SEMIANNUAL REPORT
NOVEMBER 30, 2014
Alternative Solutions
ALTS Morningstar Alternatives Solution ETF
Specialty Equity
TOLZ DJ Brookfield Global Infrastructure ETF
PEX Global Listed Private Equity ETF
CSM Large Cap Core Plus
Dividend Growers
NOBL S&P 500 Dividend Aristocrats ETF
EFAD MSCI EAFE Dividend Growers ETF
Hedged Fixed Income
HYHG High Yield–Interest Rate Hedged
IGHG Investment Grade–Interest Rate Hedged
Global Fixed Income
COBO USD Covered Bond
GGOV German Sovereign/Sub-Sovereign ETF
EMSH Short Term USD Emerging Markets Bond ETF
Hedge Strategies
HDG Hedge Replication ETF
MRGR Merger ETF
RALS RAFI® Long/Short
Inflation
RINF 30 Year TIPS/TSY Spread
FINF Short 30 Year TIPS/TSY Spread
UINF UltraPro 10 Year TIPS/TSY Spread
SINF UltraPro Short 10 Year TIPS/TSY Spread
Credit
TYTE CDS North American HY Credit ETF
WYDE CDS Short North American HY Credit ETF
Geared
Short MarketCap
SH Short S&P500®
PSQ Short QQQ®
DOG Short Dow30SM
MYY Short MidCap400
RWM Short Russell2000
SBB Short SmallCap600
TWQ UltraShort Russell3000
SDS UltraShort S&P500®
QID UltraShort QQQ®
DXD UltraShort Dow30SM
MZZ UltraShort MidCap400
TWM UltraShort Russell2000
SDD UltraShort SmallCap600
SPXU UltraPro Short S&P500®
SQQQ UltraPro Short QQQ®
SDOW UltraPro Short Dow30SM
SMDD UltraPro Short MidCap400
SRTY UltraPro Short Russell2000
Short Style
SJF UltraShort Russell1000 Value
SFK UltraShort Russell1000 Growth
SJL UltraShort Russell MidCap Value
SDK UltraShort Russell MidCap Growth
SJH UltraShort Russell2000 Value
SKK UltraShort Russell2000 Growth
Short Sector
SBM Short Basic Materials
SEF Short Financials
DDG Short Oil & Gas
REK Short Real Estate
KRS Short KBW Regional Banking
SMN UltraShort Basic Materials
BIS UltraShort Nasdaq Biotechnology
SZK UltraShort Consumer Goods
SCC UltraShort Consumer Services
SKF UltraShort Financials
RXD UltraShort Health Care
SIJ UltraShort Industrials
DUG UltraShort Oil & Gas
SRS UltraShort Real Estate
SSG UltraShort Semiconductors
REW UltraShort Technology
TLL UltraShort Telecommunications
SDP UltraShort Utilities
FINZ UltraPro Short Financials
Short International
EFZ Short MSCI EAFE
EUM Short MSCI Emerging Markets
YXI Short FTSE China 50
EFU UltraShort MSCI EAFE
EEV UltraShort MSCI Emerging Markets
EPV UltraShort FTSE Europe
JPX UltraShort MSCI Pacific ex-Japan
BZQ UltraShort MSCI Brazil Capped
FXP UltraShort FTSE China 50
EWV UltraShort MSCI Japan
SMK UltraShort MSCI Mexico Capped IMI
Short Fixed Income
TBX Short 7-10 Year Treasury
TBF Short 20+ Year Treasury
SJB Short High Yield
IGS Short Investment Grade Corporate
TBZ UltraShort 3-7 Year Treasury
PST UltraShort 7-10 Year Treasury
TBT UltraShort 20+ Year Treasury
TPS UltraShort TIPS
TTT UltraPro Short 20+ Year Treasury
Ultra MarketCap
UWC Ultra Russell3000
SSO Ultra S&P500®
QLD Ultra QQQ®
DDM Ultra Dow30SM
MVV Ultra MidCap400
UWM Ultra Russell2000
SAA Ultra SmallCap600
UPRO UltraPro S&P500®
TQQQ UltraPro QQQ®
UDOW UltraPro Dow30SM
UMDD UltraPro MidCap400
URTY UltraPro Russell2000
Ultra Style
UVG Ultra Russell1000 Value
UKF Ultra Russell1000 Growth
UVU Ultra Russell MidCap Value
UKW Ultra Russell MidCap Growth
UVT Ultra Russell2000 Value
UKK Ultra Russell2000 Growth
Ultra Sector
UYM Ultra Basic Materials
BIB Ultra Nasdaq Biotechnology
UGE Ultra Consumer Goods
UCC Ultra Consumer Services
UYG Ultra Financials
RXL Ultra Health Care
UXI Ultra Industrials
DIG Ultra Oil & Gas
URE Ultra Real Estate
KRU Ultra KBW Regional Banking
USD Ultra Semiconductors
ROM Ultra Technology
LTL Ultra Telecommunications
UPW Ultra Utilities
FINU UltraPro Financials
Ultra International
EFO Ultra MSCI EAFE
EET Ultra MSCI Emerging Markets
UPV Ultra FTSE Europe
UXJ Ultra MSCI Pacific ex-Japan
UBR Ultra MSCI Brazil Capped
XPP Ultra FTSE China 50
EZJ Ultra MSCI Japan
UMX Ultra MSCI Mexico Capped IMI
Ultra Fixed Income
UST Ultra 7-10 Year Treasury
UBT Ultra 20+ Year Treasury
UJB Ultra High Yield
IGU Ultra Investment Grade Corporate
PROSHARES TRUST Distributor: SEI Investments Distribution Co.
TABLE OF CONTENTS
I |
Shareholder Letter |
||||||
II |
Allocation of Portfolio Holdings & Index Composition |
||||||
XLVII |
Expense Examples |
||||||
1 |
Schedule of Portfolio Investments |
||||||
2 |
Alternative Solutions |
||||||
3 |
Specialty Equity |
||||||
11 |
Dividend Growers |
||||||
15 |
Hedged Fixed Income |
||||||
25 |
Global Fixed Income |
||||||
31 |
Hedge Strategies |
||||||
40 |
Inflation |
||||||
48 |
Credit |
||||||
50 |
Geared |
259 |
Statements of Assets and Liabilities |
||||||
282 |
Statements of Operations |
||||||
305 |
Statements of Changes in Net Assets |
||||||
349 |
Financial Highlights |
||||||
412 |
Notes to Financial Statements |
||||||
457 |
Board Approval of Investment Advisory Agreement |
||||||
460 |
Federal Tax Information |
||||||
463 |
Proxy Voting & Quarterly Portfolio Holdings Information |
Receive investor materials electronically:
Shareholders may sign up for electronic delivery of investor materials. By doing so, you will receive the information faster and help us reduce the impact on the environment of providing these materials. To enroll in electronic delivery.
1. Go to www.icsdelivery.com
2. Select the first letter of your brokerage firm's name.
3. From the list that follows, select your brokerage firm. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm.
4. Complete the information requested, including the e-mail address where you would like to receive notifications for electronic documents.
Your information will be kept confidential and will not be used for any purpose other than electronic delivery. If you change your mind, you can cancel electronic delivery at any time and revert to physical delivery of your materials. Just go to www.icsdelivery.com, perform the first three steps above, and follow the instructions for cancelling electronic delivery. If you have any questions, please contact your brokerage firm.
DEAR SHAREHOLDER:
I am pleased to present the ProShares Trust Semiannual Report for the six months ended November 30, 2014.
U.S. Equity Markets Continue to Climb; European Markets Decline
Global equity markets posted mixed results during the six months ended November 30, 2014. U.S. large cap stock indexes reached new record highs, with the S&P 500® rising 8.6% and the Dow® gaining 7.9%. Small and mid cap stocks also gained, up 4.1% and 5.5%, respectively, as measured by the Russell 2000® and the S&P MidCap 400®.
Eight out of 10 Dow Jones U.S. Industry Indices increased during the period, with health care, technology and consumer services delivering the strongest returns — 17.8%, 14.2% and 11.9%, respectively. Oil and gas retreated sharply, down 16.0%, and basic materials were off 1.1%.
Strong economic momentum helped fuel the continued rally in U.S. stock markets. GDP grew at a 3.9% annual rate in the third quarter, somewhat slower than the 4.6% clip in the second quarter, but still healthy. Corporate profits were strong and job creation is on track to be the strongest in 15 years.
Markets outside the United States didn't fare so well. The MSCI EAFE Index, which reflects developed markets outside North America, fell 5.0%. European markets accounted for most of this decline, with the MSCI Europe Index off 7.1%. Japan eked out a small gain, with the MSCI Japan Index up 1.9%. And the MSCI Emerging Markets Index was down 0.6%. Growth is down sharply or has stalled in the Eurozone's largest economies: Germany, France and Italy. Across the region, business optimism has plummeted and several large economies are seeing falling prices. Japan is struggling to emerge from decades of stagnation. And growth in emerging
markets is slowing to its lowest levels since the aftermath of the financial crisis.
U.S. Fixed Income Markets Mixed
U.S. fixed income markets were mixed, leading to a 1.9% gain for the Barclays U.S. Aggregate Bond Index. Treasurys were strong, with the Ryan Labs 10 Year and 30 Year Treasury Indexes up 3.7% and 9.8%, respectively. Investment grade bonds posted a small gain, with the Markit iBoxx $ Liquid Investment Grade Index up 2.3%. But high yield markets retreated, with the Markit iBoxx $ Liquid High Yield Index down 0.9%.
New ProShares ETFs
2014 saw a significant expansion of our alternative ETF offerings. We launched four new ETFs during the period — TYTE and WYDE, which offer "pure" exposure to high yield credit; EFAD, focused on the strongest dividend growers of the MSCI EAFE Index; and ALTS, a comprehensive multi-alternative solution powered by a Morningstar index.
We appreciate the trust you have placed in ProShares by investing in our ETFs, and we look forward to continuing to serve your investing needs.
Sincerely,
Michael L. Sapir
Chairman of the Board of Trustees
PROSHARES.COM :: I
ALLOCATION OF PORTFOLIO HOLDINGS &
INDEX
COMPOSITION
II :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Morningstar Alternatives Solution ETF (Ticker: ALTS) ALTERNATIVE SOLUTIONS PROSHARES
ProShares Morningstar Alternatives Solution ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Morningstar® Diversified Alternatives IndexSM (the "Index"). The Index is designed to provide diversified exposure to alternative asset classes in order to enhance risk adjusted portfolio returns when combined with a range of traditional investments. It allocates among a comprehensive set of alternative exchange-traded funds ("ETFs") that employ alternative and non-traditional strategies such as long/short, market neutral, managed futures, hedge fund replication, private equity, infrastructure or inflation-related investments. The Index consists exclusively of ProShares ETFs.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
100 |
% |
|||||
Swap Agreements |
— |
||||||
Futures Contracts |
— |
||||||
Total Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
ProShares Hedge
Replication ETF |
22.0 |
% |
|||||
ProShares RAFI Long/Short |
21.9 |
% |
|||||
ProShares Managed Futures
Strategy ETF |
20.3 |
% |
|||||
ProShares DJ Brookfield Global Infrastructure ETF |
16.3 |
% |
|||||
ProShares Merger ETF |
10.7 |
% |
Morningstar Diversified Alternatives Index – Composition
% of Index |
|||||||
Hedge Fund Replication |
22.1 |
% |
|||||
Market Neutral |
22.0 |
% |
|||||
Managed Futures |
20.3 |
% |
|||||
Infrastructure |
16.3 |
% |
|||||
Long/Short |
10.7 |
% |
|||||
Private Equity |
6.1 |
% |
|||||
Inflation |
2.5 |
% |
ProShares DJ Brookfield Global Infrastructure ETF (Ticker: TOLZ) SPECIALTY EQUITY PROSHARES
ProShares DJ Brookfield Global Infrastructure ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Dow Jones Brookfield Global Infrastructure Composite Index (the "Index"). The Index, constructed and maintained by S&P Dow Jones Indices LLC, consists of companies domiciled globally that qualify as "pure-play" infrastructure companies — companies whose primary business is the ownership and operation of infrastructure assets, activities that generally generate long-term stable cash flows.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
National Grid PLC |
7.9 |
% |
|||||
American Tower Corp. |
4.4 |
% |
|||||
Kinder Morgan, Inc. |
4.3 |
% |
|||||
Enbridge, Inc. |
3.2 |
% |
|||||
Crown Castle
International Corp. |
3.0 |
% |
Dow Jones Brookfield Global Infrastructure Composite
Index – Composition
% of Index |
|||||||
Utilities |
38.0 |
% |
|||||
Energy |
34.8 |
% |
|||||
Industrials |
9.0 |
% |
|||||
Financials |
8.1 |
% |
|||||
Consumer, Non-cyclical |
5.8 |
% |
|||||
Communications |
3.1 |
% |
|||||
Diversified |
0.9 |
% |
|||||
Consumer, Cyclical |
0.3 |
% |
Dow Jones Brookfield Global Infrastructure Composite
Index – Country
% of Index |
|||||||
United States |
50.4 |
% |
|||||
United Kingdom |
11.9 |
% |
|||||
Canada |
10.8 |
% |
|||||
Other |
7.3 |
% |
|||||
Spain |
4.6 |
% |
|||||
Australia |
4.1 |
% |
|||||
Italy |
3.4 |
% |
|||||
China |
2.8 |
% |
|||||
Luxembourg |
2.4 |
% |
|||||
France |
2.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: III
ProShares Global Listed Private Equity ETF (Ticker: PEX)
ProShares Global Listed Private Equity ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the LPX Direct Listed Private Equity Index (the "Index"). The Index, published by LPX GmbH ("LPX"), consists of up to 30 qualifying listed private equity companies. A listed private equity company is an eligible candidate for the Index if its direct private equity investments, as well as cash and cash equivalent positions and post-Initial Public Offering listed investments, represent more than 80% of the total assts of the company.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
3 |
i Group PLC |
11.0 |
% |
||||
Ares Capital Corp. |
9.8 |
% |
|||||
Onex Corp. |
9.7 |
% |
|||||
American Capital Ltd. |
8.0 |
% |
|||||
Prospect Capital Corp. |
6.1 |
% |
LPX Direct Listed Private Equity
Index –
Country
% of Index |
|||||||
United States |
48.2 |
% |
|||||
Britain |
20.8 |
% |
|||||
France |
10.3 |
% |
|||||
Canada |
9.9 |
% |
|||||
Malta |
3.9 |
% |
|||||
Sweden |
2.7 |
% |
|||||
Belgium |
2.0 |
% |
|||||
Switzerland |
1.2 |
% |
|||||
Germany |
0.6 |
% |
|||||
Other |
0.4 |
% |
ProShares Large Cap Core Plus (Ticker: CSM)
ProShares Large Cap Core Plus (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 130/30 Large Cap Index (the "Index"). The Index is designed to replicate an investment strategy that establishes either long or short positions in the stocks of certain of the 500 largest U.S. companies based on market capitalization by applying a rules-based ranking and weighting methodology. The Index intends to provide representation of a quantitatively constructed 130/30 U.S. large cap equity strategy. This results in the Index having total long exposure of 130% and total short exposure of 30% at each monthly reconstitution date.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
96 |
% |
|||||
Swap Agreements (Long) |
34 |
% |
|||||
Swap Agreements (Short) |
(30 |
%) |
|||||
Net Exposure |
100 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.5 |
% |
|||||
Microsoft Corp. |
1.3 |
% |
|||||
Exxon Mobil Corp. |
1.3 |
% |
|||||
Johnson & Johnson |
1.1 |
% |
|||||
PepsiCo, Inc. |
0.9 |
% |
Credit Suisse 130/30 Large Cap
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
20.0 |
% |
|||||
Financials |
19.5 |
% |
|||||
Industrials |
12.0 |
% |
|||||
Technology |
11.4 |
% |
|||||
Consumer, Cyclical |
11.2 |
% |
|||||
Communications |
8.4 |
% |
|||||
Energy |
7.0 |
% |
|||||
Utilities |
6.3 |
% |
|||||
Basic Materials |
4.0 |
% |
|||||
Diversified |
0.2 |
% |
ProShares S&P 500 Dividend Aristocrats ETF (Ticker: NOBL) DIVIDEND GROWERS PROSHARES
ProShares S&P 500 Dividend Aristocrats ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P 500® Dividend Aristocrats® Index (the "Index"). The Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P 500®, have increased dividend payments each year for at least 25 years, and meet certain market capitalization and liquidity requirements. The Index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the Index weight.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
99 |
% |
|||||
Total Exposure |
99 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
AbbVie, Inc. |
2.1 |
% |
|||||
Leggett & Platt, Inc. |
2.1 |
% |
|||||
Target Corp. |
2.1 |
% |
|||||
3M Co. |
2.0 |
% |
|||||
PPG Industries, Inc. |
2.0 |
% |
S&P 500 Dividend Aristocrats
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
39.0 |
% |
|||||
Consumer, Cyclical |
19.0 |
% |
|||||
Industrials |
13.0 |
% |
|||||
Basic Materials |
11.2 |
% |
|||||
Financials |
11.0 |
% |
|||||
Energy |
3.3 |
% |
|||||
Utilities |
1.8 |
% |
|||||
Communications |
1.7 |
% |
IV :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares MSCI EAFE Dividend Growers ETF (Ticker: EFAD)
ProShares MSCI EAFE Dividend Growers ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the MSCI EAFE Dividend Master Index (the "Index"). The Index, constructed and maintained by MSCI, targets companies that are currently members of the MSCI EAFE Index and have increased dividend payments each year for at least 10 years.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Kerry Group PLC, Class A |
2.1 |
% |
|||||
SES S.A.(FDR) |
2.0 |
% |
|||||
Sky PLC |
2.0 |
% |
|||||
Red Electrica Corp. S.A. |
2.0 |
% |
|||||
Abertis Infraestructuras S.A. |
2.0 |
% |
MSCI EAFE Dividend Master
Index –
Composition
% of Index |
|||||||
Health care |
20.8 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
15.4 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Materials |
9.3 |
% |
|||||
Utilities |
7.7 |
% |
|||||
Financials |
5.7 |
% |
|||||
Energy |
4.9 |
% |
|||||
Telecommunication Services |
2.1 |
% |
|||||
Information Technology |
2.0 |
% |
MSCI EAFE Dividend Master
Index –
Country
% of Index |
|||||||
United Kingdom |
49.2 |
% |
|||||
Switzerland |
9.6 |
% |
|||||
Other |
9.2 |
% |
|||||
Japan |
7.0 |
% |
|||||
Spain |
6.0 |
% |
|||||
Denmark |
5.7 |
% |
|||||
Australia |
5.3 |
% |
|||||
Germany |
3.9 |
% |
|||||
Ireland |
2.1 |
% |
|||||
France |
2.0 |
% |
ProShares High Yield-Interest Rate Hedged (Ticker: HYHG) HEDGED FIXED INCOME PROSHARES
ProShares High Yield-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi High Yield (Treasury Rate-Hedged) Index (the "Index"). The Index is comprised of (a) long positions in USD-denominated high yield corporate bonds and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the high yield bonds.
Market Exposure
Investment Type |
% of Net Assets |
||||||
High Yield Bonds |
96 |
% |
|||||
U.S. Treasury Notes Futures Contracts |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Chrysler Group LLC/CG
Co.-Issuer, Inc., 8.00%, due 06/15/19 |
1.5 |
% |
|||||
B/E Aerospace, Inc., 5.25%, due 04/01/22 |
1.3 |
% |
|||||
First Data Corp., 12.63%,
due 01/15/21 |
1.3 |
% |
|||||
CHS/Community Health Systems, Inc., 8.00%, due 11/15/19 |
1.3 |
% |
|||||
Valeant Pharmaceuticals
International, Inc., 7.50%, due 07/15/21 |
1.2 |
% |
Citi High Yield (Treasury Rate-Hedged) Index – High Yield Bond Composition
% of High Yield
Bonds |
|||||||
Industrials |
82.7 |
% |
|||||
Utilities |
10.9 |
% |
|||||
Financials |
6.4 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: V
ProShares Investment Grade-Interest Rate Hedged (Ticker: IGHG)
ProShares Investment Grade-Interest Rate Hedged (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Citi Corporate Investment Grade (Treasury Rate-Hedged) Index (the "Index"). The Index is comprised of (a) long positions in USD-denominated investment grade corporate bonds issued by both U.S. and foreign domiciled companies; and (b) short positions in U.S. Treasury notes or bonds of, in aggregate, approximate equivalent duration to the investment grade bonds.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
97 |
% |
|||||
Futures Contracts |
(97 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Wells Fargo Bank N.A.,
6.60%, due 01/15/38 |
1.8 |
% |
|||||
Citigroup, Inc., 3.88%, due 10/25/23 |
1.7 |
% |
|||||
Goldman Sachs Group, Inc.
