DJ-UBS Commodity |
|
|
(322,448 |
) |
|
|
421,325 |
|
| |
|
ProShares Ultra DJ-UBS
Crude Oil
|
|
|
15,544,135
|
|
|
|
9,089,628
|
|
| |
|
ProShares Ultra DJ-UBS
Natural Gas
|
|
|
(5,158,571 |
) |
|
|
(15,543,310 |
) |
| |
|
ProShares Ultra Gold |
|
|
(29,858,796
|
)
|
|
|
76,461,894
|
|
| |
|
ProShares Ultra
Silver
|
|
|
8,106,450
|
|
|
|
132,908,783
|
|
|
Foreign Exchange
Contracts
|
|
Net realized gain
(loss) on
foreign currency forward
contracts/changes in
unrealized appreciation/
depreciation on foreign
currency forward
contracts
|
|
ProShares UltraShort Euro |
|
|
38,812,588 |
|
|
|
(98,488,552 |
) |
| |
|
ProShares UltraShort
Yen
|
|
|
20,853,004 |
|
|
|
17,433,639 |
|
| |
|
ProShares Ultra
Euro
|
|
|
(249,576
|
)
|
|
|
811,782 |
|
| |
|
ProShares Ultra Yen |
|
|
(425,209 |
) |
|
|
(328,692 |
) |
|
VIX Futures
Contracts
|
|
Net realized gain
(loss) on futures contracts/ changes in unrealized
appreciation/ depreciation on futures contracts and swap
agreements |
|
ProShares VIX Short-Term
Futures ETF
|
|
|
(42,732,137 |
) |
|
|
(17,345,947 |
) |
| |
|
ProShares VIX Mid-Term
Futures ETF
|
|
|
(22,417,600
|
)
|
|
|
(5,041,600
|
)
|
| |
|
ProShares Ultra VIX
Short-Term Futures ETF
|
|
|
(119,246,992 |
) |
|
|
(33,611,433 |
) |
| |
|
ProShares Short VIX
Short-Term Futures ETF
|
|
|
6,857,840 |
|
|
|
815,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Trust |
|
$ |
(166,787,901 |
) |
|
$ |
4,840,424 |
|
Offsetting Assets and
Liabilities
Effective January 1, 2013,
the Funds adopted Accounting Standards Update (“ASU”)
No. 2011-11 “Disclosures about Offsetting Assets and
Liabilities” which was subsequently clarified in FASB ASU
2013-01 “Clarifying the Scope of Disclosures about Offsetting
Assets and Liabilities”. The amended standard requires an
entity to disclose information about offsetting and related
arrangements to enable users of its financial statements to
understand the effect of those arrangements on its financial
position.
As described in Note 3, the
Funds utilize derivative instruments to achieve each Fund’s
investment objective. The amounts shown in the Statement of
Financial Condition do not take into consideration the effects of
legally enforceable master netting agreements. The following tables
present the gross and net amounts of these assets and liabilities
with any offsets to reflect the Funds’ ability to reflect the
master netting agreements at March 31, 2013 and
December 31, 2012:
ProShares
UltraShort DJ-UBS Commodity
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
92,919 |
|
|
$ |
— |
|
|
$ |
92,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
92,919 |
|
|
$ |
— |
|
|
$ |
92,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
64,434 |
|
|
$ |
(64,434 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
28,485 |
|
|
|
(28,485 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
92,919 |
|
|
$ |
(92,919 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares
UltraShort DJ-UBS Crude Oil
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Swap agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
1,350,973 |
|
|
|
— |
|
|
$ |
1,350,973 |
|
|
Swap agreements
|
|
|
11,368,414 |
|
|
|
— |
|
|
|
11,368,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
12,719,387 |
|
|
$ |
— |
|
|
$ |
12,719,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
1,350,973 |
|
|
$ |
— |
|
|
$ |
(1,350,973 |
) |
|
$ |
— |
|
|
Goldman Sachs
International
|
|
|
6,252,210 |
|
|
|
(6,252,210 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale
S.A.