(The), 6.13%, due 02/15/33 |
1.6 |
% |
|||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., 3.88%, due 02/08/22 |
1.6 |
% |
|||||
General Electric Capital
Corp., 6.88%, due 01/10/39 |
1.5 |
% |
Citi Corporate Investment Grade (Treasury
Rate-Hedged)
Index – Composition
% of High Yield
Bond |
|||||||
Industrials |
57.5 |
% |
|||||
Financials |
33.0 |
% |
|||||
Utilities |
9.5 |
% |
ProShares USD Covered Bond (Ticker: COBO) GLOBAL FIXED INCOME PROSHARES
ProShares USD Covered Bond (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Solactive® Diversified USD Covered Bond Index (the "Index"). The Index, published by Solactive AG, seeks to track the performance of U.S. dollar-denominated Covered Bonds that are generally rated "AAA" (or its equivalent). Specifically, the Index aims to include the universe of U.S. dollar-denominated fixed-rate Covered Bonds that conform to the eligibility criteria for the Index.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Covered Bonds |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Royal Bank of Canada,
2.00%, due 10/01/18 |
5.1 |
% |
|||||
SpareBank 1 Boligkreditt AS, 1.25%, due 05/02/18 |
4.8 |
% |
|||||
Stadshypotek AB,
1.25%, due 05/23/18 |
4.8 |
% |
|||||
Toronto-Dominion Bank (The), 1.63%, due 09/14/16 |
4.8 |
% |
|||||
Barclays Bank PLC,
2.25%, due 05/10/17 |
4.6 |
% |
Solactive Diversified USD Covered Bond Index – Country
% of Index |
|||||||
Canada |
41.6 |
% |
|||||
Australia |
22.7 |
% |
|||||
Sweden |
11.3 |
% |
|||||
Norway |
9.3 |
% |
|||||
United Kingdom |
5.4 |
% |
|||||
Switzerland |
4.5 |
% |
|||||
Netherlands |
2.2 |
% |
|||||
Germany |
1.5 |
% |
|||||
France |
1.5 |
% |
ProShares German Sovereign/Sub-Sovereign ETF (Ticker: GGOV)
ProShares German Sovereign/Sub-Sovereign ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Markit iBoxx EUR Germany Sovereign & Sub-Sovereign Liquid Index (the "Index"). The Index, published by Markit Group Limited, seeks to track the performance of fixed rate debt securities of the Federal Republic of Germany ("Sovereign") as well as local governments and entities or agencies guaranteed by various German governments ("Sub-Sovereign") issuers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
98 |
% |
|||||
Total Exposure |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
NRW Bank, 3.88%,
due 01/27/20 |
1.9 |
% |
|||||
Landeskreditbank Baden-Wuerttemberg Foerderbank, 3.50%, due 07/04/16 |
1.9 |
% |
|||||
Landwirtschaftliche
Rentenbank, 2.88%, due 08/30/21 |
1.8 |
% |
|||||
Landwirtschaftliche Rentenbank, 1.25%, due 05/20/22 |
1.7 |
% |
|||||
NRW Bank, 0.63%,
due 08/01/16 |
1.7 |
% |
Markit iBoxx EUR Germany
Sovereign &
Sub-Sovereign Liquid
Index – Composition
% of Index |
|||||||
Sub-Sovereigns |
76.0 |
% |
|||||
Sovereigns |
24.0 |
% |
VI :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short Term USD Emerging Markets Bond ETF (Ticker: EMSH)
ProShares Short Term USD Emerging Markets Bond ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the DBIQ Short Duration Emerging Market Bond Index (the "Index"). The Index is comprised of a diversified portfolio of USD-denominated Emerging Market bonds that have less than five years remaining to maturity that are issued by Emerging Market sovereign governments, non-sovereign government agencies and entities, and corporations with significant government ownership.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Fixed-Income Securities |
97 |
% |
|||||
Total Exposure |
97 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Long-Term Fixed-Income Holdings
% of Net Assets |
|||||||
Gazprom OAO Via Gaz
Capital S.A., 6.21%, due 11/22/16 |
4.3 |
% |
|||||
Hrvatska Elektroprivreda, 6.00%, due 11/09/17 |
3.3 |
% |
|||||
Petroleos Mexicanos,
5.75%, due 03/01/18 |
2.9 |
% |
|||||
Power Sector Assets & Liabilities Management Corp., 6.88%, due 11/02/16 |
2.8 |
% |
|||||
Bank of Ceylon, 6.88%,
due 05/03/17 |
2.7 |
% |
DBIQ Short Duration Emerging Market Bond Index – Country
% of Index |
|||||||
Other |
25.6 |
% |
|||||
Russian Federation |
13.5 |
% |
|||||
Qatar |
8.8 |
% |
|||||
Indonesia |
8.6 |
% |
|||||
Brazil |
8.5 |
% |
|||||
Mexico |
8.3 |
% |
|||||
Turkey |
8.0 |
% |
|||||
Ukraine |
6.6 |
% |
|||||
Venezuela |
6.6 |
% |
|||||
Poland |
5.5 |
% |
ProShares Hedge Replication ETF (Ticker: HDG) HEDGE STRATEGIES PROSHARES
ProShares Hedge Replication ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Merrill Lynch Factor Model — Exchange Series (the "Benchmark"). The Benchmark, established by Merrill Lynch International, seeks to provide the risk and return characteristics of the hedge fund asset class by targeting a high correlation to the HFRI Fund Weighted Composite Index (the "HFRI"). The HFRI is designed to reflect hedge fund industry performance through an equally weighted composite of over 2000 constituent funds.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
19 |
% |
|||||
U.S. Treasury Bill |
61 |
% |
|||||
Swap Agreements (Long) |
17 |
% |
|||||
Short Euro Futures Contracts |
(5 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
0.5 |
% |
|||||
Microsoft Corp. |
0.3 |
% |
|||||
Exxon Mobil Corp. |
0.2 |
% |
|||||
Johnson & Johnson |
0.2 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
0.2 |
% |
Merrill Lynch Factor Model – Exchange Series – Composition
% of Benchmark |
|||||||
On-The-Run T-Bill |
61.6 |
% |
|||||
S&P 500® Total Return Index |
12.1 |
% |
|||||
MSCI EAFE® US Dollar Net
Total Return Index |
11.0 |
% |
|||||
Russell 2000® Total Return Index |
9.6 |
% |
|||||
MSCI Emerging Markets
Free US Dollar Net Total Return Index |
3.2 |
% |
|||||
ProShares UltraShort Euro ETF |
2.5 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: VII
ProShares Merger ETF (Ticker: MRGR)
ProShares Merger ETF (the "Fund") seeks investment results, before fees and expenses, that track the performance of the S&P Merger Arbitrage Index (the "Index"). The Index, created by Standard & Poor's®, provides exposure to up to 40 publicly announced mergers, acquisitions and reorganizations (the "Deals") within developed market countries through a combination of long and, in certain cases, short security positions. The Index also includes a Treasury bill component which constitutes the remainder of the Index when net exposure from included Deals is less than 100%.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
91 |
% |
|||||
Swap Agreements (Long) |
28 |
% |
|||||
Swap Agreements (Short) |
(44 |
%) |
|||||
Forward Currency Contracts |
(24 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
TriQuint Semiconductor, Inc. |
4.9 |
% |
|||||
Covidien PLC |
2.7 |
% |
|||||
Nutreco N.V. |
2.6 |
% |
|||||
Prosensa Holding N.V. |
2.5 |
% |
|||||
Chiquita Brands
International, Inc. |
2.5 |
% |
Regional Exposure
% of Index |
|||||||
United States |
73.1 |
% |
|||||
Netherlands |
7.3 |
% |
|||||
Finland |
6.6 |
% |
|||||
Norway |
5.9 |
% |
|||||
United Kingdom |
3.6 |
% |
|||||
Canada |
3.5 |
% |
|||||
Singapore |
3.5 |
% |
|||||
Australia |
(3.5 |
%) |
S&P Merger Arbitrage
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
27.2 |
% |
|||||
Technology |
21.4 |
% |
|||||
Industrials |
12.7 |
% |
|||||
Financials |
10.6 |
% |
|||||
Utilities |
8.4 |
% |
|||||
Consumer, Cyclical |
6.2 |
% |
|||||
Communications |
4.9 |
% |
|||||
Energy |
4.4 |
% |
|||||
Basic Materials |
4.2 |
% |
ProShares RAFI® Long/Short (Ticker: RALS)
ProShares RAFI® Long/Short (the "Fund") seeks investment results, before fees and expenses, that track the performance of the RAFI® US Equity Long/Short Index (the "Index"). The Index seeks to utilize the Research Affiliates Fundamental Index (RAFI®) weighting methodology to identify opportunities which are implemented through both long and short securities positions. The Index compares RAFI® constituent weightings to market capitalization (CAP) weights for a selection of U.S. domiciled publicly traded companies listed on major exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
97 |
% |
|||||
Swap Agreements (Long) |
3 |
% |
|||||
Swap Agreements (Short) |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
AT&T, Inc. |
1.7 |
% |
|||||
Bank of America Corp. |
1.5 |
% |
|||||
Chevron Corp. |
1.5 |
% |
|||||
Intel Corp. |
1.3 |
% |
|||||
JPMorgan Chase & Co. |
1.2 |
% |
RAFI US Equity Long/Short
Index –
Composition
% of Index |
|||||||
Financials |
22.2 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Health care |
11.8 |
% |
|||||
Energy |
11.4 |
% |
|||||
Technology |
10.8 |
% |
|||||
Industrials |
8.4 |
% |
|||||
Consumer, Non-Cyclical |
7.8 |
% |
|||||
Utilities |
5.6 |
% |
|||||
Basic Materials |
5.1 |
% |
|||||
Telecommunications |
3.5 |
% |
VIII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares 30 Year TIPS/TSY Spread (Ticker: RINF) INFLATION PROSHARES
ProShares 30 Year TIPS/TSY Spread (the "Fund") seeks investment results, before fees and expenses, that track the performance of the Credit Suisse 30-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities ("TIPS") bond and duration-adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a breakeven rate of inflation ("BEI"). The 30-year BEI is considered to be a measure of the market's expectations for inflation for the next thirty years.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
84 |
% |
|||||
Swap Agreements (Long) |
16 |
% |
|||||
Swap Agreements (Short) |
(131 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Credit Suisse 30-Year Inflation Breakeven
Index –
Composition
% of Index |
|||||||
30-Year Treasury Inflation-Protected Securities (TIPS) |
100.0 |
% |
|||||
30-Year U.S. Treasury Bond |
(130.9 |
%) |
ProShares Short 30 Year TIPS/TSY Spread (Ticker: FINF)
ProShares Short 30 Year TIPS/TSY Spread (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Credit Suisse 30-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 30-year Treasury Inflation-Protected Securities (TIPS) bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
76 |
% |
|||||
Swap Agreements (Long) |
55 |
% |
|||||
Swap Agreements (Short) |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Credit Suisse 30-Year Inflation Breakeven
Index –
Composition
% of Index |
|||||||
30-Year Treasury Inflation-Protected Securities (TIPS) |
100.0 |
% |
|||||
30-Year U.S. Treasury Bond |
(130.9 |
%) |
ProShares UltraPro 10 Year TIPS/TSY Spread (Ticker: UINF)
ProShares UltraPro 10 Year TIPS/TSY Spread (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Credit Suisse 10-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 10-year Treasury Inflation-Protected Securities (TIPS) bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
90 |
% |
|||||
Swap Agreements (Long) |
210 |
% |
|||||
Swap Agreements (Short) |
(341 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Credit Suisse 10-Year Inflation Breakeven
Index –
Composition
% of Index |
|||||||
10-Year Treasury Inflation-Protected Securities (TIPS) |
100.0 |
% |
|||||
10-Year U.S. Treasury Note |
(113.7 |
%) |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: IX
ProShares UltraPro Short 10 Year TIPS/TSY Spread (Ticker: SINF)
ProShares UltraPro Short 10 Year TIPS/TSY Spread (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Credit Suisse 10-Year Inflation Breakeven Index (the "Index"). The Index tracks the performance of long positions in the most recently issued 10-year Treasury Inflation-Protected Securities (TIPS) bond and duration adjusted short positions in U.S. Treasury bonds of the closest maturity. The difference in yield (or "spread") between these bonds (Treasury yield minus TIPS yield) is commonly referred to as a "breakeven rate of inflation."
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Tem U.S. Treasury Obligations |
88 |
% |
|||||
Swap Agreements (Long) |
253 |
% |
|||||
Swap Agreements (Short) |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Credit Suisse 10-Year Inflation Breakeven Index – Composition
% of Index |
|||||||
10-Year Treasury Inflation-Protected Securities (TIPS) |
100.0 |
% |
|||||
10-Year U.S. Treasury Note |
(113.7 |
%) |
ProShares CDS North American HY Credit ETF (Ticker: TYTE) CREDIT PROSHARES
ProShares CDS North American HY Credit ETF (the "Fund") seeks to provide long exposure to the credit of North American high yield debt issuers. The Fund seeks to achieve its investment objective primarily through investing in a portfolio of credit derivatives whose underlying reference entities are North American high yield (i.e., below investment grade or "junk bond") debt issuers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Credit Default Swap ("CDS") Agreements |
98 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Industry Exposure
% of Exposure |
|||||||
Consumer, Cyclical |
30.2 |
% |
|||||
Consumer, Non-cyclical |
14.9 |
% |
|||||
Communications |
14.0 |
% |
|||||
Financials |
11.9 |
% |
|||||
Industrials |
8.0 |
% |
|||||
Technology |
8.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Energy |
5.0 |
% |
|||||
Utilities |
3.0 |
% |
ProShares CDS Short North American HY Credit ETF (Ticker: WYDE)
ProShares CDS Short North American HY Credit ETF (the "Fund") seeks to provide inverse exposure to the credit of North American high yield debt issuers. The Fund seeks to achieve its investment objective primarily through investing in a portfolio of credit derivatives whose underlying reference entities are North American high yield (i.e., below investment grade or "junk bond") debt issuers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Credit Default Swap ("CDS") Agreements |
(99 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Industry Exposure
% of Exposure |
|||||||
Consumer, Cyclical |
30.2 |
% |
|||||
Consumer, Non-cyclical |
14.9 |
% |
|||||
Communications |
14.0 |
% |
|||||
Financials |
11.9 |
% |
|||||
Industrials |
8.0 |
% |
|||||
Technology |
8.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Energy |
5.0 |
% |
|||||
Utilities |
3.0 |
% |
X :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short S&P500® (Ticker: SH) GEARED PROSHARES
ProShares Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(97 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
23.0 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
11.6 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Consumer, Cyclical |
9.8 |
% |
|||||
Energy |
8.4 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Basic Materials |
3.0 |
% |
ProShares Short QQQ® (Ticker: PSQ)
ProShares Short QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(98 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
41.4 |
% |
|||||
Communications |
31.4 |
% |
|||||
Consumer, Non-cyclical |
18.9 |
% |
|||||
Consumer, Cyclical |
6.8 |
% |
|||||
Industrials |
1.2 |
% |
|||||
Basic Materials |
0.3 |
% |
ProShares Short Dow30SM (Ticker: DOG)
ProShares Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(95 |
%) |
|||||
Futures Contracts |
(5 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index |
|||||||
Financials |
25.3 |
% |
|||||
Industrials |
19.2 |
% |
|||||
Consumer, Non-cyclical |
15.6 |
% |
|||||
Consumer, Cyclical |
13.8 |
% |
|||||
Technology |
8.9 |
% |
|||||
Communications |
7.4 |
% |
|||||
Energy |
7.2 |
% |
|||||
Basic Materials |
2.6 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XI
ProShares Short MidCap400 (Ticker: MYY)
ProShares Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(91 |
%) |
|||||
Futures Contracts |
(9 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
22.8 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
17.0 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
10.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Energy |
4.3 |
% |
|||||
Communications |
4.1 |
% |
ProShares Short Russell2000 (Ticker: RWM)
ProShares Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(89 |
%) |
|||||
Futures Contracts |
(11 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
24.1 |
% |
|||||
Consumer, Non-cyclical |
20.9 |
% |
|||||
Consumer, Cyclical |
13.6 |
% |
|||||
Industrials |
12.7 |
% |
|||||
Technology |
11.0 |
% |
|||||
Communications |
6.6 |
% |
|||||
Energy |
3.8 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Diversified |
0.2 |
% |
|||||
Government |
0.1 |
% |
ProShares Short SmallCap600 (Ticker: SBB)
ProShares Short SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P SmallCap 600® Index (the "Index"). The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors criteria such as liquidity, price, market capitalization, financial viability and public float.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
17.1 |
% |
|||||
Consumer, Cyclical |
16.8 |
% |
|||||
Industrials |
16.0 |
% |
|||||
Technology |
11.4 |
% |
|||||
Basic Materials |
4.6 |
% |
|||||
Communications |
4.3 |
% |
|||||
Utilities |
3.7 |
% |
|||||
Energy |
3.5 |
% |
XII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Russell3000 (Ticker: TWQ)
ProShares UltraShort Russell3000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 3000® Index (the "Index"). The Index offers investors access to the broad U.S. equity universe representing approximately 98% of the U.S. market. The Index is designed to be a comprehensive representation of the investable U.S. equity market and its segments. It is a free float-adjusted, market capitalization-weighted index, and includes only common stocks belonging to corporations incorporated in the U.S. and its territories.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 3000 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.4 |
% |
|||||
Financials |
18.0 |
% |
|||||
Technology |
13.0 |
% |
|||||
Industrials |
11.0 |
% |
|||||
Communications |
11.0 |
% |
|||||
Consumer, Cyclical |
10.8 |
% |
|||||
Energy |
7.4 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraShort S&P500® (Ticker: SDS)
ProShares UltraShort S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(197 |
%) |
|||||
Futures Contracts |
(3 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
23.0 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
11.6 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Consumer, Cyclical |
9.8 |
% |
|||||
Energy |
8.4 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Basic Materials |
3.0 |
% |
ProShares UltraShort QQQ® (Ticker: QID)
ProShares UltraShort QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
41.4 |
% |
|||||
Communications |
31.4 |
% |
|||||
Consumer, Non-cyclical |
18.9 |
% |
|||||
Consumer, Cyclical |
6.8 |
% |
|||||
Industrials |
1.2 |
% |
|||||
Basic Materials |
0.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XIII
ProShares UltraShort Dow30SM (Ticker: DXD)
ProShares UltraShort Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index |
|||||||
Financials |
25.3 |
% |
|||||
Industrials |
19.2 |
% |
|||||
Consumer, Non-cyclical |
15.6 |
% |
|||||
Consumer, Cyclical |
13.8 |
% |
|||||
Technology |
8.9 |
% |
|||||
Communications |
7.4 |
% |
|||||
Energy |
7.2 |
% |
|||||
Basic Materials |
2.6 |
% |
ProShares UltraShort MidCap400 (Ticker: MZZ)
ProShares UltraShort MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(181 |
%) |
|||||
Futures Contracts |
(19 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
22.8 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
17.0 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
10.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Energy |
4.3 |
% |
|||||
Communications |
4.1 |
% |
ProShares UltraShort Russell2000 (Ticker: TWM)
ProShares UltraShort Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(190 |
%) |
|||||
Futures Contracts |
(10 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
24.1 |
% |
|||||
Consumer, Non-cyclical |
20.9 |
% |
|||||
Consumer, Cyclical |
13.6 |
% |
|||||
Industrials |
12.7 |
% |
|||||
Technology |
11.0 |
% |
|||||
Communications |
6.6 |
% |
|||||
Energy |
3.8 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Diversified |
0.2 |
% |
|||||
Government |
0.1 |
% |
XIV :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort SmallCap600 (Ticker: SDD)
ProShares UltraShort SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the S&P SmallCap 600® Index (the "Index"). The Index is a measure of small-cap company U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P SmallCap 600 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
17.1 |
% |
|||||
Consumer, Cyclical |
16.8 |
% |
|||||
Industrials |
16.0 |
% |
|||||
Technology |
11.4 |
% |
|||||
Basic Materials |
4.6 |
% |
|||||
Communications |
4.3 |
% |
|||||
Utilities |
3.7 |
% |
|||||
Energy |
3.5 |
% |
ProShares UltraPro Short S&P500® (Ticker: SPXU)
ProShares UltraPro Short S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(293 |
%) |
|||||
Futures Contracts |
(7 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
23.0 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
11.6 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Consumer, Cyclical |
9.8 |
% |
|||||
Energy |
8.4 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Basic Materials |
3.0 |
% |
ProShares UltraPro Short QQQ® (Ticker: SQQQ)
ProShares UltraPro Short QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(299 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
41.4 |
% |
|||||
Communications |
31.4 |
% |
|||||
Consumer, Non-cyclical |
18.9 |
% |
|||||
Consumer, Cyclical |
6.8 |
% |
|||||
Industrials |
1.2 |
% |
|||||
Basic Materials |
0.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XV
ProShares UltraPro Short Dow30SM (Ticker: SDOW)
ProShares UltraPro Short Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(299 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones Industrial Average Index – Composition
% of Index |
|||||||
Financials |
25.3 |
% |
|||||
Industrials |
19.2 |
% |
|||||
Consumer, Non-cyclical |
15.6 |
% |
|||||
Consumer, Cyclical |
13.8 |
% |
|||||
Technology |
8.9 |
% |
|||||
Communications |
7.4 |
% |
|||||
Energy |
7.2 |
% |
|||||
Basic Materials |
2.6 |
% |
ProShares UltraPro Short MidCap400 (Ticker: SMDD)
ProShares UltraPro Short MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(278 |
%) |
|||||
Futures Contracts |
(22 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
22.8 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
17.0 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
10.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Energy |
4.3 |
% |
|||||
Communications |
4.1 |
% |
ProShares UltraPro Short Russell2000 (Ticker: SRTY)
ProShares UltraPro Short Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(281 |
%) |
|||||
Futures Contracts |
(19 |
%) |
|||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
24.1 |
% |
|||||
Consumer, Non-cyclical |
20.9 |
% |
|||||
Consumer, Cyclical |
13.6 |
% |
|||||
Industrials |
12.7 |
% |
|||||
Technology |
11.0 |
% |
|||||
Communications |
6.6 |
% |
|||||
Energy |
3.8 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Diversified |
0.2 |
% |
|||||
Government |
0.1 |
% |
XVI :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Russell1000 Value (Ticker: SJF)
ProShares UltraShort Russell1000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 1000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 1000 Value Index – Composition
% of Index |
|||||||
Financials |
29.4 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Energy |
11.0 |
% |
|||||
Industrials |
10.7 |
% |
|||||
Consumer, Cyclical |
7.4 |
% |
|||||
Technology |
6.8 |
% |
|||||
Communications |
6.5 |
% |
|||||
Utilities |
6.3 |
% |
|||||
Basic Materials |
2.8 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraShort Russell1000 Growth (Ticker: SFK)
ProShares UltraShort Russell1000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 1000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 1000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.8 |
% |
|||||
Technology |
19.3 |
% |
|||||
Communications |
15.9 |
% |
|||||
Consumer, Cyclical |
13.7 |
% |
|||||
Industrials |
11.0 |
% |
|||||
Financials |
6.1 |
% |
|||||
Energy |
4.5 |
% |
|||||
Basic Materials |
3.5 |
% |
|||||
Utilities |
0.1 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraShort Russell MidCap Value (Ticker: SJL)
ProShares UltraShort Russell MidCap Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell Midcap® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Value Index – Composition
% of Index |
|||||||
Financials |
32.7 |
% |
|||||
Consumer, Non-cyclical |
13.8 |
% |
|||||
Utilities |
12.3 |
% |
|||||
Industrials |
10.3 |
% |
|||||
Consumer, Cyclical |
9.1 |
% |
|||||
Technology |
8.3 |
% |
|||||
Basic Materials |
5.8 |
% |
|||||
Energy |
3.9 |
% |
|||||
Communications |
3.6 |
% |
|||||
Diversified |
0.2 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XVII
ProShares UltraShort Russell MidCap Growth (Ticker: SDK)