|
|
|
1,130,052 |
|
|
|
(1,130,052 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
3,986,152 |
|
|
|
(3,986,152 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
12,719,387 |
|
|
$ |
(11,368,414 |
) |
|
$ |
(1,350,973 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort DJ-UBS Natural Gas
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
442,358 |
|
|
$ |
— |
|
|
$ |
442,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
442,358 |
|
|
$ |
— |
|
|
$ |
442,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
442,358 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
442,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
442,358 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
442,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Gold
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
2,300 |
|
|
|
— |
|
|
|
2,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,300 |
|
|
$ |
— |
|
|
$ |
2,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,300 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,300 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
3,246,282 |
|
|
$ |
— |
|
|
$ |
3,246,282 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,246,282 |
|
|
$ |
— |
|
|
$ |
3,246,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net
Amount |
|
|
Deutsche Bank AG
|
|
$ |
1,752,078 |
|
|
$ |
(1,752,078 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
Goldman Sachs
International
|
|
|
589,404 |
|
|
|
(589,404 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale
S.A.
|
|
|
460,599 |
|
|
|
(460,599 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
444,201 |
|
|
|
(444,201 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,246,282 |
|
|
$ |
(3,246,282 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Silver
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
266,601 |
|
|
$ |
— |
|
|
$ |
266,601 |
|
|
Futures
contracts*
|
|
|
2,890 |
|
|
|
— |
|
|
|
2,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
269,491 |
|
|
$ |
— |
|
|
$ |
269,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in
the Statement of Financial
Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,890 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,890 |
|
|
Deutsche Bank AG
|
|
|
55,643 |
|
|
|
— |
|
|
|
— |
|
|
|
55,643 |
|
|
Goldman Sachs
International
|
|
|
63,340 |
|
|
|
— |
|
|
|
— |
|
|
|
63,340 |
|
|
Societe Generale
S.A.
|
|
|
147,618 |
|
|
|
— |
|
|
|
— |
|
|
|
147,618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
269,491 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
269,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
11,313 |
|
|
$ |
— |
|
|
$ |
11,313 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
11,313 |
|
|
$ |
— |
|
|
$ |
11,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in
the Statement of Financial
Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net
Amount |
|
|
UBS AG
|
|
$ |
11,313 |
|
|
$ |
(11,313 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
11,313 |
|
|
$ |
(11,313 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Short
Euro
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
12,300 |
|
|
$ |
— |
|
|
$ |
12,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
12,300 |
|
|
$ |
— |
|
|
$ |
12,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
RBC Capital
Markets
|
|
$ |
12,300 |
|
|
$ |
— |
|
|
$ |
(12,300 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
12,300 |
|
|
$ |
— |
|
|
$ |
(12,300 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Australian Dollar
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
21,300 |
|
|
$ |
— |
|
|
$ |
21,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
21,300 |
|
|
$ |
— |
|
|
$ |
21,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
RBC Capital
Markets
|
|
$ |
21,300 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
21,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
21,300 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
21,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShort
UltraShort Euro
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
15,104,660 |
|
|
$ |
— |
|
|
$ |
15,104,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
15,104,660 |
|
|
$ |
— |
|
|
$ |
15,104,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets Presented
in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
7,182,101 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,182,101 |
|
|
UBS AG
|
|
|
7,922,559 |
|
|
|
— |
|
|
|
— |
|
|
|
7,922,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
15,104,660 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
15,104,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
1,439,211 |
|
|
$ |
— |
|
|
$ |
1,439,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
1,439,211 |
|
|
$ |
— |
|
|
$ |
1,439,211 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in the
Statement of
Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
930,513 |
|
|
$ |
(930,513 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
508,698 |
|
|
|
(508,698 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
1,439,211 |
|
|
$ |
(1,439,211 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares
UltraShort Yen
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
2,732,626 |
|
|
$ |
— |
|
|
$ |
2,732,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,732,626 |
|
|
$ |
— |
|
|
$ |
2,732,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in
the
Statement of
Financial
Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
1,222,105 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,222,105 |
|
|
UBS AG
|
|
|
1,510,521 |
|
|
|
— |
|
|
|
— |
|
|
|
1,510,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,732,626 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,732,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset
in the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in
the
Statement
of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra
DJ-UBS Commodity
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
115,047 |
|
|
$ |
— |
|
|
$ |
115,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
115,047 |
|
|
$ |
— |
|
|
$ |
115,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
63,644 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
63,644 |
|
|
UBS AG
|
|
|
51,403 |
|
|
|
— |
|
|
|
— |
|
|
|
51,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
115,047 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
115,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
—
|
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra
DJ-UBS Crude Oil
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
2,386,303 |
|
|
$ |
— |
|
|
$ |
2,386,303 |
|
|
Swap agreements
|
|
|
25,193,571 |
|
|
|
— |
|
|
|
25,193,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
27,579,874 |
|
|
$ |
— |
|
|
$ |
27,579,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,386,303 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,386,303 |
|
|
Goldman Sachs
International
|
|
|
8,318,017 |
|
|
|
— |
|
|
|
— |
|
|
|
8,318,017 |
|
|
Societe Generale
S.A.