ProShares UltraShort Russell MidCap Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell Midcap® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell Midcap Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.2 |
% |
|||||
Consumer, Cyclical |
22.7 |
% |
|||||
Industrials |
13.1 |
% |
|||||
Technology |
12.4 |
% |
|||||
Communications |
9.8 |
% |
|||||
Financials |
8.1 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.1 |
% |
|||||
Utilities |
0.2 |
% |
|||||
Diversified |
0.1 |
% |
ProShares UltraShort Russell2000 Value (Ticker: SJH)
ProShares UltraShort Russell2000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 2000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Value Index – Composition
% of Index |
|||||||
Industrials |
40.2 |
% |
|||||
Consumer, Non-cyclical |
11.6 |
% |
|||||
Consumer, Cyclical |
11.2 |
% |
|||||
Utilities |
11.1 |
% |
|||||
Technology |
6.8 |
% |
|||||
Communications |
6.3 |
% |
|||||
Energy |
5.0 |
% |
|||||
Basic Materials |
3.9 |
% |
|||||
Diversified |
3.7 |
% |
|||||
Government |
0.2 |
% |
ProShares UltraShort Russell2000 Growth (Ticker: SKK)
ProShares UltraShort Russell2000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Russell 2000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Russell 2000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
30.5 |
% |
|||||
Consumer, Cyclical |
16.1 |
% |
|||||
Technology |
15.6 |
% |
|||||
Industrials |
13.8 |
% |
|||||
Financials |
8.3 |
% |
|||||
Communications |
8.3 |
% |
|||||
Energy |
3.7 |
% |
|||||
Basic Materials |
3.5 |
% |
|||||
Diversified |
0.1 |
% |
|||||
Utilities |
0.1 |
% |
XVIII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short Basic Materials (Ticker: SBM)
ProShares Short Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index |
|||||||
Chemicals |
76.3 |
% |
|||||
Industrial Metals |
14.3 |
% |
|||||
Mining |
4.8 |
% |
|||||
Forestry and Paper |
4.6 |
% |
ProShares Short Financials (Ticker: SEF)
ProShares Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index |
|||||||
Banks |
30.8 |
% |
|||||
General Financial |
25.4 |
% |
|||||
Real Estate Investment Trusts |
19.3 |
% |
|||||
Nonlife Insurance |
18.6 |
% |
|||||
Life Insurance |
5.0 |
% |
|||||
Real Estate Investment & Services |
0.9 |
% |
ProShares Short Oil & Gas (Ticker: DDG)
ProShares Short Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index |
|||||||
Oil and Gas Producers |
71.8 |
% |
|||||
Oil Equipment, Services and Distribution |
27.8 |
% |
|||||
Alternative Energy |
0.4 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XIX
ProShares Short Real Estate (Ticker: REK)
ProShares Short Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITs"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index |
|||||||
Real Estate |
100.0 |
% |
ProShares Short KBW Regional Banking (Ticker: KRS)
ProShares Short KBW Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the KBW Regional Banking IndexSM (the "Index"). The Index is an equal-weighted index that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts. Component companies include, among others, leading regional banks or thrifts listed on a U.S. exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
KBW Regional Banking Index – Composition
% of Index |
|||||||
Financials |
100.0 |
% |
ProShares UltraShort Basic Materials (Ticker: SMN)
ProShares UltraShort Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Basic Materials Index – Composition
% of Index |
|||||||
Chemicals |
76.3 |
% |
|||||
Industrial Metals |
14.3 |
% |
|||||
Mining |
4.8 |
% |
|||||
Forestry and Paper |
4.6 |
% |
XX :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Nasdaq Biotechnology (Ticker: BIS)
ProShares UltraShort Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the NASDAQ Biotechnology Index® (the "Index"). The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
NASDAQ Biotechnology Index – Composition
% of Index |
|||||||
Biotechnology |
72.7 |
% |
|||||
Pharmaceuticals |
24.5 |
% |
|||||
Healthcare-Products |
2.4 |
% |
|||||
Holding Companies-Divers |
0.3 |
% |
|||||
Commercial Services |
0.1 |
% |
ProShares UltraShort Consumer Goods (Ticker: SZK)
ProShares UltraShort Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Goods Index – Composition
% of Index |
|||||||
Beverages |
19.2 |
% |
|||||
Household Goods |
18.7 |
% |
|||||
Food Producers |
16.8 |
% |
|||||
Personal Goods |
15.1 |
% |
|||||
Automobiles and Parts |
13.8 |
% |
|||||
Tobacco |
13.0 |
% |
|||||
Leisure Goods |
3.4 |
% |
ProShares UltraShort Consumer Services (Ticker: SCC)
ProShares UltraShort Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Consumer Services Index – Composition
% of Index |
|||||||
General Retailers |
35.9 |
% |
|||||
Media |
27.7 |
% |
|||||
Travel and Leisure |
22.0 |
% |
|||||
Food and Drug Retailers |
14.4 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXI
ProShares UltraShort Financials (Ticker: SKF)
ProShares UltraShort Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index |
|||||||
Banks |
30.8 |
% |
|||||
General Financial |
25.4 |
% |
|||||
Real Estate Investment Trusts |
19.3 |
% |
|||||
Nonlife Insurance |
18.6 |
% |
|||||
Life Insurance |
5.0 |
% |
|||||
Real Estate Investment & Services |
0.9 |
% |
ProShares UltraShort Health Care (Ticker: RXD)
ProShares UltraShort Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Health Care Index – Composition
% of Index |
|||||||
Pharmaceuticals and Biotechnology |
66.2 |
% |
|||||
Health Care Equipment and Services |
33.8 |
% |
ProShares UltraShort Industrials (Ticker: SIJ)
ProShares UltraShort Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Industrials Index – Composition
% of Index |
|||||||
General Industrials |
21.9 |
% |
|||||
Aerospace and Defense |
17.7 |
% |
|||||
Support Services |
16.3 |
% |
|||||
Industrial Engineering |
14.9 |
% |
|||||
Industrial Transportation |
13.9 |
% |
|||||
Electronic & Electrical Equipment |
9.9 |
% |
|||||
Construction and Materials |
5.4 |
% |
XXII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort Oil & Gas (Ticker: DUG)
ProShares UltraShort Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Oil & Gas Index – Composition
% of Index |
|||||||
Oil and Gas Producers |
71.8 |
% |
|||||
Oil Equipment, Services and Distribution |
27.8 |
% |
|||||
Alternative Energy |
0.4 |
% |
ProShares UltraShort Real Estate (Ticker: SRS)
ProShares UltraShort Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITs"). REITs are passive investment vehicles that invest primarily in income producing real estate or real estate related loans or interests.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Real Estate Index – Composition
% of Index |
|||||||
Real Estate |
100.0 |
% |
ProShares UltraShort Semiconductors (Ticker: SSG)
ProShares UltraShort Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Semiconductors Index – Composition
% of Index |
|||||||
Semiconductors |
100.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXIII
ProShares UltraShort Technology (Ticker: REW)
ProShares UltraShort Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Index measures the performance of the technology sector of the U.S. equity market. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Technology Index – Composition
% of Index |
|||||||
Technology Hardware and Equipment |
52.7 |
% |
|||||
Software and Computer Services |
47.3 |
% |
ProShares UltraShort Telecommunications (Ticker: TLL)
ProShares UltraShort Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Index is a measure of U.S. stock market performance of fixed line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Select Telecommunications
Index –
Composition
% of Index |
|||||||
Fixed Line Telecommunications |
68.7 |
% |
|||||
Mobile Telecommunications |
31.3 |
% |
ProShares UltraShort Utilities (Ticker: SDP)
ProShares UltraShort Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Utilities Index – Composition
% of Index |
|||||||
Electricity |
70.2 |
% |
|||||
Gas,Water & MultiUtilities |
29.8 |
% |
XXIV :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraPro Short Financials (Ticker: FINZ)
ProShares UltraPro Short Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(300 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(300 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Dow Jones U.S. Financials Index – Composition
% of Index |
|||||||
Banks |
30.8 |
% |
|||||
General Financial |
25.4 |
% |
|||||
Real Estate Investment Trusts |
19.3 |
% |
|||||
Nonlife Insurance |
18.6 |
% |
|||||
Life Insurance |
5.0 |
% |
|||||
Real Estate Investment & Services |
0.9 |
% |
ProShares Short MSCI EAFE (Ticker: EFZ)
ProShares Short MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the MSCI EAFE Index® (the "Index"). The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index |
|||||||
United Kingdom |
20.9 |
% |
|||||
Japan |
20.8 |
% |
|||||
Other |
12.5 |
% |
|||||
France |
9.8 |
% |
|||||
Switzerland |
9.4 |
% |
|||||
Germany |
9.3 |
% |
|||||
Australia |
7.4 |
% |
|||||
Spain |
3.7 |
% |
|||||
Hong Kong |
3.1 |
% |
|||||
Sweden |
3.1 |
% |
MSCI EAFE Index – Composition
% of Index |
|||||||
Financials |
25.7 |
% |
|||||
Consumer, Non-cyclical |
23.7 |
% |
|||||
Consumer, Cyclical |
12.3 |
% |
|||||
Industrials |
11.4 |
% |
|||||
Communications |
7.6 |
% |
|||||
Basic Materials |
6.7 |
% |
|||||
Energy |
5.7 |
% |
|||||
Utilities |
3.9 |
% |
|||||
Technology |
2.4 |
% |
|||||
Diversified |
0.6 |
% |
ProShares Short MSCI Emerging Markets (Ticker: EUM)
ProShares Short MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in emerging markets countries.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index |
|||||||
China |
20.4 |
% |
|||||
Other |
15.5 |
% |
|||||
Korea |
14.5 |
% |
|||||
Taiwan |
12.3 |
% |
|||||
Brazil |
9.5 |
% |
|||||
South Africa |
7.8 |
% |
|||||
India |
7.2 |
% |
|||||
Mexico |
5.1 |
% |
|||||
Russia |
4.0 |
% |
|||||
Malaysia |
3.7 |
% |
MSCI Emerging Markets
Index –
Composition
% of Index |
|||||||
Financials |
28.0 |
% |
|||||
Communications |
12.6 |
% |
|||||
Technology |
11.9 |
% |
|||||
Consumer, Non-cyclical |
11.0 |
% |
|||||
Energy |
8.7 |
% |
|||||
Consumer, Cyclical |
8.4 |
% |
|||||
Industrials |
7.3 |
% |
|||||
Basic Materials |
6.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Diversified |
2.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXV
ProShares Short FTSE China 50 (Ticker: YXI)
ProShares Short FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the FTSE China 50 Index® (the "Index"). The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
% of Index |
|||||||
Financials |
47.8 |
% |
|||||
Communications |
21.4 |
% |
|||||
Energy |
15.2 |
% |
|||||
Consumer, Cyclical |
5.1 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Industrials |
3.1 |
% |
|||||
Consumer, Non-cyclical |
2.2 |
% |
|||||
Technology |
1.8 |
% |
ProShares UltraShort MSCI EAFE (Ticker: EFU)
ProShares UltraShort MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI EAFE Index® (the "Index"). The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index |
|||||||
United Kingdom |
20.9 |
% |
|||||
Japan |
20.8 |
% |
|||||
Other |
12.5 |
% |
|||||
France |
9.8 |
% |
|||||
Switzerland |
9.4 |
% |
|||||
Germany |
9.3 |
% |
|||||
Australia |
7.4 |
% |
|||||
Spain |
3.7 |
% |
|||||
Hong Kong |
3.1 |
% |
|||||
Sweden |
3.1 |
% |
MSCI EAFE Index – Composition
% of Index |
|||||||
Financials |
25.7 |
% |
|||||
Consumer, Non-cyclical |
23.7 |
% |
|||||
Consumer, Cyclical |
12.3 |
% |
|||||
Industrials |
11.4 |
% |
|||||
Communications |
7.6 |
% |
|||||
Basic Materials |
6.7 |
% |
|||||
Energy |
5.7 |
% |
|||||
Utilities |
3.9 |
% |
|||||
Technology |
2.4 |
% |
|||||
Diversified |
0.6 |
% |
ProShares UltraShort MSCI Emerging Markets (Ticker: EEV)
ProShares UltraShort MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in emerging market countries.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets Index – Country
% of Index |
|||||||
China |
20.4 |
% |
|||||
Other |
15.5 |
% |
|||||
Korea |
14.5 |
% |
|||||
Taiwan |
12.3 |
% |
|||||
Brazil |
9.5 |
% |
|||||
South Africa |
7.8 |
% |
|||||
India |
7.2 |
% |
|||||
Mexico |
5.1 |
% |
|||||
Russia |
4.0 |
% |
|||||
Malaysia |
3.7 |
% |
MSCI Emerging Markets
Index –
Composition
% of Index |
|||||||
Financials |
28.0 |
% |
|||||
Communications |
12.6 |
% |
|||||
Technology |
11.9 |
% |
|||||
Consumer, Non-cyclical |
11.0 |
% |
|||||
Energy |
8.7 |
% |
|||||
Consumer, Cyclical |
8.4 |
% |
|||||
Industrials |
7.3 |
% |
|||||
Basic Materials |
6.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Diversified |
2.1 |
% |
XXVI :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort FTSE Europe (Ticker: EPV)
ProShares UltraShort FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the FTSE Developed Europe Index® (the "Index"). The Index is comprised of large- and mid-cap stocks and targets the performance of approximately 500 large- and mid-cap companies. The Index utilizes free float-adjusted market capitalizations and components are screened for liquidity.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(201 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe Index – Country
% of Index |
|||||||
United Kingdom |
32.0 |
% |
|||||
Switzerland |
14.2 |
% |
|||||
France |
14.0 |
% |
|||||
Germany |
13.7 |
% |
|||||
Other |
5.5 |
% |
|||||
Spain |
5.4 |
% |
|||||
Sweden |
4.7 |
% |
|||||
Netherlands |
4.4 |
% |
|||||
Italy |
3.7 |
% |
|||||
Denmark |
2.4 |
% |
FTSE Developed Europe
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
28.7 |
% |
|||||
Financials |
22.7 |
% |
|||||
Industrials |
9.5 |
% |
|||||
Consumer, Cyclical |
9.1 |
% |
|||||
Communications |
8.4 |
% |
|||||
Energy |
7.8 |
% |
|||||
Basic Materials |
7.1 |
% |
|||||
Utilities |
4.2 |
% |
|||||
Technology |
2.2 |
% |
|||||
Diversified |
0.3 |
% |
ProShares UltraShort MSCI Pacific ex-Japan (Ticker: JPX)
ProShares UltraShort MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Pacific ex-Japan Index® (the "Index"). The Index is a free-float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the eastern Pacific region, excluding Japan. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index – Country
% of Index |
|||||||
Australia |
60.5 |
% |
|||||
Hong Kong |
25.8 |
% |
|||||
Singapore |
12.5 |
% |
|||||
New Zealand |
1.2 |
% |
MSCI Pacific ex-Japan
Index –
Composition
% of Index |
|||||||
Financials |
53.4 |
% |
|||||
Consumer, Non-cyclical |
11.0 |
% |
|||||
Basic Materials |
8.5 |
% |
|||||
Consumer, Cyclical |
5.6 |
% |
|||||
Industrials |
5.6 |
% |
|||||
Utilities |
4.5 |
% |
|||||
Communications |
4.4 |
% |
|||||
Diversified |
4.0 |
% |
|||||
Energy |
2.6 |
% |
|||||
Technology |
0.4 |
% |
ProShares UltraShort MSCI Brazil Capped (Ticker: BZQ)
ProShares UltraShort MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Brazil 25/50 Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
% of Index |
|||||||
Financials |
31.4 |
% |
|||||
Consumer, Non-cyclical |
27.5 |
% |
|||||
Basic Materials |
12.8 |
% |
|||||
Energy |
8.6 |
% |
|||||
Utilities |
5.7 |
% |
|||||
Communications |
3.8 |
% |
|||||
Consumer, Cyclical |
3.4 |
% |
|||||
Industrials |
3.4 |
% |
|||||
Diversified |
2.8 |
% |
|||||
Technology |
0.6 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXVII
ProShares UltraShort FTSE China 50 (Ticker: FXP)
ProShares UltraShort FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the FTSE China 50 Index® (the "Index"). The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(201 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(201 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
% of Index |
|||||||
Financials |
47.8 |
% |
|||||
Communications |
21.4 |
% |
|||||
Energy |
15.2 |
% |
|||||
Consumer, Cyclical |
5.1 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Industrials |
3.1 |
% |
|||||
Consumer, Non-cyclical |
2.2 |
% |
|||||
Technology |
1.8 |
% |
ProShares UltraShort MSCI Japan (Ticker: EWV)
ProShares UltraShort MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Japan Index® (the "Index"). The Index includes 85% of free float-adjusted, market capitalization in each industry group in Japan.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(199 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index |
|||||||
Consumer, Cyclical |
27.1 |
% |
|||||
Industrials |
21.4 |
% |
|||||
Financials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
13.2 |
% |
|||||
Communications |
6.9 |
% |
|||||
Basic Materials |
5.5 |
% |
|||||
Technology |
4.0 |
% |
|||||
Utilities |
2.4 |
% |
|||||
Energy |
0.8 |
% |
ProShares UltraShort MSCI Mexico Capped IMI (Ticker: SMK)
ProShares UltraShort MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the MSCI Mexico IMI 25/50 Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Mexican market by capturing 99% of the (publicly available) total market capitalization. Component companies must meet objective criteria for inclusion in the MSCI Mexico Investable Market Index® , taking into consideration unavailable strategic shareholdings and limitations to foreign ownership.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index – Composition
% of Index |
|||||||
Communications |
25.5 |
% |
|||||
Financials |
20.3 |
% |
|||||
Consumer, Non-cyclical |
18.6 |
% |
|||||
Industrials |
11.8 |
% |
|||||
Consumer, Cyclical |
9.5 |
% |
|||||
Basic Materials |
8.8 |
% |
|||||
Diversified |
5.5 |
% |
XXVIII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Short 7-10 Year Treasury (Ticker: TBX)
ProShares Short 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(99 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index – Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
ProShares Short 20+ Year Treasury (Ticker: TBF)
ProShares Short 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
ProShares Short High Yield (Ticker: SJB)
ProShares Short High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index – Composition
% of Index |
|||||||
High Yield |
100.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXIX
ProShares Short Investment Grade Corporate (Ticker: IGS)
ProShares Short Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
— |
||||||
Swap Agreements |
(100 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(100 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade Index – Composition
% of Index |
|||||||
Investment Grade |
100.0 |
% |
ProShares UltraShort 3-7 Year Treasury (Ticker: TBZ)
ProShares UltraShort 3-7 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. 3-7 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of more than three years and less than seven years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 3-7 Year Treasury Bond Index – Composition
% of Index |
|||||||
3-7 Year U.S. Treasury |
100.0 |
% |
ProShares UltraShort 7-10 Year Treasury (Ticker: PST)
ProShares UltraShort 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(199 |
%) |
|||||
Futures Contracts |
(1 |
%) |
|||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index – Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
XXX :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraShort 20+ Year Treasury (Ticker: TBT)
ProShares UltraShort 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
ProShares UltraShort TIPS (Ticker: TPS)
ProShares UltraShort TIPS (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) (the "Index"). The Index includes all publicly issued TIPS that have at least one year remaining maturity, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par value outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(200 |
%) |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
(200 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. Treasury Inflation Protected Securities
(TIPS)
Index (Series L) – Composition
% of Index |
|||||||
TIPS (Series L) |
100.0 |
% |
ProShares UltraPro Short 20+ Year Treasury (Ticker: TTT)
ProShares UltraPro Short 20+ Year Treasury (the "Fund") seeks investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service or BBB- by S&P), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
U.S. Treasury Obligations |
— |
||||||
Swap Agreements |
(299 |
%) |
|||||
Futures Contracts |
(2 |
%) |
|||||
Total Exposure |
(301 |
%) |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXXI
ProShares Ultra Russell3000 (Ticker: UWC)
ProShares Ultra Russell3000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 3000® Index (the "Index"). The Index offers investors access to the broad U.S. equity universe representing approximately 98% of the U.S. market. The Index is designed to be a comprehensive representation of the investable U.S. equity market and its segments. It is a free float-adjusted, market capitalization-weighted index, and includes only common stocks belonging to corporations incorporated in the U.S. and its territories.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
80 |
% |
|||||
Swap Agreements |
120 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.5 |
% |
|||||
Microsoft Corp. |
1.4 |
% |
|||||
Exxon Mobil Corp. |
1.4 |
% |
|||||
Johnson & Johnson |
1.1 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
1.0 |
% |
Russell 3000 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
22.4 |
% |
|||||
Financials |
18.0 |
% |
|||||
Technology |
13.0 |
% |
|||||
Industrials |
11.0 |
% |
|||||
Communications |
11.0 |
% |
|||||
Consumer, Cyclical |
10.8 |
% |
|||||
Energy |
7.4 |
% |
|||||
Basic Materials |
3.2 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Ultra S&P500® (Ticker: SSO)
ProShares Ultra S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
83 |
% |
|||||
Swap Agreements |
98 |
% |
|||||
Futures Contracts |
19 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
3.2 |
% |
|||||
Microsoft Corp. |
1.8 |
% |
|||||
Exxon Mobil Corp. |
1.7 |
% |
|||||
Johnson & Johnson |
1.4 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
1.2 |
% |
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
23.0 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
11.6 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Consumer, Cyclical |
9.8 |
% |
|||||
Energy |
8.4 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Basic Materials |
3.0 |
% |
ProShares Ultra QQQ® (Ticker: QLD)
ProShares Ultra QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
73 |
% |
|||||
Swap Agreements |
110 |
% |
|||||
Futures Contracts |
17 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
10.8 |
% |
|||||
Microsoft Corp. |
6.0 |
% |
|||||
Intel Corp. |
2.8 |
% |
|||||
Google, Inc., Class C |
2.8 |
% |
|||||
Facebook, Inc., Class A |
2.6 |
% |
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
41.4 |
% |
|||||
Communications |
31.4 |
% |
|||||
Consumer, Non-cyclical |
18.9 |
% |
|||||
Consumer, Cyclical |
6.8 |
% |
|||||
Industrials |
1.2 |
% |
|||||
Basic Materials |
0.3 |
% |
XXXII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Dow30SM (Ticker: DDM)
ProShares Ultra Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
83 |
% |
|||||
Swap Agreements |
102 |
% |
|||||
Futures Contracts |
15 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Visa, Inc., Class A |
7.7 |
% |
|||||
Goldman Sachs Group, Inc. (The) |
5.7 |
% |
|||||
International Business
Machines Corp. |
4.9 |
% |
|||||
3M Co. |
4.8 |
% |
|||||
Boeing Co. (The) |
4.0 |
% |
Dow Jones Industrial Average
Index –
Composition
% of Index |
|||||||
Financials |
25.3 |
% |
|||||
Industrials |
19.2 |
% |
|||||
Consumer, Non-cyclical |
15.6 |
% |
|||||
Consumer, Cyclical |
13.8 |
% |
|||||
Technology |
8.9 |
% |
|||||
Communications |
7.4 |
% |
|||||
Energy |
7.2 |
% |
|||||
Basic Materials |
2.6 |
% |
ProShares Ultra MidCap400 (Ticker: MVV)
ProShares Ultra MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
91 |
% |
|||||
Swap Agreements |
94 |
% |
|||||
Futures Contracts |
15 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Skyworks Solutions, Inc. |
0.7 |
% |
|||||
Equinix, Inc. |
0.7 |
% |
|||||
Henry Schein, Inc. |
0.6 |
% |
|||||
Hanesbrands, Inc. |
0.6 |
% |
|||||
Endo International PLC |
0.6 |
% |
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
22.8 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
17.0 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
10.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Energy |
4.3 |
% |
|||||
Communications |
4.1 |
% |
ProShares Ultra Russell2000 (Ticker: UWM)
ProShares Ultra Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
88 |
% |
|||||
Swap Agreements |
107 |
% |
|||||
Futures Contracts |
5 |
% |
|||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Isis Pharmaceuticals, Inc. |
0.3 |
% |
|||||
Puma Biotechnology, Inc. |
0.3 |
% |
|||||
Brunswick Corp. |
0.2 |
% |
|||||
WEX, Inc. |
0.2 |
% |
|||||
RLJ Lodging Trust |
0.2 |
% |
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
24.1 |
% |
|||||
Consumer, Non-cyclical |
20.9 |
% |
|||||
Consumer, Cyclical |
13.6 |
% |
|||||