|
|
|
4,601,585 |
|
|
|
— |
|
|
|
— |
|
|
|
4,601,585 |
|
|
UBS AG
|
|
|
12,273,969 |
|
|
|
— |
|
|
|
— |
|
|
|
12,273,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
27,579,874 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
27,579,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Swap agreements
|
|
|
— |
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
DJ-UBS Natural Gas
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
834,689 |
|
|
$ |
— |
|
|
$ |
834,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
834,689 |
|
|
$ |
— |
|
|
$ |
834,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
834,689 |
|
|
$ |
— |
|
|
$ |
(834,689 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
834,689 |
|
|
$ |
— |
|
|
$ |
(834,689 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Gold
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
9,222,440 |
|
|
$ |
— |
|
|
$ |
9,222,440 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
9,222,440 |
|
|
|
— |
|
|
$ |
9,222,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in
the
Statement of
Financial
Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Deutsche Bank AG
|
|
$ |
4,465,287 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,465,287 |
|
|
Goldman Sachs
International
|
|
|
1,574,862 |
|
|
|
— |
|
|
|
— |
|
|
|
1,574,862 |
|
|
Societe Generale
S.A.
|
|
|
1,671,035 |
|
|
|
— |
|
|
|
— |
|
|
|
1,671,035 |
|
|
UBS AG
|
|
|
1,511,256 |
|
|
|
— |
|
|
|
— |
|
|
|
1,511,256 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
9,222,440 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
9,222,440 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
—
|
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
2,300 |
|
|
|
— |
|
|
|
2,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,300 |
|
|
$ |
— |
|
|
$ |
2,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,300 |
|
|
$ |
— |
|
|
$ |
(2,300 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,300 |
|
|
$ |
— |
|
|
$ |
(2,300 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Silver
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
8,106,718 |
|
|
$ |
— |
|
|
$ |
8,106,718 |
|
|
Futures
contracts*
|
|
|
2,890 |
|
|
|
— |
|
|
|
2,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
8,109,608 |
|
|
$ |
— |
|
|
$ |
8,109,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in the
Statement of
Financial
Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,890 |
|
|
$ |
— |
|
|
$ |
(2,890 |
) |
|
$ |
— |
|
|
Deutsche Bank AG
|
|
|
4,807,077 |
|
|
|
(4,807,077 |
) |
|
|
— |
|
|
|
— |
|
|
Goldman Sachs
International
|
|
|
1,237,902 |
|
|
|
(1,237,902 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale
S.A.