Industrials |
12.7 |
% |
|||||
Technology |
11.0 |
% |
|||||
Communications |
6.6 |
% |
|||||
Energy |
3.8 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Diversified |
0.2 |
% |
|||||
Government |
0.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXXIII
ProShares Ultra SmallCap600 (Ticker: SAA)
ProShares Ultra SmallCap600 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P SmallCap 600® Index (the "Index"). The Index is a measure of small-cap company U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 600 U.S. operating companies selected through a process that factors in criteria such as liquidity, price, market capitalization, financial viability and public float.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
72 |
% |
|||||
Swap Agreements |
128 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
TriQuint Semiconductor, Inc. |
0.4 |
% |
|||||
Teledyne Technologies, Inc. |
0.4 |
% |
|||||
West Pharmaceutical
Services, Inc. |
0.4 |
% |
|||||
Toro Co. (The) |
0.4 |
% |
|||||
Tyler Technologies, Inc. |
0.4 |
% |
S&P SmallCap 600 Index – Composition
% of Index |
|||||||
Financials |
22.6 |
% |
|||||
Consumer, Non-cyclical |
17.1 |
% |
|||||
Consumer, Cyclical |
16.8 |
% |
|||||
Industrials |
16.0 |
% |
|||||
Technology |
11.4 |
% |
|||||
Basic Materials |
4.6 |
% |
|||||
Communications |
4.3 |
% |
|||||
Utilities |
3.7 |
% |
|||||
Energy |
3.5 |
% |
ProShares UltraPro S&P500® (Ticker: UPRO)
ProShares UltraPro S&P500® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P 500® Index (the "Index"). The Index is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
217 |
% |
|||||
Futures Contracts |
13 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
2.7 |
% |
|||||
Microsoft Corp. |
1.5 |
% |
|||||
Exxon Mobil Corp. |
1.5 |
% |
|||||
Johnson & Johnson |
1.2 |
% |
|||||
Berkshire Hathaway, Inc.,
Class B |
1.0 |
% |
S&P 500 Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
23.0 |
% |
|||||
Financials |
16.7 |
% |
|||||
Technology |
13.9 |
% |
|||||
Communications |
11.6 |
% |
|||||
Industrials |
10.5 |
% |
|||||
Consumer, Cyclical |
9.8 |
% |
|||||
Energy |
8.4 |
% |
|||||
Utilities |
3.1 |
% |
|||||
Basic Materials |
3.0 |
% |
ProShares UltraPro QQQ® (Ticker: TQQQ)
ProShares UltraPro QQQ® (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the NASDAQ-100 Index® (the "Index"). The Index, a modified market capitalization-weighted index, includes 100 of the largest non-financial domestic and international issues listed on the NASDAQ Stock Market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
222 |
% |
|||||
Futures Contracts |
7 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
10.4 |
% |
|||||
Microsoft Corp. |
5.8 |
% |
|||||
Intel Corp. |
2.7 |
% |
|||||
Google, Inc., Class C |
2.7 |
% |
|||||
Facebook, Inc., Class A |
2.5 |
% |
NASDAQ-100 Index – Composition
% of Index |
|||||||
Technology |
41.4 |
% |
|||||
Communications |
31.4 |
% |
|||||
Consumer, Non-cyclical |
18.9 |
% |
|||||
Consumer, Cyclical |
6.8 |
% |
|||||
Industrials |
1.2 |
% |
|||||
Basic Materials |
0.3 |
% |
XXXIV :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares UltraPro Dow30SM (Ticker: UDOW)
ProShares UltraPro Dow30SM (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones Industrial AverageSM Index (the "Index"). The Index is a price-weighted index maintained by editors of The Wall Street Journal. The Index includes 30 large-cap, "blue-chip" U.S. stocks, excluding utility and transportation companies.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
65 |
% |
|||||
Swap Agreements |
227 |
% |
|||||
Futures Contracts |
8 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Visa, Inc., Class A |
6.0 |
% |
|||||
Goldman Sachs Group, Inc. (The) |
4.4 |
% |
|||||
International Business
Machines Corp. |
3.8 |
% |
|||||
3M Co. |
3.7 |
% |
|||||
Boeing Co. (The) |
3.1 |
% |
Dow Jones Industrial Average
Index –
Composition
% of Index |
|||||||
Financials |
25.3 |
% |
|||||
Industrials |
19.2 |
% |
|||||
Consumer, Non-cyclical |
15.6 |
% |
|||||
Consumer, Cyclical |
13.8 |
% |
|||||
Technology |
8.9 |
% |
|||||
Communications |
7.4 |
% |
|||||
Energy |
7.2 |
% |
|||||
Basic Materials |
2.6 |
% |
ProShares UltraPro MidCap400 (Ticker: UMDD)
ProShares UltraPro MidCap400 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the S&P MidCap 400® Index (the "Index"). The Index is a measure of mid-size company U.S. stock market performance. It is a float adjusted, market capitalization-weighted index of 400 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
224 |
% |
|||||
Futures Contracts |
5 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Skyworks Solutions, Inc. |
0.6 |
% |
|||||
Equinix, Inc. |
0.5 |
% |
|||||
Henry Schein, Inc. |
0.5 |
% |
|||||
Hanesbrands, Inc. |
0.5 |
% |
|||||
Endo International PLC |
0.5 |
% |
S&P MidCap 400 Index – Composition
% of Index |
|||||||
Financials |
22.8 |
% |
|||||
Industrials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
17.0 |
% |
|||||
Consumer, Cyclical |
13.4 |
% |
|||||
Technology |
10.0 |
% |
|||||
Basic Materials |
5.0 |
% |
|||||
Utilities |
4.7 |
% |
|||||
Energy |
4.3 |
% |
|||||
Communications |
4.1 |
% |
ProShares UltraPro Russell2000 (Ticker: URTY)
ProShares UltraPro Russell2000 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Russell 2000® Index (the "Index"). The Index is a measure of small-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index containing approximately 2000 of the smallest companies in the Russell 3000® Index or approximately 8% of the total market capitalization of the Russell 3000® Index, which in turn represents approximately 98% of the investable U.S. equity market.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
228 |
% |
|||||
Futures Contracts |
1 |
% |
|||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Isis Pharmaceuticals, Inc. |
0.3 |
% |
|||||
Puma Biotechnology, Inc. |
0.2 |
% |
|||||
Brunswick Corp. |
0.2 |
% |
|||||
WEX, Inc. |
0.2 |
% |
|||||
RLJ Lodging Trust |
0.2 |
% |
Russell 2000 Index – Composition
% of Index |
|||||||
Financials |
24.1 |
% |
|||||
Consumer, Non-cyclical |
20.9 |
% |
|||||
Consumer, Cyclical |
13.6 |
% |
|||||
Industrials |
12.7 |
% |
|||||
Technology |
11.0 |
% |
|||||
Communications |
6.6 |
% |
|||||
Energy |
3.8 |
% |
|||||
Basic Materials |
3.6 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Diversified |
0.2 |
% |
|||||
Government |
0.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXXV
ProShares Ultra Russell1000 Value (Ticker: UVG)
ProShares Ultra Russell1000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 1000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
77 |
% |
|||||
Swap Agreements |
123 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
2.9 |
% |
|||||
Berkshire Hathaway, Inc., Class B |
2.0 |
% |
|||||
General Electric Co. |
2.0 |
% |
|||||
Wells Fargo & Co. |
2.0 |
% |
|||||
Johnson & Johnson |
1.9 |
% |
Russell 1000 Value Index – Composition
% of Index |
|||||||
Financials |
29.4 |
% |
|||||
Consumer, Non-cyclical |
19.0 |
% |
|||||
Energy |
11.0 |
% |
|||||
Industrials |
10.7 |
% |
|||||
Consumer, Cyclical |
7.4 |
% |
|||||
Technology |
6.8 |
% |
|||||
Communications |
6.5 |
% |
|||||
Utilities |
6.3 |
% |
|||||
Basic Materials |
2.8 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Ultra Russell1000 Growth (Ticker: UKF)
ProShares Ultra Russell1000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 1000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of large-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 1000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
70 |
% |
|||||
Swap Agreements |
130 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
4.6 |
% |
|||||
Microsoft Corp. |
1.7 |
% |
|||||
Verizon Communications, Inc. |
1.4 |
% |
|||||
Coca-Cola Co. (The) |
1.2 |
% |
|||||
Google, Inc., Class A |
1.0 |
% |
Russell 1000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.8 |
% |
|||||
Technology |
19.3 |
% |
|||||
Communications |
15.9 |
% |
|||||
Consumer, Cyclical |
13.7 |
% |
|||||
Industrials |
11.0 |
% |
|||||
Financials |
6.1 |
% |
|||||
Energy |
4.5 |
% |
|||||
Basic Materials |
3.5 |
% |
|||||
Utilities |
0.1 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Ultra Russell MidCap Value (Ticker: UVU)
ProShares Ultra Russell MidCap Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell Midcap® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
71 |
% |
|||||
Swap Agreements |
129 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Sempra Energy |
0.6 |
% |
|||||
Cardinal Health, Inc. |
0.6 |
% |
|||||
Cigna Corp. |
0.6 |
% |
|||||
PPL Corp. |
0.5 |
% |
|||||
Broadcom Corp., Class A |
0.5 |
% |
Russell Midcap Value Index – Composition
% of Index |
|||||||
Financials |
32.7 |
% |
|||||
Consumer, Non-cyclical |
13.8 |
% |
|||||
Utilities |
12.3 |
% |
|||||
Industrials |
10.3 |
% |
|||||
Consumer, Cyclical |
9.1 |
% |
|||||
Technology |
8.3 |
% |
|||||
Basic Materials |
5.8 |
% |
|||||
Energy |
3.9 |
% |
|||||
Communications |
3.6 |
% |
|||||
Diversified |
0.2 |
% |
XXXVI :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Russell MidCap Growth (Ticker: UKW)
ProShares Ultra Russell MidCap Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell Midcap® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of mid-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell Midcap Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
75 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Kroger Co. (The) |
0.7 |
% |
|||||
Vertex Pharmaceuticals, Inc. |
0.6 |
% |
|||||
Crown Castle International
Corp. |
0.6 |
% |
|||||
Intuit, Inc. |
0.6 |
% |
|||||
Illumina, Inc. |
0.6 |
% |
Russell Midcap Growth
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
25.2 |
% |
|||||
Consumer, Cyclical |
22.7 |
% |
|||||
Industrials |
13.1 |
% |
|||||
Technology |
12.4 |
% |
|||||
Communications |
9.8 |
% |
|||||
Financials |
8.1 |
% |
|||||
Energy |
5.3 |
% |
|||||
Basic Materials |
3.1 |
% |
|||||
Utilities |
0.2 |
% |
|||||
Diversified |
0.1 |
% |
ProShares Ultra Russell2000 Value (Ticker: UVT)
ProShares Ultra Russell2000 Value (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Value Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "value" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the value end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
81 |
% |
|||||
Swap Agreements |
119 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
RLJ Lodging Trust |
0.4 |
% |
|||||
LaSalle Hotel Properties |
0.4 |
% |
|||||
Dynegy, Inc. |
0.4 |
% |
|||||
Prosperity Bancshares, Inc. |
0.4 |
% |
|||||
Highwoods Properties, Inc. |
0.4 |
% |
Russell 2000 Value Index – Composition
% of Index |
|||||||
Industrials |
40.2 |
% |
|||||
Consumer, Non-cyclical |
11.6 |
% |
|||||
Consumer, Cyclical |
11.2 |
% |
|||||
Utilities |
11.1 |
% |
|||||
Technology |
6.8 |
% |
|||||
Communications |
6.3 |
% |
|||||
Energy |
5.0 |
% |
|||||
Basic Materials |
3.9 |
% |
|||||
Diversified |
3.7 |
% |
|||||
Government |
0.2 |
% |
ProShares Ultra Russell2000 Growth (Ticker: UKK)
ProShares Ultra Russell2000 Growth (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Russell 2000® Growth Index (the "Index"). The Index is designed to provide a comprehensive measure of small-cap U.S. equity "growth" performance. It is an unmanaged, float-adjusted, market capitalization-weighted index comprised of stocks representing approximately half the market capitalization of the Russell 2000 Index that have been identified as being on the growth end of the growth-value spectrum.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
75 |
% |
|||||
Swap Agreements |
125 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Isis Pharmaceuticals, Inc. |
0.5 |
% |
|||||
Puma Biotechnology, Inc. |
0.5 |
% |
|||||
WEX, Inc. |
0.4 |
% |
|||||
RF Micro Devices, Inc. |
0.4 |
% |
|||||
TriQuint Semiconductor, Inc. |
0.4 |
% |
Russell 2000 Growth Index – Composition
% of Index |
|||||||
Consumer, Non-cyclical |
30.5 |
% |
|||||
Consumer, Cyclical |
16.1 |
% |
|||||
Technology |
15.6 |
% |
|||||
Industrials |
13.8 |
% |
|||||
Financials |
8.3 |
% |
|||||
Communications |
8.3 |
% |
|||||
Energy |
3.7 |
% |
|||||
Basic Materials |
3.5 |
% |
|||||
Diversified |
0.1 |
% |
|||||
Utilities |
0.1 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXXVII
ProShares Ultra Basic Materials (Ticker: UYM)
ProShares Ultra Basic Materials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Basic MaterialsSM Index (the "Index"). The Index measures the performance of the basic materials sector of the U.S. equity market. Component companies are involved in the production of aluminum, steel, non ferrous metals, commodity chemicals, specialty chemicals, forest products, paper products, as well as the mining of precious metals and coal.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
77 |
% |
|||||
Swap Agreements |
123 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
E.I. du Pont de
Nemours & Co. |
7.7 |
% |
|||||
Monsanto Co. |
6.9 |
% |
|||||
Dow Chemical Co. (The) |
6.5 |
% |
|||||
Praxair, Inc. |
4.4 |
% |
|||||
LyondellBasell Industries
N.V., Class A |
4.0 |
% |
Dow Jones U.S. Basic Materials
Index –
Composition
% of Index |
|||||||
Chemicals |
76.3 |
% |
|||||
Industrial Metals |
14.3 |
% |
|||||
Mining |
4.8 |
% |
|||||
Forestry and Paper |
4.6 |
% |
ProShares Ultra Nasdaq Biotechnology (Ticker: BIB)
ProShares Ultra Nasdaq Biotechnology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the NASDAQ Biotechnology Index® (the "Index"). The Index is a modified capitalization-weighted index that includes securities of NASDAQ listed companies that are classified as either biotechnology or pharmaceutical according to the Industry Classification Benchmark which also meet other eligibility criteria determined by NASDAQ, including minimum market capitalization and liquidity requirements.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
68 |
% |
|||||
Swap Agreements |
132 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Celgene Corp. |
5.9 |
% |
|||||
Amgen, Inc. |
5.9 |
% |
|||||
Regeneron Pharmaceuticals, Inc. |
5.1 |
% |
|||||
Gilead Sciences, Inc. |
4.6 |
% |
|||||
Biogen Idec, Inc. |
4.4 |
% |
NASDAQ Biotechnology
Index –
Composition
% of Index |
|||||||
Biotechnology |
72.7 |
% |
|||||
Pharmaceuticals |
24.5 |
% |
|||||
Healthcare-Products |
2.4 |
% |
|||||
Holding Companies-Divers |
0.3 |
% |
|||||
Commercial Services |
0.1 |
% |
ProShares Ultra Consumer Goods (Ticker: UGE)
ProShares Ultra Consumer Goods (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer GoodsSM Index (the "Index"). The Index measures the performance of consumer spending in the goods sector of the U.S. equity market. Component companies include, among others, automobiles and auto parts and tires, brewers and distillers, farming and fishing, durable and non-durable household product manufacturers, cosmetic companies, food and tobacco products, clothing, accessories and footwear.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
79 |
% |
|||||
Swap Agreements |
121 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Procter & Gamble Co. (The) |
9.0 |
% |
|||||
Coca-Cola Co. (The) |
6.5 |
% |
|||||
PepsiCo, Inc. |
5.6 |
% |
|||||
Philip Morris International, Inc. |
5.0 |
% |
|||||
Altria Group, Inc. |
3.7 |
% |
Dow Jones U.S. Consumer Goods
Index –
Composition
% of Index |
|||||||
Beverages |
19.2 |
% |
|||||
Household Goods |
18.7 |
% |
|||||
Food Producers |
16.8 |
% |
|||||
Personal Goods |
15.1 |
% |
|||||
Automobiles and Parts |
13.8 |
% |
|||||
Tobacco |
13.0 |
% |
|||||
Leisure Goods |
3.4 |
% |
XXXVIII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra Consumer Services (Ticker: UCC)
ProShares Ultra Consumer Services (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Consumer ServicesSM Index (the "Index"). The Index measures the performance of consumer spending in the services sector of the U.S. equity market. Component companies include, among others, airlines, broadcasting and entertainment, apparel and broadline retailers, food and drug retailers, media agencies, publishing, gambling, hotels, restaurants and bars, and travel and tourism.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
78 |
% |
|||||
Swap Agreements |
122 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Comcast Corp., Class A |
3.9 |
% |
|||||
Walt Disney Co. (The) |
3.8 |
% |
|||||
Wal-Mart Stores, Inc. |
3.6 |
% |
|||||
Home Depot, Inc. (The) |
3.5 |
% |
|||||
Amazon.com, Inc. |
3.4 |
% |
Dow Jones U.S. Consumer Services
Index –
Composition
% of Index |
|||||||
General Retailers |
35.9 |
% |
|||||
Media |
27.7 |
% |
|||||
Travel and Leisure |
22.0 |
% |
|||||
Food and Drug Retailers |
14.4 |
% |
ProShares Ultra Financials (Ticker: UYG)
ProShares Ultra Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
84 |
% |
|||||
Swap Agreements |
116 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Berkshire Hathaway, Inc.,
Class B |
5.7 |
% |
|||||
Wells Fargo & Co. |
5.4 |
% |
|||||
JPMorgan Chase & Co. |
4.8 |
% |
|||||
Bank of America Corp. |
3.8 |
% |
|||||
Citigroup, Inc. |
3.4 |
% |
Dow Jones U.S. Financials
Index –
Composition
% of Index |
|||||||
Banks |
30.8 |
% |
|||||
General Financial |
25.4 |
% |
|||||
Real Estate Investment Trusts |
19.3 |
% |
|||||
Nonlife Insurance |
18.6 |
% |
|||||
Life Insurance |
5.0 |
% |
|||||
Real Estate Investment & Services |
0.9 |
% |
ProShares Ultra Health Care (Ticker: RXL)
ProShares Ultra Health Care (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Health CareSM Index (the "Index"). The Index measures the performance of the healthcare sector of the U.S. equity market. Component companies include, among others, health care providers, biotechnology companies, medical supplies, advanced medical devices and pharmaceuticals.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
79 |
% |
|||||
Swap Agreements |
121 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Johnson & Johnson |
8.5 |
% |
|||||
Pfizer, Inc. |
5.5 |
% |
|||||
Merck & Co., Inc. |
4.9 |
% |
|||||
Gilead Sciences, Inc. |
4.2 |
% |
|||||
Amgen, Inc. |
3.5 |
% |
Dow Jones U.S. Health Care
Index –
Composition
% of Index |
|||||||
Pharmaceuticals and
Biotechnology |
66.2 |
% |
|||||
Health Care Equipment and Services |
33.8 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XXXIX
ProShares Ultra Industrials (Ticker: UXI)
ProShares Ultra Industrials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. IndustrialsSM Index (the "Index"). The Index measures the performance of the industrial sector of the U.S. equity market. Component companies include, among others, building materials, heavy construction, factory equipment, heavy machinery, industrial services, pollution control, containers and packaging, industrial diversified, air freight, marine transportation, railroads, trucking, land-transportation equipment, shipbuilding, transportation services, advanced industrial equipment, electric components and equipment, and aerospace.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
81 |
% |
|||||
Swap Agreements |
119 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
General Electric Co. |
8.0 |
% |
|||||
Union Pacific Corp. |
3.2 |
% |
|||||
3M Co. |
3.1 |
% |
|||||
United Technologies Corp. |
2.8 |
% |
|||||
Boeing Co. (The) |
2.7 |
% |
Dow Jones U.S. Industrials
Index –
Composition
% of Index |
|||||||
General Industrials |
21.9 |
% |
|||||
Aerospace and Defense |
17.7 |
% |
|||||
Support Services |
16.3 |
% |
|||||
Industrial Engineering |
14.9 |
% |
|||||
Industrial Transportation |
13.9 |
% |
|||||
Electronic & Electrical Equipment |
9.9 |
% |
|||||
Construction and Materials |
5.4 |
% |
ProShares Ultra Oil & Gas (Ticker: DIG)
ProShares Ultra Oil & Gas (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Oil & GasSM Index (the "Index"). The Index measures the performance of the oil and gas sector of the U.S. equity market. Component companies include, among others, exploration and production, integrated oil and gas, oil equipment and services, pipelines, renewable energy equipment companies and alternative fuel producers.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
92 |
% |
|||||
Swap Agreements |
108 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Exxon Mobil Corp. |
20.7 |
% |
|||||
Chevron Corp. |
11.1 |
% |
|||||
Schlumberger Ltd. |
6.0 |
% |
|||||
ConocoPhillips |
4.4 |
% |
|||||
Kinder Morgan, Inc. |
3.8 |
% |
Dow Jones U.S. Oil & Gas
Index –
Composition
% of Index |
|||||||
Oil and Gas Producers |
71.8 |
% |
|||||
Oil Equipment, Services and Distribution |
27.8 |
% |
|||||
Alternative Energy |
0.4 |
% |
ProShares Ultra Real Estate (Ticker: URE)
ProShares Ultra Real Estate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Real EstateSM Index (the "Index"). The Index measures the performance of the real estate sector of the U.S. equity market. Component companies include, among others, real estate holding and development and real estate services companies and real estate investment trusts ("REITS"). REITs are passive investment vehicles that invest primarily in income-producing real estate or real estate related loans or interests.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
78 |
% |
|||||
Swap Agreements |
122 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Simon Property Group, Inc. |
5.5 |
% |
|||||
American Tower Corp. |
4.0 |
% |
|||||
Crown Castle International
Corp. |
2.7 |
% |
|||||
Public Storage |
2.6 |
% |
|||||
Equity Residential |
2.5 |
% |
Dow Jones U.S. Real Estate
Index –
Composition
% of Index |
|||||||
Real Estate |
100.0 |
% |
XL :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra KBW Regional Banking (Ticker: KRU)
ProShares Ultra KBW Regional Banking (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the KBW Regional Banking IndexSM (the "Index"). The Index is an equal-weighted index that seeks to provide diverse regional banking exposure. The Index includes stocks of 50 publicly traded companies that do business as regional banks or thrifts. Component companies include leading regional banks or thrifts listed on a U.S. exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
95 |
% |
|||||
Swap Agreements |
105 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Umpqua Holdings Corp. |
3.5 |
% |
|||||
SVB Financial Group |
3.3 |
% |
|||||
First Republic Bank/CA |
3.1 |
% |
|||||
PacWest Bancorp |
3.0 |
% |
|||||
Susquehanna
Bancshares, Inc. |
2.9 |
% |
KBW Regional Banking
Index –
Composition
% of Index |
|||||||
Financials |
100.0 |
% |
ProShares Ultra Semiconductors (Ticker: USD)
ProShares Ultra Semiconductors (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. SemiconductorsSM Index (the "Index"). The Index measures the performance of the semiconductor sub-sector of the U.S. equity market. Component companies are engaged in the production of semiconductors and other integrated chips, as well as other related products such as semiconductor capital equipment and mother-boards.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
79 |
% |
|||||
Swap Agreements |
121 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Intel Corp. |
27.1 |
% |
|||||
Texas Instruments, Inc. |
8.5 |
% |
|||||
Micron Technology, Inc. |
5.7 |
% |
|||||
Applied Materials, Inc. |
4.3 |
% |
|||||
Avago Technologies Ltd. |
3.5 |
% |
Dow Jones U.S. Semiconductors
Index –
Composition
% of Index |
|||||||
Semiconductors |
100.0 |
% |
ProShares Ultra Technology (Ticker: ROM)
ProShares Ultra Technology (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. TechnologySM Index (the "Index"). The Index measures the performance of the technology sector of the U.S. equity market. Component companies include, among others, those involved in computers and office equipment, software, communications technology, semiconductors, diversified technology services and Internet services.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
76 |
% |
|||||
Swap Agreements |
124 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Apple, Inc. |
15.1 |
% |
|||||
Microsoft Corp. |
8.4 |
% |
|||||
Intel Corp. |
3.9 |
% |
|||||
Facebook, Inc., Class A |
3.4 |
% |
|||||
Google, Inc., Class A |
3.3 |
% |
Dow Jones U.S. Technology
Index –
Composition
% of Index |
|||||||
Technology Hardware and
Equipment |
52.7 |
% |
|||||
Technology Hardware and Equipment |
47.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XLI
ProShares Ultra Telecommunications (Ticker: LTL)
ProShares Ultra Telecommunications (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. Select TelecommunicationsSM Index (the "Index"). The Index is a measure of U.S. stock market performance of fixed-line (regional and long-distance carriers) and mobile telephone services (cellular, satellite and paging services).
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
74 |
% |
|||||
Swap Agreements |
127 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Verizon Communications, Inc. |
12.1 |
% |
|||||
AT&T, Inc. |
11.4 |
% |
|||||
Level 3 Communications, Inc. |
6.1 |
% |
|||||
CenturyLink, Inc. |
5.3 |
% |
|||||
SBA Communications Corp.,
Class A |
4.8 |
% |
Dow Jones U.S. Select
Telecommunications
Index – Composition
% of Index |
|||||||
Fixed Line Telecommunications |
68.7 |
% |
|||||
Mobile Telecommunications |
31.3 |
% |
ProShares Ultra Utilities (Ticker: UPW)
ProShares Ultra Utilities (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Dow Jones U.S. UtilitiesSM Index (the "Index"). The Index measures the performance of the utilities sector of the U.S. equity market. Component companies include, among others, electric utilities, gas utilities, multi-utilities and water utilities.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
85 |
% |
|||||
Swap Agreements |
115 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Duke Energy Corp. |
7.0 |
% |
|||||
NextEra Energy, Inc. |
5.6 |
% |
|||||
Southern Co. (The) |
5.2 |
% |
|||||
Dominion Resources, Inc. |
5.2 |
% |
|||||
Exelon Corp. |
3.8 |
% |
Dow Jones U.S. Utilities
Index –
Composition
% of Index |
|||||||
Electricity |
70.2 |
% |
|||||
Gas, Water & MultiUtilities |
29.8 |
% |
ProShares UltraPro Financials (Ticker: FINU)
ProShares UltraPro Financials (the "Fund") seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Dow Jones U.S. FinancialsSM Index (the "Index"). The Index measures the performance of the financial services sector of the U.S. equity market. Component companies include: among others, regional banks; major U.S. domiciled international banks; full line, life, and property and casualty insurance companies; companies that invest, directly or indirectly in real estate; diversified financial companies such as Fannie Mae, credit card issuers, check cashing companies, mortgage lenders and investment advisors; securities brokers and dealers including investment banks, merchant banks and online brokers; and publicly traded stock exchanges.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
79 |
% |
|||||
Swap Agreements |
221 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
300 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Largest Equity Holdings
Company |
% of Net Assets |
||||||
Berkshire Hathaway, Inc.,
Class B |
5.4 |
% |
|||||
Wells Fargo & Co. |
5.2 |
% |
|||||
JPMorgan Chase & Co. |
4.5 |
% |
|||||
Bank of America Corp. |
3.6 |
% |
|||||
Citigroup, Inc. |
3.3 |
% |
Dow Jones U.S. Financials
Index –
Composition
% of Index |
|||||||
Banks |
30.8 |
% |
|||||
General Financial |
25.4 |
% |
|||||
Real Estate Investment Trusts |
19.3 |
% |
|||||
Nonlife Insurance |
18.6 |
% |
|||||
Life Insurance |
5.0 |
% |
|||||
Real Estate Investment & Services |
0.9 |
% |
XLII :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra MSCI EAFE (Ticker: EFO)
ProShares Ultra MSCI EAFE (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI EAFE Index® (the "Index"). The Index includes 85% of free float-adjusted, market capitalization in each industry group in developed market countries, excluding the U.S. and Canada.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI EAFE Index – Country
% of Index |
|||||||
United Kingdom |
20.9 |
% |
|||||
Japan |
20.8 |
% |
|||||
Other |
12.5 |
% |
|||||
France |
9.8 |
% |
|||||
Switzerland |
9.4 |
% |
|||||
Germany |
9.3 |
% |
|||||
Australia |
7.4 |
% |
|||||
Spain |
3.7 |
% |
|||||
Hong Kong |
3.1 |
% |
|||||
Sweden |
3.1 |
% |
MSCI EAFE Index – Composition
% of Index |
|||||||
Financials |
25.7 |
% |
|||||
Consumer, Non-cyclical |
23.7 |
% |
|||||
Consumer, Cyclical |
12.3 |
% |
|||||
Industrials |
11.4 |
% |
|||||
Communications |
7.6 |
% |
|||||
Basic Materials |
6.7 |
% |
|||||
Energy |
5.7 |
% |
|||||
Utilities |
3.9 |
% |
|||||
Technology |
2.4 |
% |
|||||
Diversified |
0.6 |
% |
ProShares Ultra MSCI Emerging Markets (Ticker: EET)
ProShares Ultra MSCI Emerging Markets (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Emerging Markets Index® (the "Index"). The Index includes 85% of free float-adjusted market capitalization in each industry group in emerging market countries.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Emerging Markets
Index –
Country
% of Index |
|||||||
China |
20.4 |
% |
|||||
Other |
15.5 |
% |
|||||
Korea |
14.5 |
% |
|||||
Taiwan |
12.3 |
% |
|||||
Brazil |
9.5 |
% |
|||||
South Africa |
7.8 |
% |
|||||
India |
7.2 |
% |
|||||
Mexico |
5.1 |
% |
|||||
Russia |
4.0 |
% |
|||||
Malaysia |
3.7 |
% |
MSCI Emerging Markets
Index –
Composition
% of Index |
|||||||
Financials |
28.0 |
% |
|||||
Communications |
12.6 |
% |
|||||
Technology |
11.9 |
% |
|||||
Consumer, Non-cyclical |
11.0 |
% |
|||||
Energy |
8.7 |
% |
|||||
Consumer, Cyclical |
8.4 |
% |
|||||
Industrials |
7.3 |
% |
|||||
Basic Materials |
6.5 |
% |
|||||
Utilities |
3.5 |
% |
|||||
Diversified |
2.1 |
% |
ProShares Ultra FTSE Europe (Ticker: UPV)
ProShares Ultra FTSE Europe (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE Developed Europe Index® (the "Index"). The Index is comprised of large- and mid-cap stocks and targets the performance of approximately 500 large- and mid-cap companies. The Index utilizes free float-adjusted market capitalizations and components are screened for liquidity.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE Developed Europe
Index –
Country
% of Index |
|||||||
United Kingdom |
32.0 |
% |
|||||
Switzerland |
14.2 |
% |
|||||
France |
14.0 |
% |
|||||
Germany |
13.7 |
% |
|||||
Other |
5.5 |
% |
|||||
Spain |
5.4 |
% |
|||||
Sweden |
4.7 |
% |
|||||
Netherlands |
4.4 |
% |
|||||
Italy |
3.7 |
% |
|||||
Denmark |
2.4 |
% |
FTSE Developed Europe
Index –
Composition
% of Index |
|||||||
Consumer, Non-cyclical |
28.7 |
% |
|||||
Financials |
22.7 |
% |
|||||
Industrials |
9.5 |
% |
|||||
Consumer, Cyclical |
9.1 |
% |
|||||
Communications |
8.4 |
% |
|||||
Energy |
7.8 |
% |
|||||
Basic Materials |
7.1 |
% |
|||||
Utilities |
4.2 |
% |
|||||
Technology |
2.2 |
% |
|||||
Diversified |
0.3 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XLIII
ProShares Ultra MSCI Pacific ex-Japan (Ticker: UXJ)
ProShares Ultra MSCI Pacific ex-Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Pacific ex-Japan Index® (the "Index"). The Index is a free-float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the developed markets in the eastern Pacific region, excluding Japan. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted market capitalization of the region.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Pacific ex-Japan Index – Country
% of Index |
|||||||
Australia |
60.5 |
% |
|||||
Hong Kong |
25.8 |
% |
|||||
Singapore |
12.5 |
% |
|||||
New Zealand |
1.2 |
% |
MSCI Pacific ex-Japan
Index –
Composition
% of Index |
|||||||
Financials |
53.4 |
% |
|||||
Consumer, Non-cyclical |
11.0 |
% |
|||||
Basic Materials |
8.5 |
% |
|||||
Consumer, Cyclical |
5.6 |
% |
|||||
Industrials |
5.6 |
% |
|||||
Utilities |
4.5 |
% |
|||||
Communications |
4.4 |
% |
|||||
Diversified |
4.0 |
% |
|||||
Energy |
2.6 |
% |
|||||
Technology |
0.4 |
% |
ProShares Ultra MSCI Brazil Capped (Ticker: UBR)
ProShares Ultra MSCI Brazil Capped (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Brazil 25/50 Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Brazilian market. The Index is divided into large- and mid-cap segments and targets approximately 85% of free float-adjusted, market capitalization of the region.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Brazil 25/50 Index – Composition
% of Index |
|||||||
Financials |
31.4 |
% |
|||||
Consumer, Non-cyclical |
27.5 |
% |
|||||
Basic Materials |
12.8 |
% |
|||||
Energy |
8.6 |
% |
|||||
Utilities |
5.7 |
% |
|||||
Communications |
3.8 |
% |
|||||
Consumer, Cyclical |
3.4 |
% |
|||||
Industrials |
3.4 |
% |
|||||
Diversified |
2.8 |
% |
|||||
Technology |
0.6 |
% |
ProShares Ultra FTSE China 50 (Ticker: XPP)
ProShares Ultra FTSE China 50 (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the FTSE China 50 Index® (the "Index"). The Index is comprised of 50 of the largest and most liquid Chinese stocks listed on the Hong Kong Stock Exchange.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
FTSE China 50 Index – Composition
% of Index |
|||||||
Financials |
47.8 |
% |
|||||
Communications |
21.4 |
% |
|||||
Energy |
15.2 |
% |
|||||
Consumer, Cyclical |
5.1 |
% |
|||||
Utilities |
3.4 |
% |
|||||
Industrials |
3.1 |
% |
|||||
Consumer, Non-cyclical |
2.2 |
% |
|||||
Technology |
1.8 |
% |
XLIV :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
ProShares Ultra MSCI Japan (Ticker: EZJ)
ProShares Ultra MSCI Japan (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the MSCI Japan Index® (the "Index"). The Index includes 85% of free float-adjusted, market capitalization in each industry group in Japan.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
201 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Japan Index – Composition
% of Index |
|||||||
Consumer, Cyclical |
27.1 |
% |
|||||
Industrials |
21.4 |
% |
|||||
Financials |
18.7 |
% |
|||||
Consumer, Non-cyclical |
13.2 |
% |
|||||
Communications |
6.9 |
% |
|||||
Basic Materials |
5.5 |
% |
|||||
Technology |
4.0 |
% |
|||||
Utilities |
2.4 |
% |
|||||
Energy |
0.8 |
% |
ProShares Ultra MSCI Mexico Capped IMI (Ticker: UMX)
ProShares Ultra MSCI Mexico Capped IMI (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the MSCI Mexico IMI 25/50 Index® (the "Index"). The Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of the Mexican market by capturing 99% of the (publicly available) total market capitalization.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Equity Securities |
— |
||||||
Swap Agreements |
200 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
MSCI Mexico IMI 25/50 Index – Composition
% of Index |
|||||||
Communications |
25.5 |
% |
|||||
Financials |
20.3 |
% |
|||||
Consumer, Non-cyclical |
18.6 |
% |
|||||
Industrials |
11.8 |
% |
|||||
Consumer, Cyclical |
9.5 |
% |
|||||
Basic Materials |
8.8 |
% |
|||||
Diversified |
5.5 |
% |
ProShares Ultra 7-10 Year Treasury (Ticker: UST)
ProShares Ultra 7-10 Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 7-10 Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of between 7 and 10 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
73 |
% |
|||||
Swap Agreements |
124 |
% |
|||||
Futures Contracts |
4 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 7-10 Year Treasury Bond Index – Composition
% of Index |
|||||||
7-10 Year U.S. Treasury |
100.0 |
% |
PROSHARES TRUST ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION :: NOVEMBER 30, 2014 (UNAUDITED) :: XLV
ProShares Ultra 20+ Year Treasury (Ticker: UBT)
ProShares Ultra 20+ Year Treasury (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Barclays U.S. 20+ Year Treasury Bond Index (the "Index"). The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity greater than 20 years, are non-convertible, are denominated in U.S. dollars, are rated investment grade (at least Baa3 by Moody's Investors Service, Inc. or BBB- by Standard and Poor's Financial Services, LLC), are fixed rate, and have more than $250 million par outstanding.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Long-Term U.S. Treasury Obligations |
73 |
% |
|||||
Swap Agreements |
124 |
% |
|||||
Futures Contracts |
4 |
% |
|||||
Total Exposure |
201 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Barclays U.S. 20+ Year Treasury Bond Index – Composition
% of Index |
|||||||
20+ Year U.S. Treasury |
100.0 |
% |
ProShares Ultra High Yield (Ticker: UJB)
ProShares Ultra High Yield (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Markit iBoxx $ Liquid High Yield Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated high yield corporate bonds for sale within the United States by means of including the most liquid high yield corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bond |
— |
||||||
Corporate Bonds ETF |
60 |
% |
|||||
Swap Agreements |
140 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid High Yield Index – Composition
% of Index |
|||||||
High Yield |
100.0 |
% |
ProShares Ultra Investment Grade Corporate (Ticker: IGU)
ProShares Ultra Investment Grade Corporate (the "Fund") seeks daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Markit iBoxx $ Liquid Investment Grade Index (the "Index"). The Index is a modified market-value weighted index designed to provide a balanced representation of U.S. dollar-denominated investment grade corporate bonds publicly offered in the United States by means of including the most liquid investment grade corporate bonds available as determined by the index provider.
Market Exposure
Investment Type |
% of Net Assets |
||||||
Corporate Bonds |
— |
||||||
Corporate Bond ETF |
62 |
% |
|||||
Swap Agreements |
138 |
% |
|||||
Futures Contracts |
— |
||||||
Total Exposure |
200 |
% |
"Market Exposure" includes the value of total investments (including the contract value of any derivatives) and excludes any short-term investments and cash equivalents.
Markit iBoxx $ Liquid Investment Grade Index – Composition
% of Index |
|||||||
Investment Grade |
100.0 |
% |
XLVI :: NOVEMBER 30, 2014 (UNAUDITED) :: ALLOCATION OF PORTFOLIO HOLDINGS & INDEX COMPOSITION PROSHARES TRUST
EXPENSE EXAMPLES
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLVII
As a shareholder, you incur two types of costs: (1) transaction costs for purchasing and selling shares and (2) ongoing costs, including advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses
The actual expense examples are based on an investment of $1,000 invested at the beginning of a six-month period and held through the period ended, November 30, 2014.
The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 =8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended, November 30, 2014.
The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as brokerage charges. Therefore, the second line for each Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if transaction costs were included, your costs would have been higher.