|
|
|
1,056,353 |
|
|
|
(1,056,353 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
1,005,386 |
|
|
|
(1,005,386 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
8,109,608 |
|
|
$ |
(8,106,718 |
) |
|
$ |
(2,890 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Australian Dollar
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
22,982 |
|
|
$ |
— |
|
|
$ |
22,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
22,982 |
|
|
$ |
— |
|
|
$ |
22,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
RBC Capital
Markets
|
|
$ |
22,982 |
|
|
$ |
— |
|
|
$ |
(22,982 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
22,982 |
|
|
$ |
— |
|
|
$ |
(22,982 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Euro
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
3,138 |
|
|
$ |
— |
|
|
$ |
3,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,138 |
|
|
$ |
— |
|
|
$ |
3,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
737 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
737 |
|
|
UBS AG
|
|
|
2,401 |
|
|
|
— |
|
|
|
— |
|
|
|
2,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,138 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
137,134 |
|
|
$ |
— |
|
|
$ |
137,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
137,134 |
|
|
$ |
— |
|
|
$ |
137,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
63,478 |
|
|
$ |
(63,478 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
73,656 |
|
|
|
(73,656 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
137,134 |
|
|
$ |
(137,134 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra
Yen
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
70,562 |
|
|
$ |
— |
|
|
$ |
70,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
70,562 |
|
|
$ |
— |
|
|
$ |
70,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
22,860 |
|
|
$ |
(22,860 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
47,702 |
|
|
|
(47,702 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
70,562 |
|
|
$ |
(70,562 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares VIX
Short-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
2,471,348 |
|
|
$ |
— |
|
|
$ |
2,471,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,471,348 |
|
|
$ |
— |
|
|
$ |
2,471,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
2,471,348 |
|
|
$ |
— |
|
|
$ |
(2,471,348 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,471,348 |
|
|
$ |
— |
|
|
$ |
(2,471,348 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares VIX
Mid-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of
Recognized
Assets |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Assets
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
211,350 |
|
|
$ |
— |
|
|
$ |
211,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
211,350 |
|
|
$ |
— |
|
|
$ |
211,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Received |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
211,350 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
211,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
211,350 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
211,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of
Recognized
Liabilities |
|
|
Gross Amounts
Offset in
the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts
of
Liabilities
Presented in the
Statement
of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
VIX Short-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
4,961,933 |
|
|
$ |
— |
|
|
$ |
4,961,933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
4,961,933 |
|
|
$ |
— |
|
|
$ |
4,961,933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in
the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash
Collateral
Pledged |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
4,961,933 |
|
|
$ |
— |
|
|
$ |
(4,961,933 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
4,961,933 |
|
|
$ |
— |
|
|
$ |
(4,961,933 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Short
VIX Short-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
472,022 |
|
|
$ |
— |
|
|
$ |
472,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
472,022 |
|
|
$ |
— |
|
|
$ |
472,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
472,022 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
472,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
472,022 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
472,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of March 31,
2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of March 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort DJ-UBS Commodity
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
148,502 |
|
|
$ |
— |
|
|
$ |
148,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
148,502 |
|
|
$ |
— |
|
|
$ |
148,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
104,181 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
104,181 |
|
|
UBS AG
|
|
|
44,321 |
|
|
|
— |
|
|
|
— |
|
|
|
44,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
148,502 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
148,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares
UltraShort DJ-UBS Crude Oil
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Swap agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
979,336 |
|
|
$ |
— |
|
|
$ |
979,336 |
|
|
Swap agreements
|
|
|
5,607,060 |
|
|
|
— |
|
|
|
5,607,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
6,586,396 |
|
|
$ |
— |
|
|
$ |
6,586,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
979,336 |
|
|
$ |
— |
|
|
$ |
(979,336 |
) |
|
$ |
— |
|
|
Goldman Sachs
International
|
|
|
1,880,292 |
|
|
|
(1,880,292 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale
S.A.
|
|
|
1,730,366 |
|
|
|
(1,730,366 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
1,996,402 |
|
|
|
(1,996,402 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
6,586,396 |
|
|
$ |
(5,607,060 |
) |
|
$ |
(979,336 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort DJ-UBS Natural Gas
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
632,777 |
|
|
$ |
— |
|
|
$ |
632,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
632,777 |
|
|
$ |
— |
|
|
$ |
632,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
632,777 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
632,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
632,777 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
632,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Gold
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
3,729,856 |
|
|
$ |
— |
|
|
$ |
3,729,856 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,729,856 |
|
|
$ |
— |
|
|
$ |
3,729,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Deutsche Bank AG
|
|
$ |
2,389,236 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,389,236 |
|
|
Goldman Sachs
International
|
|
|
452,059 |
|
|
|
— |
|
|
|
— |
|
|
|
452,059 |
|
|
Societe Generale
S.A.