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Morningstar Alternatives Solution ETF (a) |
ALTERNATIVE SOLUTIONS PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,008.80 |
$ |
0.25 |
0.17 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,024.22 |
$ |
0.86 |
0.17 |
% |
|||||||||||
DJ Brookfield Global Infrastructure ETF |
SPECIALTY EQUITY PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,048.00 |
$ |
2.31 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.81 |
$ |
2.28 |
0.45 |
% |
|||||||||||
Global Listed Private Equity ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
956.70 |
$ |
2.94 |
0.60 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.06 |
$ |
3.04 |
0.60 |
% |
|||||||||||
Large Cap Core Plus |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,088.00 |
$ |
2.36 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.81 |
$ |
2.28 |
0.45 |
% |
|||||||||||
S&P 500 Dividend Aristocrats ETF |
DIVIDEND GROWERS PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,110.80 |
$ |
1.85 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.31 |
$ |
1.78 |
0.35 |
% |
|||||||||||
MSCI EAFE Dividend Growers ETF (b) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
944.70 |
$ |
1.37 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
High Yield-Interest Rate Hedged |
HEDGED FIXED INCOME PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
969.60 |
$ |
2.47 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
Investment Grade-Interest Rate Hedged |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
980.10 |
$ |
1.49 |
0.30 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.56 |
$ |
1.52 |
0.30 |
% |
XLVIII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
USD Covered Bond |
GLOBAL FIXED INCOME PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,004.40 |
$ |
1.76 |
0.35 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,023.31 |
$ |
1.78 |
0.35 |
% |
|||||||||||
German Sovereign/Sub-Sovereign ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
939.00 |
$ |
2.19 |
0.45 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.81 |
$ |
2.28 |
0.45 |
% |
|||||||||||
Short Term USD Emerging Markets Bond ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
984.10 |
$ |
2.49 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
Hedge Replication ETF |
HEDGE STRATEGIES PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,010.20 |
$ |
4.79 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Merger ETF |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
984.00 |
$ |
3.73 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
RAFI® Long/Short |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
984.80 |
$ |
4.73 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
30 Year TIPS/TSY Spread |
INFLATION PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
910.20 |
$ |
3.59 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
Short 30 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,084.10 |
$ |
3.92 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
UltraPro 10 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
852.60 |
$ |
3.48 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
UltraPro Short 10 Year TIPS/TSY Spread |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,147.40 |
$ |
4.04 |
0.75 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,021.31 |
$ |
3.80 |
0.75 |
% |
|||||||||||
CDS North American HY Credit ETF (c) |
CREDIT PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,026.20 |
$ |
1.62 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
CDS Short North American HY Credit ETF (c) |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
969.90 |
$ |
1.58 |
0.50 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,022.56 |
$ |
2.54 |
0.50 |
% |
|||||||||||
Short S&P500® |
GEARED PROSHARES |
||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
913.00 |
$ |
4.32 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.56 |
$ |
4.56 |
0.90 |
% |
|||||||||||
Short QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
846.30 |
$ |
4.40 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: XLIX
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
919.50 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
937.10 |
$ |
4.61 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
943.00 |
$ |
4.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
943.50 |
$ |
4.63 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell3000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
840.20 |
$ |
4.38 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
832.60 |
$ |
4.13 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.56 |
$ |
4.56 |
0.90 |
% |
|||||||||||
UltraShort QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
713.70 |
$ |
4.08 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
845.10 |
$ |
4.39 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
876.70 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
884.30 |
$ |
4.49 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
885.60 |
$ |
4.49 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
754.80 |
$ |
4.09 |
0.93 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.41 |
$ |
4.71 |
0.93 |
% |
|||||||||||
UltraPro Short QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
596.80 |
$ |
3.80 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
772.30 |
$ |
4.22 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
L :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraPro Short MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
812.70 |
$ |
4.32 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
818.40 |
$ |
4.33 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell1000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
856.80 |
$ |
4.42 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell1000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
813.40 |
$ |
4.32 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell MidCap Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
869.40 |
$ |
4.45 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell MidCap Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
821.90 |
$ |
4.34 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
931.20 |
$ |
4.60 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Russell2000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
834.80 |
$ |
4.37 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
996.50 |
$ |
4.75 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
897.70 |
$ |
4.52 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,160.70 |
$ |
5.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
903.10 |
$ |
4.53 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short KBW Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
917.50 |
$ |
4.57 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
988.00 |
$ |
4.73 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LI
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
573.60 |
$ |
3.75 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
819.90 |
$ |
4.33 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
776.70 |
$ |
4.23 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
805.10 |
$ |
4.30 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
697.40 |
$ |
4.04 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
876.10 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,326.60 |
$ |
5.54 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
814.00 |
$ |
4.32 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
613.40 |
$ |
3.84 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
744.10 |
$ |
4.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
901.60 |
$ |
4.53 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
810.90 |
$ |
4.31 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
715.50 |
$ |
4.09 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,046.70 |
$ |
4.87 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
LII :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Short MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
999.50 |
$ |
4.76 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
871.50 |
$ |
4.46 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,088.40 |
$ |
4.97 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
991.70 |
$ |
4.74 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,112.80 |
$ |
5.03 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,081.10 |
$ |
4.96 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
969.90 |
$ |
4.69 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
751.20 |
$ |
4.17 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
938.00 |
$ |
4.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
986.00 |
$ |
4.73 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
961.80 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
907.30 |
$ |
4.49 |
0.94 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.36 |
$ |
4.76 |
0.94 |
% |
|||||||||||
Short High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,001.50 |
$ |
4.77 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Short Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
967.90 |
$ |
4.69 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LIII
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraShort 3-7 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
962.90 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
927.90 |
$ |
4.59 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraShort 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
822.90 |
$ |
4.25 |
0.93 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.41 |
$ |
4.71 |
0.93 |
% |
|||||||||||
UltraShort TIPS |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,007.00 |
$ |
4.78 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Short 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
742.40 |
$ |
4.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell3000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,148.90 |
$ |
5.12 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,164.50 |
$ |
4.88 |
0.90 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.56 |
$ |
4.56 |
0.90 |
% |
|||||||||||
Ultra QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,343.10 |
$ |
5.58 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,149.40 |
$ |
5.12 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,094.70 |
$ |
4.99 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,066.70 |
$ |
4.92 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra SmallCap600 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,070.40 |
$ |
4.93 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro S&P500® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,244.70 |
$ |
5.35 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro QQQ® |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,538.50 |
$ |
6.05 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
LIV :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
UltraPro Dow30SM |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,221.40 |
$ |
5.29 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro MidCap400 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,137.40 |
$ |
5.09 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Russell2000 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,085.50 |
$ |
4.97 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell1000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,127.50 |
$ |
5.07 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell1000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,184.20 |
$ |
5.20 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell MidCap Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,110.00 |
$ |
5.02 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell MidCap Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,163.20 |
$ |
5.15 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell2000 Value |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,019.50 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Russell2000 Growth |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,114.70 |
$ |
5.04 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Basic Materials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
958.90 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Nasdaq Biotechnology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,572.60 |
$ |
6.13 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Consumer Goods |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,182.80 |
$ |
5.20 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Consumer Services |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,233.40 |
$ |
5.32 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,199.60 |
$ |
5.24 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LV
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra Health Care |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,361.20 |
$ |
5.62 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Industrials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,086.90 |
$ |
4.97 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Oil & Gas |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
685.50 |
$ |
4.01 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Real Estate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,186.20 |
$ |
5.21 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra KBW Regional Banking |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,115.80 |
$ |
5.04 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Semiconductors |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,477.60 |
$ |
5.90 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Technology |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,282.00 |
$ |
5.43 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Telecommunications |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,051.80 |
$ |
4.89 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Utilities |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,172.80 |
$ |
5.17 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
UltraPro Financials |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,300.90 |
$ |
5.48 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI EAFE |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
876.50 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Emerging Markets |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
950.10 |
$ |
4.64 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra FTSE Europe |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
846.00 |
$ |
4.40 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Pacific ex-Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
877.90 |
$ |
4.47 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
LVI :: EXPENSE EXAMPLES (UNAUDITED) PROSHARES TRUST
Beginning Account Value |
Ending Account Value 11/30/14 |
Expenses Paid During the Period* |
Annualized Expense Ratio During Period |
||||||||||||||||
Ultra MSCI Brazil Capped |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
783.40 |
$ |
4.25 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra FTSE China 50 |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,231.30 |
$ |
5.31 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Japan |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,002.60 |
$ |
4.77 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra MSCI Mexico Capped IMI |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
967.70 |
$ |
4.69 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra 7-10 Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,057.70 |
$ |
4.90 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra 20+ Year Treasury |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,174.90 |
$ |
5.18 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra High Yield |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
961.70 |
$ |
4.67 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
|||||||||||
Ultra Investment Grade Corporate |
|||||||||||||||||||
Actual |
$ |
1,000.00 |
$ |
1,034.50 |
$ |
4.85 |
0.95 |
% |
|||||||||||
Hypothetical |
$ |
1,000.00 |
$ |
1,020.31 |
$ |
4.81 |
0.95 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 183/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
(a) The Fund commenced operations on October 8, 2014. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 53 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one-half year period).
(b) The Fund commenced operations August 19, 2014. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 103 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one-half year period).
(c) The Fund commenced operations on August 5, 2014. Actual Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 117 divided by 365 (to reflect the actual days in the period). Hypothetical Expenses Paid During the Period are equal to the Fund's annualized net expense ratio, multiplied by the average account value over the period, multiplied by 183 divided by 365 (to reflect the one-half year period).
PROSHARES TRUST EXPENSE EXAMPLES (UNAUDITED) :: LVII
This page intentionally left blank.
SCHEDULE OF PORTFOLIO INVESTMENTS
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: 1
Shares |
Value |
||||||||||
Investment Companies — 99.8% |
|||||||||||
Mutual Funds — 99.8% |
|||||||||||
10,591 |
ProShares 30 Year TIPS/TSY
Spread*± |
$ |
340,924 |
||||||||
49,907 |
ProShares DJ Brookfield Global Infrastructure ETF*± |
2,235,085 |
|||||||||
20,159 |
ProShares Global Listed
Private Equity ETF*± |
836,095 |
|||||||||
71,313 |
ProShares Hedge Replication ETF*± |
3,023,671 |
|||||||||
134,947 |
ProShares Managed Futures
Strategy ETF*± |
2,783,282 |
|||||||||
41,112 |
ProShares Merger ETF*± |
1,465,437 |
|||||||||
71,846 |
ProShares RAFI Long/Short*± |
3,010,348 |
|||||||||
Total Investment Companies (Cost $13,548,012) |
13,694,842 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) — 0.0% ‡ |
|||||||||||
$ |
1,181 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,181 |
1,181 |
||||||||
Total Repurchase Agreements
(Cost $1,181) |
1,181 |
||||||||||
Total Investment Securities (Cost $13,549,193) — 99.8% |
13,696,023 |
||||||||||
Other assets less liabilities — 0.2% |
23,996 |
||||||||||
Net Assets — 100.0% |
$ |
13,720,019 |
* Non-income producing security.
‡ Amount represents less than 0.05%.
± Affiliated company as defined under the Investment Company Act of 1940.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
202,168 |
|||||
Aggregate gross unrealized depreciation |
(55,461 |
) |
|||||
Net unrealized appreciation |
$ |
146,707 |
|||||
Federal income tax cost of investments |
$ |
13,549,316 |
Investment in a company which was affiliated for the period ending November 30, 2014, was as follows:
Security |
Value October 8, 2014 |
Purchases at Cost |
Sales at Cost |
Value November 30, 2014 |
Dividend Income |
Realized Loss |
|||||||||||||||||||||
ProShares 30 Year TIPS/TSY Spread |
$ |
— |
$ |
351,340 |
$ |
— |
$ |
340,924 |
$ |
— |
$ |
— |
|||||||||||||||
ProShares DJ Brookfield Global Infrastructure ETF |
— |
2,216,303 |
25,633 |
2,235,085 |
— |
(99 |
) |
||||||||||||||||||||
ProShares Global Listed Private Equity ETF |
— |
2,018,621 |
1,174,351 |
836,095 |
— |
(38,741 |
) |
||||||||||||||||||||
ProShares Hedge Replication ETF |
— |
3,021,090 |
32,419 |
3,023,671 |
— |
(326 |
) |
||||||||||||||||||||
ProShares Managed Futures Strategy ETF |
— |
2,691,397 |
— |
2,783,282 |
— |
— |
|||||||||||||||||||||
ProShares Merger ETF |
— |
1,515,017 |
7,843 |
1,465,437 |
— |
(123 |
) |
||||||||||||||||||||
ProShares RAFI Long/Short |
— |
3,223,971 |
208,775 |
3,010,348 |
— |
(1,417 |
) |
||||||||||||||||||||
$ |
— |
$ |
15,037,739 |
$ |
1,449,021 |
$ |
13,694,842 |
$ |
— |
$ |
(40,706 |
) |
Further information about each affiliated Underlying Fund may be found in such Underlying Fund's most recent semiannual report to shareholders. Shareholder reports are available at www.ProShares.com for the series of the Trust and for series of the ProShares Trust II.
See accompanying notes to the financial statements.
2 :: ALTS MORNINGSTAR ALTERNATIVES SOLUTION ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks — 82.0% |
|||||||||||
Consumer Discretionary — 3.1% |
|||||||||||
5,128 |
Eutelsat Communications S.A. |
$ |
169,581 |
||||||||
15,001 |
SES S.A. |
558,097 |
|||||||||
727,678 |
|||||||||||
Energy — 19.1% |
|||||||||||
3,209 |
Cheniere Energy, Inc.* |
211,762 |
|||||||||
874 |
Enbridge Energy Management LLC |
31,810 |
|||||||||
16,304 |
Enbridge, Inc. |
748,544 |
|||||||||
662 |
EnLink Midstream LLC |
23,944 |
|||||||||
6,238 |
Inter Pipeline Ltd. |
177,948 |
|||||||||
1,618 |
Keyera Corp. |
120,257 |
|||||||||
24,543 |
Kinder Morgan, Inc. |
1,014,853 |
|||||||||
1,281 |
Koninklijke Vopak N.V. |
64,351 |
|||||||||
3,017 |
ONEOK, Inc. |
163,401 |
|||||||||
6,294 |
Pembina Pipeline Corp. |
214,442 |
|||||||||
619 |
SemGroup Corp., Class A |
45,800 |
|||||||||
9,732 |
Spectra Energy Corp. |
368,648 |
|||||||||
428 |
Targa Resources Corp. |
48,852 |
|||||||||
13,637 |
TransCanada Corp. |
649,353 |
|||||||||
5,331 |
Veresen, Inc. |
83,403 |
|||||||||
9,756 |
Williams Cos., Inc. (The) |
504,873 |
|||||||||
4,472,241 |
|||||||||||
Financials — 7.4% |
|||||||||||
9,928 |
American Tower Corp. (REIT) |
1,042,539 |
|||||||||
8,367 |
Crown Castle International Corp. (REIT) |
695,214 |
|||||||||
1,737,753 |
|||||||||||
Industrials — 13.2% |
|||||||||||
12,857 |
Abertis Infraestructuras S.A. |
275,137 |
|||||||||
1,087 |
Aeroports de Paris |
133,392 |
|||||||||
13,456 |
Atlantia SpA |
339,322 |
|||||||||
30,324 |
Auckland International Airport Ltd. |
92,064 |
|||||||||
50,453 |
Beijing Capital
International Airport Co. Ltd., Class H |
39,424 |
|||||||||
9,897 |
Beijing Enterprises Holdings Ltd. |
78,995 |
|||||||||
59,336 |
China Merchants Holdings
International Co. Ltd. |
203,136 |
|||||||||
4,751 |
Empresas ICA SAB de CV (ADR)* |
27,698 |
|||||||||
13,782 |
Ferrovial S.A. |
282,422 |
|||||||||
127 |
Flughafen Zuerich AG |
83,462 |
|||||||||
1,229 |
Fraport AG Frankfurt
Airport Services Worldwide |
75,058 |
|||||||||
18,306 |
Groupe Eurotunnel S.A. |
236,617 |
|||||||||
1,139 |
Grupo Aeroportuario del
Pacifico SAB de CV (ADR) |
78,079 |
|||||||||
673 |
Grupo Aeroportuario del Sureste SAB de CV (ADR) |
90,047 |
|||||||||
755 |
Hamburger Hafen und Logistik AG |
17,194 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
179,765 |
Hutchison Port Holdings Trust, Class U |
$ |
123,139 |
||||||||
2,418 |
Japan Airport Terminal Co. Ltd. |
95,119 |
|||||||||
40,674 |
Jiangsu Expressway Co. Ltd., Class H |
46,101 |
|||||||||
12,649 |
Macquarie Atlas Roads Group |
33,043 |
|||||||||
1,295 |
Obrascon Huarte Lain S.A. |
35,201 |
|||||||||
2,162 |
Societa Iniziative
Autostradali e Servizi SpA |
21,789 |
|||||||||
35,788 |
Sydney Airport |
135,207 |
|||||||||
63,120 |
Transurban Group |
446,320 |
|||||||||
2,027 |
Westshore Terminals Investment Corp. |
59,684 |
|||||||||
47,719 |
Zhejiang Expressway Co.
Ltd., Class H |
53,409 |
|||||||||
3,101,059 |
|||||||||||
Telecommunication Services — 1.7% |
|||||||||||
3,233 |
SBA Communications Corp., Class A* |
393,359 |
|||||||||
Utilities — 37.5% |
|||||||||||
1,733 |
AGL Resources, Inc. |
90,653 |
|||||||||
970 |
American States Water Co. |
33,843 |
|||||||||
4,490 |
American Water Works Co., Inc. |
238,195 |
|||||||||
16,100 |
APA Group |
107,815 |
|||||||||
4,441 |
Aqua America, Inc. |
118,042 |
|||||||||
1,456 |
Atmos Energy Corp. |
78,187 |
|||||||||
55,009 |
AusNet Services |
61,786 |
|||||||||
149,905 |
Beijing Enterprises Water
Group Ltd.* |
103,026 |
|||||||||
1,198 |
California Water Service Group |
30,034 |
|||||||||
10,772 |
CenterPoint Energy, Inc. |
257,882 |
|||||||||
43,526 |
China Gas Holdings Ltd. |
81,268 |
|||||||||
15,852 |
China Resources Gas Group Ltd. |
44,560 |
|||||||||
11,375 |
Cia de Saneamento Basico do Estado de Sao Paulo (ADR) |
84,175 |
|||||||||
7,340 |
Consolidated Edison, Inc. |
463,521 |
|||||||||
40,082 |
DUET Group |
83,559 |
|||||||||
1,105 |
Elia System Operator S.A./N.V. |
55,421 |
|||||||||
4,139 |
Enagas S.A. |
138,599 |
|||||||||
14,605 |
ENN Energy Holdings Ltd. |
89,266 |
|||||||||
9,106 |
Fortis, Inc. |
323,388 |
|||||||||
123,569 |
Hong Kong & China Gas Co. Ltd. |
292,859 |
|||||||||
3,899 |
ITC Holdings Corp. |
148,123 |
|||||||||
626 |
Laclede Group, Inc. (The) |
31,757 |
|||||||||
128,290 |
National Grid PLC |
1,863,618 |
|||||||||
612 |
New Jersey Resources Corp. |
35,435 |
|||||||||
4,574 |
NiSource, Inc. |
191,376 |
|||||||||
7,919 |
Northeast Utilities |
401,018 |
|||||||||
375 |
Northwest Natural Gas Co. |
17,441 |
|||||||||
1,151 |
NorthWestern Corp. |
61,268 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 3
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
754 |
ONE Gas, Inc. |
$ |
29,270 |
||||||||
13,011 |
Pennon Group PLC |
181,791 |
|||||||||
6,291 |
Pepco Holdings, Inc. |
173,003 |
|||||||||
11,815 |
PG&E Corp. |
596,658 |
|||||||||
1,136 |
Piedmont Natural Gas Co., Inc. |
42,577 |
|||||||||
3,602 |
Red Electrica Corp. S.A. |
329,961 |
|||||||||
3,353 |
Sempra Energy |
374,631 |
|||||||||
7,932 |
Severn Trent PLC |
253,123 |
|||||||||
39,737 |
Snam SpA |
210,688 |
|||||||||
675 |
Southwest Gas Corp. |
39,076 |
|||||||||
44,546 |
Spark Infrastructure Group |
73,913 |
|||||||||
46,619 |
Terna Rete Elettrica Nazionale SpA |
225,149 |
|||||||||
9,886 |
Toho Gas Co. Ltd. |
51,880 |
|||||||||
44,306 |
Tokyo Gas Co. Ltd. |
241,544 |
|||||||||
15,931 |
Towngas China Co. Ltd. |
16,146 |
|||||||||
1,417 |
UIL Holdings Corp. |
56,397 |
|||||||||
22,696 |
United Utilities Group PLC |
321,010 |
|||||||||
753 |
WGL Holdings, Inc. |
36,799 |
|||||||||
8,779,731 |
|||||||||||
Total Common
Stocks (Cost $19,278,258) |
19,211,821 |
||||||||||
Investment Companies — 0.6% |
|||||||||||
Financials — 0.6% |
|||||||||||
19,360 |
3i Infrastructure PLC |
44,242 |
|||||||||
41,509 |
HICL Infrastructure Co. Ltd. |
98,487 |
|||||||||
142,729 |
|||||||||||
Total Investment
Companies (Cost $143,074) |
142,729 |
||||||||||
Master Limited Partnerships — 16.0% |
|||||||||||
Energy — 15.5% |
|||||||||||
1,457 |
Access Midstream Partners LP |
91,325 |
|||||||||
1,061 |
Atlas Pipeline Partners LP |
34,843 |
|||||||||
1,693 |
Boardwalk Pipeline Partners LP |
27,934 |
|||||||||
1,828 |
Buckeye Partners LP |
140,518 |
|||||||||
587 |
Cheniere Energy Partners LP |
17,070 |
|||||||||
1,569 |
Crestwood Equity Partners LP |
14,121 |
|||||||||
2,209 |
Crestwood Midstream Partners LP |
44,357 |
|||||||||
1,266 |
DCP Midstream Partners LP |
60,654 |
|||||||||
2,913 |
Enbridge Energy Partners LP |
109,238 |
|||||||||
5,861 |
Energy Transfer Equity LP |
348,085 |
|||||||||
4,110 |
Energy Transfer Partners LP |
267,849 |
|||||||||
1,069 |
EnLink Midstream Partners LP |
29,814 |
|||||||||
17,397 |
Enterprise Products Partners LP |
649,604 |
|||||||||
566 |
EQT Midstream Partners LP |
47,340 |
|||||||||
1,082 |
Genesis Energy LP |
47,640 |
|||||||||
494 |
Holly Energy Partners LP |
16,623 |
|||||||||
3,294 |
Magellan Midstream Partners LP |
273,040 |
Shares |
Value |
||||||||||
Master Limited Partnerships (continued) |
|||||||||||
2,330 |
MarkWest Energy Partners LP |
$ |
165,570 |
||||||||
270 |
MPLX LP |
17,931 |
|||||||||
938 |
NuStar Energy LP |
52,528 |
|||||||||
472 |
NuStar GP Holdings LLC |
16,218 |
|||||||||
385 |
Oiltanking Partners LP |
18,584 |
|||||||||
2,238 |
ONEOK Partners LP |
98,651 |
|||||||||
216 |
Phillips 66 Partners LP |
13,446 |
|||||||||
5,352 |
Plains All American Pipeline LP |
275,360 |
|||||||||
2,734 |
Plains GP Holdings LP, Class A |
71,029 |
|||||||||
4,395 |
Regency Energy Partners LP |
125,214 |
|||||||||
703 |
Spectra Energy Partners LP |
37,941 |
|||||||||
394 |
Summit Midstream Partners LP |
17,888 |
|||||||||
2,073 |
Sunoco Logistics Partners LP |
99,794 |
|||||||||
1,495 |
Targa Resources Partners LP |
81,971 |
|||||||||
660 |
TC PipeLines LP |
47,513 |
|||||||||
716 |
Tesoro Logistics LP |
41,005 |
|||||||||
163 |
TransMontaigne Partners LP |
6,016 |
|||||||||
246 |
Valero Energy Partners LP |
10,263 |
|||||||||
349 |
Western Gas Equity Partners LP |
21,917 |
|||||||||
1,046 |
Western Gas Partners LP |
74,193 |
|||||||||
2,290 |
Williams Partners LP |
118,485 |
|||||||||
3,631,572 |
|||||||||||
Utilities — 0.5% |
|||||||||||
2,913 |
Brookfield Infrastructure Partners LP |
120,890 |
|||||||||
Total Master Limited Partnerships (Cost $3,855,167) |
3,752,462 |
||||||||||
No. of Rights |
|||||||||||
Rights — 0.0% ‡ |
|||||||||||
5,010 |
DUET Group, expiring 12/16/14 at AUD 2.39*^ |
256 |
|||||||||
Total
Rights (Cost $—) |
256 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) — 0.9% |
|||||||||||
$ |
221,050 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $221,051 |
221,050 |
||||||||
Total Repurchase Agreements (Cost $221,050) |
221,050 |
||||||||||
Total Investment
Securities (Cost $23,497,549) — 99.5% |
23,328,318 |
||||||||||
Other assets less liabilities — 0.5% |
125,988 |
||||||||||
Net Assets — 100.0% |
$ |
23,454,306 |
See accompanying notes to the financial statements.
4 :: TOLZ DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2014, the value of these securities amounted to $256 or 0.00% of net assets.
‡ Amount represents less than 0.05%.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
705,634 |
|||||
Aggregate gross unrealized depreciation |
(886,018 |
) |
|||||
Net unrealized depreciation |
$ |
(180,384 |
) |
||||
Federal income tax cost of investments |
$ |
23,508,702 |
DJ Brookfield Global Infrastructure ETF invested, as a percentage of net assets, in the following countries as of November 30, 2014:
United States |
50.0 |
% |
|||||
United Kingdom |
11.8 |
% |
|||||
Canada |
10.1 |
% |
|||||
Spain |
4.5 |
% |
|||||
Australia |
4.0 |
% |
|||||
Italy |
3.4 |
% |
|||||
Hong Kong |
2.9 |
% |
|||||
Luxembourg |
2.4 |
% |
|||||
France |
2.3 |
% |
|||||
Japan |
1.7 |
% |
|||||
Bermuda |
1.1 |
% |
|||||
Mexico |
0.8 |
% |
|||||
China |
0.6 |
% |
|||||
Singapore |
0.5 |
% |
|||||
Cayman Islands |
0.4 |
% |
|||||
Brazil |
0.4 |
% |
|||||
Germany |
0.4 |
% |
|||||
Liechtenstein |
0.4 |
% |
|||||
New Zealand |
0.4 |
% |
|||||
Netherlands |
0.3 |
% |
|||||
Venezuela |
0.2 |
% |
|||||
Other1 |
1.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: DJ BROOKFIELD GLOBAL INFRASTRUCTURE ETF TOLZ :: 5
Shares |
Value |
||||||||||
Common Stocks — 95.4% |
|||||||||||
Financials — 95.4% |
|||||||||||
196,971 |
3i Group PLC |
$ |
1,366,049 |
||||||||
8,084 |
Altamir |
100,420 |
|||||||||
66,123 |
American Capital Ltd.* |
991,184 |
|||||||||
64,502 |
Apollo Investment Corp. |
531,496 |
|||||||||
74,231 |
Ares Capital Corp. |
1,221,100 |
|||||||||
20,475 |
BlackRock Kelso Capital Corp. |
183,865 |
|||||||||
74,493 |
Brait SE* |
484,299 |
|||||||||
2,744 |
Deutsche Beteiligungs AG |
80,234 |
|||||||||
9,682 |
Electra Private Equity PLC* |
402,128 |
|||||||||
8,150 |
Eurazeo S.A. |
567,004 |
|||||||||
40,985 |
Fifth Street Finance Corp. |
363,537 |
|||||||||
5,329 |
Gimv N.V. |
248,488 |
|||||||||
13,347 |
Golub Capital BDC, Inc. |
237,043 |
|||||||||
1,562 |
HBM Healthcare Investments AG, Class A* |
151,552 |
|||||||||
16,559 |
Hercules Technology Growth
Capital, Inc. |
260,639 |
|||||||||
83,153 |
Intermediate Capital Group PLC |
596,822 |
|||||||||
11,338 |
Main Street Capital Corp. |
368,145 |
|||||||||
148,512 |
Marfin Investment Group Holdings S.A.* |
40,996 |
|||||||||
11,349 |
MCG Capital Corp. |
41,424 |
|||||||||
5,977 |
MVC Capital, Inc. |
66,046 |
|||||||||
21,267 |
Onex Corp. |
1,206,835 |
|||||||||
19,708 |
PennantPark Investment Corp. |
218,562 |
|||||||||
80,989 |
Prospect Capital Corp. |
763,726 |
|||||||||
50,400 |
Ratos AB, Class B |
328,765 |
|||||||||
6,062 |
Safeguard Scientifics, Inc.* |
117,785 |
|||||||||
10,890 |
Solar Capital Ltd. |
200,158 |
|||||||||
7,329 |
Triangle Capital Corp. |
157,354 |
|||||||||
4,892 |
Wendel S.A. |
576,360 |
|||||||||
11,872,016 |
|||||||||||
Total Common Stocks (Cost $12,013,852) |
11,872,016 |
||||||||||
Investment Company — 1.3% |
|||||||||||
Financials — 1.3% |
|||||||||||
9,948 |
HgCapital Trust PLC |
165,488 |
|||||||||
Total Investment Company (Cost $171,337) |
165,488 |
Shares |
Value |
||||||||||
Master Limited Partnership — 1.6% |
|||||||||||
Financials — 1.6% |
|||||||||||
11,093 |
Compass Diversified Holdings |
$ |
192,463 |
||||||||
Total Master Limited Partnership (Cost $198,093) |
192,463 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) — 1.7% |
|||||||||||
$ |
216,400 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $216,401 |
216,400 |
||||||||
Total Repurchase Agreements
(Cost $216,400) |
216,400 |
||||||||||
Total Investment Securities (Cost $12,599,682) — 100.0% |
12,446,367 |
||||||||||
Liabilities in excess of
other assets — 0.0% |
(5,819 |
) |
|||||||||
Net Assets — 100.0% |
$ |
12,440,548 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
405,243 |
|||||
Aggregate gross unrealized depreciation |
(646,611 |
) |
|||||
Net unrealized depreciation |
$ |
(241,368 |
) |
||||
Federal income tax cost of investments |
$ |
12,687,735 |
See accompanying notes to the financial statements.
6 :: PEX GLOBAL LISTED PRIVATE EQUITY ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Global Listed Private Equity ETF invested, as a percentage of net assets, in the following countries as of November 30, 2014:
United States |
47.7 |
% |
|||||
United Kingdom |
20.3 |
% |
|||||
France |
10.0 |
% |
|||||
Canada |
9.7 |
% |
|||||
Malta |
3.9 |
% |
|||||
Sweden |
2.6 |
% |
|||||
Belgium |
2.0 |
% |
|||||
Switzerland |
1.2 |
% |
|||||
Germany |
0.6 |
% |
|||||
Greece |
0.3 |
% |
|||||
Other1 |
1.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: GLOBAL LISTED PRIVATE EQUITY ETF PEX :: 7
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 95.8% |
|||||||||||||||
23,565 |
Aetna, Inc. (Health Care) |
0.4 |
% |
$ |
2,055,811 |
||||||||||
29,803 |
Allstate Corp. (The)
(Financials) |
0.4 |
% |
2,031,074 |
|||||||||||
6,978 |
Amazon.com, Inc.* (Consumer Discretionary) |
0.5 |
% |
2,363,030 |
|||||||||||
102,831 |
Apple, Inc. (Information
Technology) |
2.5 |
% |
12,229,691 |
|||||||||||
40,670 |
Archer-Daniels-Midland Co. (Consumer Staples) |
0.4 |
% |
2,142,496 |
|||||||||||
94,259 |
AT&T, Inc.
(Telecommunication Services) |
0.7 |
% |
3,334,884 |
|||||||||||
125,921 |
Bank of America Corp. (Financials) |
0.4 |
% |
2,145,694 |
|||||||||||
28,484 |
Baxter International, Inc.
(Health Care) |
0.4 |
% |
2,079,332 |
|||||||||||
26,059 |
Berkshire Hathaway, Inc., Class B* (Financials) |
0.8 |
% |
3,874,713 |
|||||||||||
6,294 |
BlackRock, Inc. (Financials) |
0.5 |
% |
2,260,049 |
|||||||||||
26,734 |
Chevron Corp. (Energy) |
0.6 |
% |
2,910,531 |
|||||||||||
93,785 |
Cisco Systems, Inc.
(Information Technology) |
0.5 |
% |
2,592,217 |
|||||||||||
38,966 |
Cognizant Technology Solutions Corp., Class A* (Information Technology) |
0.4 |
% |
2,103,774 |
|||||||||||
35,473 |
Comcast Corp., Class A
(Consumer Discretionary) |
0.4 |
% |
2,023,380 |
|||||||||||
39,375 |
ConocoPhillips (Energy) |
0.5 |
% |
2,601,506 |
|||||||||||
24,312 |
Crown Castle International
Corp. (REIT) (Financials) |
0.4 |
% |
2,020,084 |
|||||||||||
70,026 |
Exxon Mobil Corp. (Energy) |
1.3 |
% |
6,340,154 |
|||||||||||
52,190 |
Facebook, Inc., Class A*
(Information Technology) |
0.8 |
% |
4,055,163 |
|||||||||||
146,132 |
General Electric Co. (Industrials) |
0.8 |
% |
3,871,037 |
|||||||||||
43,270 |
Gilead Sciences, Inc.*
(Health Care) |
0.9 |
% |
4,340,846 |
|||||||||||
3,820 |
Google, Inc., Class A* (Information Technology) |
0.4 |
% |
2,097,486 |
|||||||||||
63,788 |
Hewlett-Packard Co.
(Information Technology) |
0.5 |
% |
2,491,559 |
|||||||||||
30,241 |
Honeywell International, Inc. (Industrials) |
0.6 |
% |
2,995,976 |
|||||||||||
78,084 |
Intel Corp. (Information
Technology) |
0.6 |
% |
2,908,629 |
|||||||||||
48,979 |
Johnson & Johnson (Health Care) |
1.1 |
% |
5,301,977 |
|||||||||||
52,347 |
JPMorgan Chase & Co.
(Financials) |
0.7 |
% |
3,149,196 |
|||||||||||
34,188 |
Kroger Co. (The) (Consumer Staples) |
0.4 |
% |
2,045,810 |
|||||||||||
12,986 |
Lockheed Martin Corp.
(Industrials) |
0.5 |
% |
2,487,598 |
|||||||||||
36,305 |
Marsh & McLennan Cos., Inc. (Financials) |
0.4 |
% |
2,054,500 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
34,494 |
Merck & Co., Inc. (Health Care) |
0.4 |
% |
$ |
2,083,438 |
||||||||||
48,072 |
MetLife, Inc. (Financials) |
0.6 |
% |
2,673,284 |
|||||||||||
133,782 |
Microsoft Corp. (Information Technology) |
1.3 |
% |
6,396,118 |
|||||||||||
67,229 |
Morgan Stanley (Financials) |
0.5 |
% |
2,365,116 |
|||||||||||
18,371 |
Norfolk Southern Corp. (Industrials) |
0.4 |
% |
2,050,938 |
|||||||||||
14,612 |
Northrop Grumman Corp.
(Industrials) |
0.4 |
% |
2,059,269 |
|||||||||||
43,816 |
PepsiCo, Inc. (Consumer Staples) |
0.9 |
% |
4,385,982 |
|||||||||||
101,413 |
Pfizer, Inc. (Health Care) |
0.7 |
% |
3,159,015 |
|||||||||||
47,308 |
Philip Morris International, Inc. (Consumer Staples) |
0.8 |
% |
4,112,484 |
|||||||||||
16,727 |
Praxair, Inc. (Materials) |
0.4 |
% |
2,147,412 |
|||||||||||
1,781 |
Priceline Group, Inc. (The)* (Consumer Discretionary) |
0.4 |
% |
2,066,298 |
|||||||||||
37,473 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.7 |
% |
3,388,683 |
|||||||||||
25,999 |
Prudential Financial, Inc. (Financials) |
0.5 |
% |
2,209,395 |
|||||||||||
40,758 |
QUALCOMM, Inc.
(Information Technology) |
0.6 |
% |
2,971,258 |
|||||||||||
19,977 |
Raytheon Co. (Industrials) |
0.4 |
% |
2,131,546 |
|||||||||||
49,778 |
Southwest Airlines Co.
(Industrials) |
0.4 |
% |
2,081,716 |
|||||||||||
20,571 |
Travelers Cos., Inc. (The) (Financials) |
0.5 |
% |
2,148,641 |
|||||||||||
57,754 |
Twenty-First Century Fox,
Inc., Class A (Consumer Discretionary) |
0.4 |
% |
2,125,347 |
|||||||||||
54,409 |
Verizon Communications, Inc. (Telecommunication Services) |
0.6 |
% |
2,752,551 |
|||||||||||
67,617 |
Wells Fargo & Co.
(Financials) |
0.8 |
% |
3,683,774 |
|||||||||||
7,049,572 |
Other Common Stocks |
65.3 |
% |
320,628,942 |
|||||||||||
Total Common Stocks
(Cost $451,742,892) |
470,529,404 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) — 0.8% |
|||||||||||||||
$ |
3,820,936 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,820,957 |
3,820,936 |
||||||||||||
Total Repurchase Agreements (Cost $3,820,936) |
3,820,936 |
||||||||||||||
Total Investment Securities
(Cost $455,563,828) — 96.6% |
474,350,340 |
||||||||||||||
Other assets less liabilities — 3.4% |
16,799,586 |
||||||||||||||
Net Assets — 100.0% |
$ |
491,149,926 |
See accompanying notes to the financial statements.
8 :: CSM LARGE CAP CORE PLUS :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $54,084,350.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
28,391,912 |
|||||
Aggregate gross unrealized depreciation |
(9,975,206 |
) |
|||||
Net unrealized appreciation |
$ |
18,416,706 |
|||||
Federal income tax cost of investments |
$ |
455,933,634 |
Swap Agreements1
Large Cap Core Plus had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,631,626 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Credit Suisse 130/30
Large Cap Index (short portion) |
$ |
3,576,498 |
||||||||||||||||||||||||||
134,103,113 |
11/06/15 |
Deutsche Bank AG |
0.22 |
% |
Credit Suisse 130/30 Large Cap Index (long portion) |
7,232,333 |
|||||||||||||||||||||||||||||
132,471,487 |
10,808,831 |
$ |
— |
$ |
(10,808,831 |
) |
$ |
— |
|||||||||||||||||||||||||||
(6,928,557 |
) |
01/06/16 |
Societe Generale |
0.04 |
% |
Credit Suisse 130/30 Large Cap Index (short portion) |
1,353,200 |
||||||||||||||||||||||||||||
24,770,908 |
01/06/16 |
Societe Generale |
0.36 |
% |
Credit Suisse 130/30
Large Cap Index (long portion) |
595,478 |
|||||||||||||||||||||||||||||
17,842,351 |
1,948,678 |
— |
(1,948,678 |
) |
— |
||||||||||||||||||||||||||||||
(138,459,109 |
) |
01/06/16 |
UBS AG |
(0.16 |
)% |
Credit Suisse 130/30
Large Cap Index (short portion) |
(6,564,148 |
) |
|||||||||||||||||||||||||||
8,760,321 |
01/06/16 |
UBS AG |
0.51 |
% |
Credit Suisse 130/30 Large Cap Index (long portion) |
8,253,207 |
|||||||||||||||||||||||||||||
(129,698,788 |
) |
1,689,059 |
(1,689,059 |
) |
— |
— |
|||||||||||||||||||||||||||||
$ |
20,615,050 |
$ |
14,446,568 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: LARGE CAP CORE PLUS CSM :: 9
Large Cap Core Plus invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
12.8 |
% |
|||||
Consumer Staples |
7.6 |
% |
|||||
Energy |
7.3 |
% |
|||||
Financials |
19.1 |
% |
|||||
Health Care |
10.2 |
% |
|||||
Industrials |
11.2 |
% |
|||||
Information Technology |
17.2 |
% |
|||||
Materials |
3.4 |
% |
|||||
Telecommunication Services |
1.6 |
% |
|||||
Utilities |
5.4 |
% |
|||||
Other1 |
4.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
10 :: CSM LARGE CAP CORE PLUS :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks — 98.7% |
|||||||||||
Consumer Discretionary — 13.5% |
|||||||||||
95,233 |
Family Dollar Stores, Inc. |
$ |
7,528,169 |
||||||||
84,736 |
Genuine Parts Co. |
8,709,166 |
|||||||||
218,232 |
Leggett & Platt, Inc. |
9,185,385 |
|||||||||
137,425 |
Lowe's Cos., Inc. |
8,771,838 |
|||||||||
79,971 |
McDonald's Corp. |
7,741,992 |
|||||||||
121,801 |
Target Corp. |
9,013,274 |
|||||||||
114,345 |
VF Corp. |
8,595,314 |
|||||||||
59,545,138 |
|||||||||||
Consumer Staples — 23.6% |
|||||||||||
159,200 |
Archer-Daniels-Midland Co. |
8,386,656 |
|||||||||
85,093 |
Brown-Forman Corp., Class B |
8,258,276 |
|||||||||
76,018 |
Clorox Co. (The) |
7,724,949 |
|||||||||
165,976 |
Coca-Cola Co. (The) |
7,440,704 |
|||||||||
113,044 |
Colgate-Palmolive Co. |
7,866,732 |
|||||||||
142,565 |
Hormel Foods Corp. |
7,567,350 |
|||||||||
70,762 |
Kimberly-Clark Corp. |
8,250,142 |
|||||||||
109,165 |
McCormick & Co., Inc. (Non-Voting) |
8,114,234 |
|||||||||
77,965 |
PepsiCo, Inc. |
7,804,296 |
|||||||||
87,164 |
Procter & Gamble Co. (The) |
7,882,241 |
|||||||||
199,246 |
Sysco Corp. |
8,021,644 |
|||||||||
117,157 |
Walgreen Co. |
8,038,142 |
|||||||||
94,259 |
Wal-Mart Stores, Inc. |
8,251,433 |
|||||||||
103,606,799 |
|||||||||||
Energy — 3.2% |
|||||||||||
64,816 |
Chevron Corp. |
7,056,518 |
|||||||||
80,569 |
Exxon Mobil Corp. |
7,294,717 |
|||||||||
14,351,235 |
|||||||||||
Financials — 13.0% |
|||||||||||
130,573 |
Aflac, Inc. |
7,799,125 |
|||||||||
79,004 |
Chubb Corp. (The) |
8,141,362 |
|||||||||
157,858 |
Cincinnati Financial Corp. |
8,042,865 |
|||||||||
145,419 |
Franklin Resources, Inc. |
8,268,524 |
|||||||||
176,117 |
HCP, Inc. (REIT) |
7,890,042 |
|||||||||
93,186 |
McGraw Hill Financial, Inc. |
8,709,164 |
|||||||||
97,940 |
T. Rowe Price Group, Inc. |
8,175,052 |
|||||||||
57,026,134 |
|||||||||||
Health Care — 13.2% |
|||||||||||
177,687 |
Abbott Laboratories |
7,908,849 |
|||||||||
134,250 |
AbbVie, Inc. |
9,290,100 |
|||||||||
57,706 |
Becton, Dickinson and Co. |
8,097,883 |
|||||||||
49,245 |
C.R. Bard, Inc. |
8,241,151 |
|||||||||
97,712 |
Cardinal Health, Inc. |
8,030,949 |
|||||||||
72,897 |
Johnson & Johnson |
7,891,100 |
|||||||||
115,130 |
Medtronic, Inc. |
8,504,653 |
|||||||||
57,964,685 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Industrials — 13.8% |
|||||||||||
55,164 |
3M Co. |
$ |
8,831,205 |
||||||||
107,645 |
Cintas Corp. |
7,874,232 |
|||||||||
97,406 |
Dover Corp. |
7,499,288 |
|||||||||
124,202 |
Emerson Electric Co. |
7,917,878 |
|||||||||
91,367 |
Illinois Tool Works, Inc. |
8,673,469 |
|||||||||
63,116 |
Pentair PLC |
4,084,236 |
|||||||||
88,285 |
Stanley Black & Decker, Inc. |
8,337,635 |
|||||||||
30,650 |
W.W. Grainger, Inc. |
7,530,092 |
|||||||||
60,748,035 |
|||||||||||
Information Technology — 2.0% |
|||||||||||
101,557 |
Automatic Data Processing, Inc. |
8,697,341 |
|||||||||
Materials — 12.9% |
|||||||||||
60,009 |
Air Products & Chemicals, Inc. |
8,631,095 |
|||||||||
193,645 |
Bemis Co., Inc. |
7,734,181 |
|||||||||
67,521 |
Ecolab, Inc. |
7,356,413 |
|||||||||
151,518 |
Nucor Corp. |
8,125,910 |
|||||||||
40,211 |
PPG Industries, Inc. |
8,798,971 |
|||||||||
34,626 |
Sherwin-Williams Co. (The) |
8,478,522 |
|||||||||
54,480 |
Sigma-Aldrich Corp. |
7,441,968 |
|||||||||
56,567,060 |
|||||||||||
Telecommunication Services — 1.7% |
|||||||||||
215,481 |
AT&T, Inc. |
7,623,718 |
|||||||||
Utilities — 1.8% |
|||||||||||
124,809 |
Consolidated Edison, Inc. |
7,881,688 |
|||||||||
Total Common
Stocks (Cost $396,161,398) |
434,011,833 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) — 1.0% |
|||||||||||
$ |
4,267,719 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $4,267,743 |
4,267,719 |
||||||||
Total Repurchase Agreements (Cost $4,267,719) |
4,267,719 |
||||||||||
Total Investment
Securities (Cost $400,429,117) — 99.7% |
438,279,552 |
||||||||||
Other assets less liabilities — 0.3% |
1,207,015 |
||||||||||
Net Assets — 100.0% |
$ |
439,486,567 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: S&P 500 DIVIDEND ARISTOCRATS ETF NOBL :: 11
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
40,016,775 |
|||||
Aggregate gross unrealized depreciation |
(2,330,370 |
) |
|||||
Net unrealized appreciation |
$ |
37,686,405 |
|||||
Federal income tax cost of investments |
$ |
400,593,147 |
See accompanying notes to the financial statements.