|
|
|
499,264 |
|
|
|
— |
|
|
|
— |
|
|
|
499,264 |
|
|
UBS AG
|
|
|
389,297 |
|
|
|
— |
|
|
|
— |
|
|
|
389,297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,729,856 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,729,856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
3,980 |
|
|
|
— |
|
|
|
3,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,980 |
|
|
$ |
— |
|
|
$ |
3,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
3,980 |
|
|
$ |
— |
|
|
$ |
(3,980 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,980 |
|
|
$ |
— |
|
|
$ |
(3,980 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Silver
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
19,307,685 |
|
|
$ |
— |
|
|
$ |
19,307,685 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
19,307,685 |
|
|
$ |
— |
|
|
$ |
19,307,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Deutsche Bank AG
|
|
$ |
10,786,801 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
10,786,801 |
|
|
Goldman Sachs
International
|
|
|
3,141,119 |
|
|
|
— |
|
|
|
— |
|
|
|
3,141,119 |
|
|
Societe Generale
S.A.
|
|
|
3,255,649 |
|
|
|
— |
|
|
|
— |
|
|
|
3,255,649 |
|
|
UBS AG
|
|
|
2,124,116 |
|
|
|
— |
|
|
|
— |
|
|
|
2,124,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
19,307,685 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
19,307,685 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
2,520 |
|
|
|
— |
|
|
|
2,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,520 |
|
|
$ |
— |
|
|
$ |
2,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,520 |
|
|
$ |
— |
|
|
$ |
(2,520 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,520 |
|
|
$ |
— |
|
|
$ |
(2,520 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Short
Euro
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
6,612 |
|
|
$ |
— |
|
|
$ |
6,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
6,612 |
|
|
$ |
— |
|
|
$ |
6,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
RBC Capital
Markets
|
|
$ |
6,612 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
6,612 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
|
|
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Australian Dollar
Offsetting of Financial
Assets and Derivative Assets as of
December 31,2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
|
|
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31,2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of
December 31,2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
10,950 |
|
|
$ |
— |
|
|
$ |
10,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
10,950 |
|
|
$ |
— |
|
|
$ |
10,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31,2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
RBC Capital
Markets
|
|
$ |
10,950 |
|
|
$ |
— |
|
|
$ |
(10,950 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
10,950 |
|
|
$ |
— |
|
|
$ |
(10,950 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares
UltraShort Euro
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
251,047 |
|
|
$ |
— |
|
|
$ |
251,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
251,047 |
|
|
$ |
— |
|
|
$ |
251,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
251,047 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
251,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
251,047 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
251,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
13,398,619 |
|
|
$ |
— |
|
|
$ |
13,398,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
13,398,619 |
|
|
$ |
— |
|
|
$ |
13,398,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
6,048,832 |
|
|
$ |
(6,048,832 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
7,349,787 |
|
|
|
(7,349,787 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
13,398,619 |
|
|
$ |
(13,398,619 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares
UltraShort Yen
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
38,346,817 |
|
|
$ |
— |
|
|
$ |
38,346,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
38,346,817 |
|
|
$ |
— |
|
|
$ |
38,346,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
18,518,532 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
18,518,532 |
|
|
UBS AG
|
|
|
19,828,285 |
|
|
|
— |
|
|
|
— |
|
|
|
19,828,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
38,346,817 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
38,346,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
232,642 |
|
|
$ |
— |
|
|
$ |
232,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
232,642 |
|
|
$ |
— |
|
|
$ |
232,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
UBS AG
|
|
$ |
232,642 |
|
|
$ |
(232,642 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
232,642 |
|
|
$ |
(232,642 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra
DJ-UBS Commodity
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
|
|
|
|
Swap agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Swap agreements
|
|
$ |
306,268 |
|
|
$ |
— |
|
|
$ |
306,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
306,268 |
|
|
$ |
— |
|
|
$ |
306,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs
International
|
|
$ |
198,117 |
|
|
$ |
(198,117 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
108,151 |
|
|
|
(108,151 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
306,268 |
|
|
$ |
(306,268 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra
DJ-UBS Crude Oil
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
3,430,415 |
|
|
$ |
— |
|
|
$ |
3,430,415 |
|
|
Swap agreements
|
|
|
33,333,620 |
|
|
|
— |
|
|
|
33,333,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
36,764,035 |
|
|
$ |
— |
|
|
$ |
36,764,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset
in
the Statement of Financial
Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
3,430,415 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,430,415 |
|
|
Goldman Sachs
International
|
|
|
14,334,730 |
|
|
|
— |
|
|
|
— |
|
|
|
14,334,730 |
|
|
Societe Generale
S.A.
|
|
|
8,989,866 |
|
|
|
— |
|
|
|
— |
|
|
|
8,989,866 |
|
|
UBS AG
|
|
|
10,009,024 |
|
|
|
— |
|
|
|
— |
|
|
|
10,009,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
36,764,035 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
36,764,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Swap agreements
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
DJ-UBS Natural Gas
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
4,891,783 |
|
|
$ |
— |
|
|
$ |
4,891,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
4,891,783 |
|
|
$ |
— |
|
|
$ |
4,891,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
4,891,783 |
|
|
$ |
— |
|
|
$ |
(4,891,783 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
4,891,783 |
|
|
$ |
— |
|
|
$ |
(4,891,783 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Gold
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
3,980 |
|
|
|
— |
|
|
|
3,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,980 |
|
|
$ |
— |
|
|
$ |
3,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
3,980 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
3,980 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,980 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
15,652,058 |
|
|
$ |
— |
|
|
$ |
15,652,058 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
15,652,058 |
|
|
$ |
— |
|
|
$ |
15,652,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Deutsche Bank AG
|
|
$ |
4,622,873 |
|
|
$ |
(4,622,873 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
Goldman Sachs
International
|
|
|
3,678,367 |
|
|
|
(3,678,367 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale
S.A.
|
|
|
3,715,989 |
|
|
|
(3,715,989 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
3,634,829 |
|
|
|
(3,634,829 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
15,652,058 |
|
|
$ |
(15,652,058 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Silver
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Futures
contracts*
|
|
|
2,520 |
|
|
|
— |
|
|
|
2,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,520 |
|
|
$ |
— |
|
|
$ |
2,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs &
Co.
|
|
$ |
2,520 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,520 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Forward
agreements
|
|
$ |
145,740,706 |
|
|
$ |
— |
|
|
$ |
145,740,706 |
|
|
Futures
contracts*
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
145,740,706 |
|
|
$ |
— |
|
|
$ |
145,740,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
Deutsche Bank AG
|
|
$ |
44,873,116 |
|
|
$ |
(42,756,218 |
) |
|
$ |
— |
|
|
$ |
2,116,898 |
|
|
Goldman Sachs
International
|
|
|
34,491,042 |
|
|
|
(34,491,042 |
) |
|
|
— |
|
|
|
— |
|
|
Societe Generale
S.A.
|
|
|
34,802,217 |
|
|
|
(34,802,217 |
) |
|
|
— |
|
|
|
— |
|
|
UBS AG
|
|
|
31,574,331 |
|
|
|
(31,574,331 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
145,740,706 |
|
|
$ |
(143,623,808 |
) |
|
$ |
— |
|
|
$ |
2,116,898 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Australian Dollar
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
12,000 |
|
|
$ |
— |
|
|
$ |
12,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
12,000 |
|
|
$ |
— |
|
|
$ |
12,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
RBC Capital
Markets
|
|
$ |
12,000 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
12,000 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
Euro
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
89,473 |
|
|
$ |
— |
|
|
$ |
89,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
89,473 |
|
|
$ |
— |
|
|
$ |
89,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
38,327 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
38,327 |
|
|
UBS AG
|
|
|
51,146 |
|
|
|
— |
|
|
|
— |
|
|
|
51,146 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
89,473 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
89,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
2,314 |
|
|
$ |
— |
|
|
$ |
2,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,314 |
|
|
$ |
— |
|
|
$ |
2,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
635 |
|
|
$ |
(635 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
1,679 |
|
|
|
(1,679 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
2,314 |
|
|
$ |
(2,314 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares Ultra
Yen
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
13,523 |
|
|
$ |
— |
|
|
$ |
13,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
13,523 |
|
|
$ |
— |
|
|
$ |
13,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
7,325 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,325 |
|
|
UBS AG
|
|
|
6,198 |
|
|
|
— |
|
|
|
— |
|
|
|
6,198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
13,523 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
13,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement
of
Financial Condition |
|
|
Net Amounts
of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Foreign currency forward
contracts
|
|
$ |
507,819 |
|
|
$ |
— |
|
|
$ |
507,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
507,819 |
|
|
$ |
— |
|
|
$ |
507,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
Goldman Sachs
International
|
|
$ |
231,047 |
|
|
$ |
(231,047 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
UBS AG
|
|
|
276,772 |
|
|
|
(178,999 |
) |
|
|
— |
|
|
|
97,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
507,819 |
|
|
$ |
(410,046 |
) |
|
$ |
— |
|
|
$ |
97,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ProShares VIX
Short-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
31,540,181 |
|
|
$ |
— |
|
|
$ |
31,540,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
31,540,181 |
|
|
$ |
— |
|
|
$ |
31,540,181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
31,540,181 |
|
|
$ |
— |
|
|
$ |
(31,540,181 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
31,540,181 |
|
|
$ |
— |
|
|
$ |
(31,540,181 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares VIX
Mid-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
1,890,675 |
|
|
$ |
— |
|
|
$ |
1,890,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
1,890,675 |
|
|
$ |
— |
|
|
$ |
1,890,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
1,890,675 |
|
|
$ |
— |
|
|
$ |
(1,890,675 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
1,890,675 |
|
|
$ |
— |
|
|
$ |
(1,890,675 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Ultra
VIX Short-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Swap agreements
|
|
|
301,351 |
|
|
|
— |
|
|
|
301,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
301,351 |
|
|
$ |
— |
|
|
$ |
301,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net Amount |
|
|
Societe Generale
S.A.
|
|
$ |
301,351 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
301,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
301,351 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
301,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
35,666,735 |
|
|
$ |
— |
|
|
$ |
35,666,735 |
|
|
Swap agreements
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
35,666,735 |
|
|
$ |
— |
|
|
$ |
35,666,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
35,666,735 |
|
|
$ |
— |
|
|
$ |
(35,666,735 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
35,666,735 |
|
|
$ |
— |
|
|
$ |
(35,666,735 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
ProShares Short
VIX Short-Term Futures ETF
Offsetting of Financial
Assets and Derivative Assets as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
Gross Amounts
of Recognized
Assets |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
5,524,721 |
|
|
$ |
— |
|
|
$ |
5,524,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
5,524,721 |
|
|
$ |
— |
|
|
$ |
5,524,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Assets,
Derivative Assets, and Collateral Held by Counterparty as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Assets
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Received |
|
|
Net
Amount |
|
|
RBC Capital
Markets
|
|
$ |
5,524,721 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,524,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
5,524,721 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,524,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Financial
Liabilities and Derivative Liabilities as of December 31,
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
Gross Amounts
of Recognized
Liabilities |
|
|
Gross Amounts
Offset in the
Statement of
Financial Condition |
|
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Futures
contracts*
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Liabilities,
Derivative Liabilities, and Collateral Pledged by Counterparty as
of December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Gross Amounts Not Offset in the
Statement of Financial Condition |
|
|
|
|
| |
|
Net Amounts of
Liabilities
Presented in the
Statement of
Financial
Condition |
|
|
Financial
Instruments |
|
|
Cash Collateral
Pledged |
|
|
Net Amount |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| * |
Current day’s
variation margin is reported within the Statements of Financial
Condition in receivable/payable on open futures contracts;
Cumulative appreciation/depreciation is reported in the Schedule of
Investments. |
|