12 :: NOBL S&P 500 DIVIDEND ARISTOCRATS ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks — 98.2% |
|||||||||||
Aerospace & Defense — 3.8% |
|||||||||||
9,680 |
BAE Systems PLC |
$ |
72,932 |
||||||||
15,223 |
Cobham PLC |
71,901 |
|||||||||
144,833 |
|||||||||||
Beverages — 1.9% |
|||||||||||
2,361 |
Diageo PLC |
73,246 |
|||||||||
Capital Markets — 1.9% |
|||||||||||
10,305 |
Aberdeen Asset Management PLC |
72,606 |
|||||||||
Chemicals — 5.6% |
|||||||||||
1,821 |
Croda International PLC |
69,983 |
|||||||||
1,776 |
Fuchs Petrolub SE (Preference) |
73,661 |
|||||||||
1,518 |
Novozymes A/S, Class B |
66,862 |
|||||||||
210,506 |
|||||||||||
Commercial Services & Supplies — 3.8% |
|||||||||||
2,889 |
Aggreko PLC |
69,358 |
|||||||||
4,061 |
Babcock International Group PLC |
72,310 |
|||||||||
141,668 |
|||||||||||
Diversified Financial Services — 3.7% |
|||||||||||
802 |
Groupe Bruxelles Lambert S.A. |
72,736 |
|||||||||
13,926 |
Mitsubishi UFJ Lease &
Finance Co. Ltd. |
65,708 |
|||||||||
138,444 |
|||||||||||
Electric Utilities — 5.7% |
|||||||||||
9,356 |
Cheung Kong Infrastructure Holdings Ltd. |
69,250 |
|||||||||
821 |
Red Electrica Corp. S.A. |
75,401 |
|||||||||
2,858 |
SSE PLC |
73,403 |
|||||||||
218,054 |
|||||||||||
Energy Equipment & Services — 1.7% |
|||||||||||
4,211 |
Amec Foster Wheeler PLC |
61,627 |
|||||||||
Food & Staples Retailing — 3.4% |
|||||||||||
1,786 |
FamilyMart Co. Ltd. |
65,911 |
|||||||||
2,360 |
Woolworths Ltd. |
62,684 |
|||||||||
128,595 |
|||||||||||
Food Products — 9.4% |
|||||||||||
1,463 |
Associated British Foods PLC |
73,385 |
|||||||||
1 |
Chocoladefabriken Lindt & Sprungli AG |
59,907 |
|||||||||
14 |
Chocoladefabriken Lindt
& Sprungli AG, Class PC |
70,719 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
1,045 |
Kerry Group PLC, Class A |
$ |
77,761 |
||||||||
945 |
Nestle S.A. |
71,157 |
|||||||||
352,929 |
|||||||||||
Gas Utilities — 1.9% |
|||||||||||
2,154 |
Enagas S.A. |
72,315 |
|||||||||
Health Care Equipment & Supplies — 3.6% |
|||||||||||
1,107 |
Cochlear Ltd. |
65,713 |
|||||||||
826 |
Coloplast A/S, Class B |
71,754 |
|||||||||
137,467 |
|||||||||||
Health Care Providers & Services — 7.4% |
|||||||||||
959 |
Fresenius Medical Care AG & Co. KGaA |
71,003 |
|||||||||
1,720 |
Miraca Holdings, Inc. |
65,287 |
|||||||||
1,519 |
Ramsay Health Care Ltd. |
70,204 |
|||||||||
11,517 |
Ryman Healthcare Ltd. |
72,417 |
|||||||||
278,911 |
|||||||||||
Hotels, Restaurants & Leisure — 3.9% |
|||||||||||
4,279 |
Compass Group PLC |
73,042 |
|||||||||
10,802 |
TUI Travel PLC |
75,228 |
|||||||||
148,270 |
|||||||||||
Machinery — 1.6% |
|||||||||||
2,067 |
Weir Group PLC (The) |
60,726 |
|||||||||
Media — 7.9% |
|||||||||||
3,709 |
Pearson PLC |
71,502 |
|||||||||
2,038 |
SES S.A.(FDR) |
76,017 |
|||||||||
5,198 |
Sky PLC |
75,868 |
|||||||||
3,499 |
WPP PLC |
73,427 |
|||||||||
296,814 |
|||||||||||
Metals & Mining — 1.7% |
|||||||||||
2,679 |
BHP Billiton PLC |
63,645 |
|||||||||
Multiline Retail — 2.0% |
|||||||||||
690 |
Next PLC |
73,209 |
|||||||||
Multi-Utilities — 1.8% |
|||||||||||
14,820 |
Centrica PLC |
66,052 |
|||||||||
Oil, Gas & Consumable Fuels — 3.2% |
|||||||||||
4,331 |
BG Group PLC |
61,057 |
|||||||||
3,209 |
Statoil ASA |
60,691 |
|||||||||
121,748 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: MSCI EAFE DIVIDEND GROWERS ETF EFAD :: 13
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
Pharmaceuticals — 9.5% |
|||||||||||
741 |
Novartis AG |
$ |
71,908 |
||||||||
1,590 |
Novo Nordisk A/S, Class B |
72,698 |
|||||||||
238 |
Roche Holding AG |
71,486 |
|||||||||
1,038 |
Shire PLC |
74,077 |
|||||||||
1,195 |
Teva Pharmaceutical Industries Ltd. |
67,942 |
|||||||||
358,111 |
|||||||||||
Professional Services — 3.5% |
|||||||||||
4,223 |
Capita PLC |
70,764 |
|||||||||
1,616 |
Intertek Group PLC |
59,093 |
|||||||||
129,857 |
|||||||||||
Semiconductors &
Semiconductor Equipment — 1.9% |
|||||||||||
5,103 |
ARM Holdings PLC |
73,083 |
|||||||||
Specialty Retail — 1.6% |
|||||||||||
735 |
Shimamura Co. Ltd. |
61,495 |
|||||||||
Tobacco — 1.9% |
|||||||||||
1,213 |
British American Tobacco PLC |
72,081 |
|||||||||
Trading Companies & Distributors — 1.9% |
|||||||||||
2,577 |
Bunzl PLC |
72,078 |
|||||||||
Transportation Infrastructure — 2.0% |
|||||||||||
3,507 |
Abertis Infraestructuras S.A. |
75,242 |
|||||||||
Total Common
Stocks (Cost $3,924,991) |
3,703,612 |
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 1.3% |
|||||||||||
$ |
49,613 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $49,613 |
$ |
49,613 |
|||||||
Total Repurchase Agreements
(Cost $49,613) |
49,613 |
||||||||||
Total Investment Securities (Cost $3,974,604) — 99.5% |
3,753,225 |
||||||||||
Other assets less liabilities — 0.5% |
17,297 |
||||||||||
Net Assets — 100.0% |
$ |
3,770,522 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
FDR Finnish Depositary Receipt
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
64,192 |
|||||
Aggregate gross unrealized depreciation |
(287,408 |
) |
|||||
Net unrealized depreciation |
$ |
(223,216 |
) |
||||
Federal income tax cost of investments |
$ |
3,976,441 |
MSCI EAFE Dividend Growers ETF invested, as a percentage of net assets, in the following countries as of November 30, 2014:
United Kingdom |
42.8 |
% |
|||||
Switzerland |
9.2 |
% |
|||||
Australia |
9.0 |
% |
|||||
Japan |
6.8 |
% |
|||||
Spain |
5.9 |
% |
|||||
Denmark |
5.6 |
% |
|||||
Ireland |
4.1 |
% |
|||||
Germany |
3.8 |
% |
|||||
Luxembourg |
2.0 |
% |
|||||
Belgium |
1.9 |
% |
|||||
New Zealand |
1.9 |
% |
|||||
Hong Kong |
1.8 |
% |
|||||
Israel |
1.8 |
% |
|||||
Norway |
1.6 |
% |
|||||
Other1 |
1.8 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
14 :: EFAD MSCI EAFE DIVIDEND GROWERS ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds — 96.5% |
|||||||||||
Aerospace & Defense — 3.5% |
|||||||||||
B/E Aerospace, Inc. |
|||||||||||
$ |
1,861,000 |
5.25%, due 04/01/22 |
$ |
2,065,710 |
|||||||
Bombardier, Inc. |
|||||||||||
471,000 |
6.00%, due 10/15/22 (a) |
478,748 |
|||||||||
1,202,000 |
6.13%, due 01/15/23 (a) |
1,235,055 |
|||||||||
TransDigm, Inc. |
|||||||||||
888,000 |
6.00%, due 07/15/22 |
896,880 |
|||||||||
803,000 |
6.50%, due 07/15/24 |
819,060 |
|||||||||
5,495,453 |
|||||||||||
Auto Components — 0.4% |
|||||||||||
Goodyear Tire & Rubber Co. (The) |
|||||||||||
515,000 |
8.25%, due 08/15/20 |
552,338 |
|||||||||
Automobiles — 1.9% |
|||||||||||
Chrysler Group LLC/CG Co.-Issuer, Inc. |
|||||||||||
2,192,000 |
8.00%, due 06/15/19 |
2,323,520 |
|||||||||
547,000 |
8.25%, due 06/15/21 |
609,905 |
|||||||||
2,933,425 |
|||||||||||
Banks — 1.8% |
|||||||||||
CIT Group, Inc. |
|||||||||||
1,063,000 |
4.25%, due 08/15/17 |
1,086,917 |
|||||||||
1,720,000 |
5.50%, due 02/15/19 (a) |
1,823,200 |
|||||||||
2,910,117 |
|||||||||||
Beverages — 0.6% |
|||||||||||
Constellation Brands, Inc. |
|||||||||||
997,000 |
4.25%, due 05/01/23 |
993,311 |
|||||||||
Building Products — 0.6% |
|||||||||||
Building Materials Corp. of
America |
|||||||||||
832,000 |
6.75%, due 05/01/21 (a) |
895,440 |
|||||||||
Chemicals — 2.4% |
|||||||||||
Ashland, Inc. |
|||||||||||
1,182,000 |
4.75%, due 08/15/22 |
1,187,910 |
|||||||||
Gates Global LLC/Gates Global Co. |
|||||||||||
822,000 |
6.00%, due 07/15/22 (a) |
799,395 |
|||||||||
Hexion US Finance Corp. |
|||||||||||
1,240,000 |
6.63%, due 04/15/20 |
1,199,700 |
|||||||||
Hexion US Finance Corp./ Hexion Nova Scotia Finance ULC |
|||||||||||
624,000 |
8.88%, due 02/01/18 |
589,680 |
|||||||||
3,776,685 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Commercial Services & Supplies — 2.1% |
|||||||||||
ADT Corp. (The) |
|||||||||||
$ |
861,000 |
3.50%, due 07/15/22 |
$ |
753,375 |
|||||||
Aramark Services, Inc. |
|||||||||||
570,000 |
5.75%, due 03/15/20 |
588,525 |
|||||||||
Laureate Education, Inc. |
|||||||||||
1,053,000 |
9.50%, due 09/01/19 (a) |
1,092,487 |
|||||||||
West Corp. |
|||||||||||
900,000 |
5.38%, due 07/15/22 (a) |
859,500 |
|||||||||
3,293,887 |
|||||||||||
Communications Equipment — 1.7% |
|||||||||||
Alcatel-Lucent USA, Inc. |
|||||||||||
677,000 |
6.75%, due 11/15/20 (a) |
702,387 |
|||||||||
Avaya, Inc. |
|||||||||||
436,000 |
7.00%, due 04/01/19 (a) |
426,190 |
|||||||||
1,870,000 |
10.50%, due 03/01/21 (a) |
1,631,575 |
|||||||||
2,760,152 |
|||||||||||
Consumer Finance — 3.1% |
|||||||||||
Ally Financial, Inc. |
|||||||||||
1,100,000 |
8.00%, due 03/15/20 |
1,303,500 |
|||||||||
762,000 |
8.00%, due 11/01/31 |
958,215 |
|||||||||
Navient Corp. |
|||||||||||
1,700,000 |
6.25%, due 01/25/16 |
1,776,500 |
|||||||||
800,000 |
8.00%, due 03/25/20 |
903,000 |
|||||||||
4,941,215 |
|||||||||||
Containers & Packaging — 2.8% |
|||||||||||
Ball Corp. |
|||||||||||
823,000 |
4.00%, due 11/15/23 |
790,080 |
|||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV |
|||||||||||
541,000 |
4.50%, due 01/15/23 |
519,360 |
|||||||||
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC/ Reynolds Group Issuer Lu |
|||||||||||
1,219,000 |
9.88%, due 08/15/19 |
1,313,473 |
|||||||||
1,759,000 |
5.75%, due 10/15/20 |
1,809,571 |
|||||||||
4,432,484 |
|||||||||||
Distributors — 0.5% |
|||||||||||
AmeriGas Finance
LLC/ AmeriGas Finance Corp. |
|||||||||||
708,000 |
7.00%, due 05/20/22 |
746,940 |
|||||||||
Diversified Financial Services — 0.7% |
|||||||||||
Denali Borrower LLC/Denali Finance Corp. |
|||||||||||
997,000 |
5.63%, due 10/15/20 (a) |
1,045,354 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: HIGH YIELD—INTEREST RATE HEDGED HYHG :: 15
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Diversified Telecommunication Services — 4.8% |
|||||||||||
CCO Holdings LLC/CCO
Holdings Capital Corp. |
|||||||||||
$ |
1,456,000 |
7.00%, due 01/15/19 |
$ |
1,516,060 |
|||||||
550,000 |
6.50%, due 04/30/21 |
578,875 |
|||||||||
CenturyLink, Inc. |
|||||||||||
1,617,000 |
6.45%, due 06/15/21 |
1,762,530 |
|||||||||
300,000 |
5.80%, due 03/15/22 |
315,000 |
|||||||||
Frontier Communications Corp. |
|||||||||||
1,133,000 |
8.50%, due 04/15/20 |
1,297,285 |
|||||||||
Level 3 Financing, Inc. |
|||||||||||
1,210,000 |
8.13%, due 07/01/19 |
1,288,650 |
|||||||||
UPCB Finance III Ltd. |
|||||||||||
325,000 |
6.63%, due 07/01/20 (a) |
340,437 |
|||||||||
Virgin Media Secured Finance PLC |
|||||||||||
400,000 |
5.38%, due 04/15/21 (a) |
412,500 |
|||||||||
7,511,337 |
|||||||||||
Electronic Equipment, Instruments &
Components — 0.3% |
|||||||||||
Zebra Technologies Corp. |
|||||||||||
394,000 |
7.25%, due 10/15/22 (a) |
421,088 |
|||||||||
Food & Staples Retailing — 0.8% |
|||||||||||
US Foods, Inc. |
|||||||||||
1,130,000 |
8.50%, due 06/30/19 |
1,197,800 |
|||||||||
Food Products — 2.3% |
|||||||||||
HJ Heinz Co. |
|||||||||||
1,655,000 |
4.25%, due 10/15/20 |
1,675,853 |
|||||||||
Post Holdings, Inc. |
|||||||||||
1,278,000 |
7.38%, due 02/15/22 |
1,290,780 |
|||||||||
Smithfield Foods, Inc. |
|||||||||||
622,000 |
6.63%, due 08/15/22 |
673,315 |
|||||||||
3,639,948 |
|||||||||||
Gas Utilities — 2.2% |
|||||||||||
Sabine Pass Liquefaction LLC |
|||||||||||
1,499,000 |
5.63%, due 02/01/21 |
1,532,727 |
|||||||||
1,838,000 |
5.75%, due 05/15/24 |
1,858,678 |
|||||||||
3,391,405 |
|||||||||||
Health Care Equipment & Supplies — 1.9% |
|||||||||||
Biomet, Inc. |
|||||||||||
1,633,000 |
6.50%, due 08/01/20 |
1,748,322 |
|||||||||
Hologic, Inc. |
|||||||||||
1,187,000 |
6.25%, due 08/01/20 |
1,229,287 |
|||||||||
2,977,609 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Health Care Providers & Services — 8.9% |
|||||||||||
CHS/Community Health
Systems, Inc. |
|||||||||||
$ |
1,887,000 |
8.00%, due 11/15/19 |
$ |
2,019,090 |
|||||||
836,000 |
6.88%, due 02/01/22 |
885,115 |
|||||||||
Crimson Merger Sub, Inc. |
|||||||||||
977,000 |
6.63%, due 05/15/22 (a) |
911,052 |
|||||||||
DaVita HealthCare Partners, Inc. |
|||||||||||
1,267,000 |
5.75%, due 08/15/22 |
1,338,269 |
|||||||||
1,456,000 |
5.13%, due 07/15/24 |
1,493,310 |
|||||||||
HCA, Inc. |
|||||||||||
945,000 |
6.50%, due 02/15/20 |
1,045,406 |
|||||||||
Kinetic Concepts, Inc./KCI USA Inc. |
|||||||||||
1,091,000 |
10.50%, due 11/01/18 |
1,208,282 |
|||||||||
LifePoint Hospitals, Inc. |
|||||||||||
778,000 |
5.50%, due 12/01/21 |
807,175 |
|||||||||
MPH Acquisition Holdings LLC |
|||||||||||
1,200,000 |
6.63%, due 04/01/22 (a) |
1,251,000 |
|||||||||
Tenet Healthcare Corp. |
|||||||||||
1,208,000 |
6.00%, due 10/01/20 |
1,285,010 |
|||||||||
1,599,000 |
8.13%, due 04/01/22 |
1,786,883 |
|||||||||
14,030,592 |
|||||||||||
Hotels, Restaurants & Leisure — 3.4% |
|||||||||||
Caesars Entertainment Operating Co., Inc. |
|||||||||||
2,080,000 |
11.25%, due 06/01/17 |
1,664,000 |
|||||||||
1,895,000 |
10.00%, due 12/15/18 |
235,928 |
|||||||||
Hilton Worldwide Finance
LLC/ Hilton Worldwide Finance Corp. |
|||||||||||
1,221,000 |
5.63%, due 10/15/21 (a) |
1,282,050 |
|||||||||
MGM Resorts International |
|||||||||||
746,000 |
6.63%, due 12/15/21 |
796,355 |
|||||||||
586,000 |
7.75%, due 03/15/22 |
659,250 |
|||||||||
Pinnacle Entertainment, Inc. |
|||||||||||
713,000 |
7.50%, due 04/15/21 |
753,997 |
|||||||||
5,391,580 |
|||||||||||
Independent Power and
Renewable Electricity Producers — 2.7% |
|||||||||||
Calpine Corp. |
|||||||||||
570,000 |
5.38%, due 01/15/23 |
577,837 |
|||||||||
1,715,000 |
5.75%, due 01/15/25 |
1,745,013 |
|||||||||
NRG Energy, Inc. |
|||||||||||
1,280,000 |
7.63%, due 01/15/18 |
1,417,600 |
|||||||||
488,000 |
7.88%, due 05/15/21 |
528,260 |
|||||||||
4,268,710 |
|||||||||||
Internet Software & Services — 0.5% |
|||||||||||
Equinix, Inc. |
|||||||||||
780,000 |
5.38%, due 04/01/23 |
782,925 |
See accompanying notes to the financial statements.
16 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
IT Services — 2.2% |
|||||||||||
First Data Corp. |
|||||||||||
$ |
1,715,000 |
12.63%, due 01/15/21 |
$ |
2,040,850 |
|||||||
620,000 |
11.75%, due 08/15/21 |
717,650 |
|||||||||
SunGard Data Systems, Inc. |
|||||||||||
628,000 |
6.63%, due 11/01/19 |
640,560 |
|||||||||
3,399,060 |
|||||||||||
Media — 7.0% |
|||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. |
|||||||||||
1,174,000 |
6.38%, due 09/15/20 (a) |
1,218,025 |
|||||||||
Clear Channel Worldwide Holdings, Inc. |
|||||||||||
976,000 |
7.63%, due 03/15/20 |
1,016,016 |
|||||||||
1,432,000 |
6.50%, due 11/15/22 |
1,492,860 |
|||||||||
CSC Holdings LLC |
|||||||||||
740,000 |
6.75%, due 11/15/21 |
820,475 |
|||||||||
DISH DBS Corp. |
|||||||||||
1,380,000 |
6.75%, due 06/01/21 |
1,499,025 |
|||||||||
1,505,000 |
5.88%, due 07/15/22 |
1,555,982 |
|||||||||
Hughes Satellite Systems Corp. |
|||||||||||
470,000 |
6.50%, due 06/15/19 |
508,775 |
|||||||||
Sirius XM Radio, Inc. |
|||||||||||
1,008,000 |
6.00%, due 07/15/24 (a) |
1,040,760 |
|||||||||
Univision Communications, Inc. |
|||||||||||
948,000 |
6.88%, due 05/15/19 (a) |
995,400 |
|||||||||
878,000 |
6.75%, due 09/15/22 (a) |
965,800 |
|||||||||
11,113,118 |
|||||||||||
Metals & Mining — 2.4% |
|||||||||||
First Quantum Minerals Ltd. |
|||||||||||
724,000 |
6.75%, due 02/15/20 (a) |
695,040 |
|||||||||
705,000 |
7.00%, due 02/15/21 (a) |
683,850 |
|||||||||
FQM Akubra, Inc. |
|||||||||||
655,000 |
8.75%, due 06/01/20 (a) |
728,687 |
|||||||||
Novelis, Inc. |
|||||||||||
989,000 |
8.38%, due 12/15/17 |
1,031,033 |
|||||||||
634,000 |
8.75%, due 12/15/20 |
687,890 |
|||||||||
3,826,500 |
|||||||||||
Multi-Utilities & Unregulated Power — 1.4% |
|||||||||||
Dynegy Finance I,
Inc./ Dynegy Finance II, Inc. |
|||||||||||
640,000 |
6.75%, due 11/01/19 (a) |
665,600 |
|||||||||
1,400,000 |
7.38%, due 11/01/22 (a) |
1,473,500 |
|||||||||
2,139,100 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Oil, Gas & Consumable Fuels — 18.4% |
|||||||||||
Access Midstream Partners
LP/ ACMP Finance Corp. |
|||||||||||
$ |
1,005,000 |
4.88%, due 05/15/23 |
$ |
1,025,100 |
|||||||
Antero Resources Corp. |
|||||||||||
300,000 |
5.13%, due 12/01/22 (a) |
291,000 |
|||||||||
Antero Resources Finance Corp. |
|||||||||||
1,241,000 |
5.38%, due 11/01/21 |
1,225,487 |
|||||||||
Arch Coal, Inc. |
|||||||||||
1,092,000 |
7.00%, due 06/15/19 |
439,530 |
|||||||||
670,000 |
7.25%, due 06/15/21 |
244,550 |
|||||||||
California Resources Corp. |
|||||||||||
1,068,000 |
5.50%, due 09/15/21 (a) |
958,530 |
|||||||||
1,400,000 |
6.00%, due 11/15/24 (a) |
1,248,625 |
|||||||||
Chesapeake Energy Corp. |
|||||||||||
927,000 |
6.63%, due 08/15/20 |
1,022,017 |
|||||||||
1,022,000 |
4.88%, due 04/15/22 |
1,011,780 |
|||||||||
Concho Resources, Inc. |
|||||||||||
1,243,000 |
5.50%, due 04/01/23 |
1,224,355 |
|||||||||
CONSOL Energy, Inc. |
|||||||||||
473,000 |
8.25%, due 04/01/20 |
497,832 |
|||||||||
1,011,000 |
5.88%, due 04/15/22 (a) |
1,008,473 |
|||||||||
Denbury Resources, Inc. |
|||||||||||
440,000 |
5.50%, due 05/01/22 |
412,500 |
|||||||||
1,794,000 |
4.63%, due 07/15/23 |
1,506,960 |
|||||||||
Energy Transfer Equity LP |
|||||||||||
780,000 |
7.50%, due 10/15/20 |
895,050 |
|||||||||
337,000 |
5.88%, due 01/15/24 |
357,220 |
|||||||||
EP Energy LLC/Everest
Acquisition Finance, Inc. |
|||||||||||
1,340,000 |
9.38%, due 05/01/20 |
1,463,950 |
|||||||||
Halcon Resources Corp. |
|||||||||||
1,869,000 |
8.88%, due 05/15/21 |
1,439,130 |
|||||||||
Linn Energy LLC/Linn Energy
Finance Corp. |
|||||||||||
290,000 |
6.25%, due 11/01/19 |
259,369 |
|||||||||
1,927,000 |
8.63%, due 04/15/20 |
1,743,935 |
|||||||||
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. |
|||||||||||
911,000 |
4.50%, due 07/15/23 |
888,225 |
|||||||||
MEG Energy Corp. |
|||||||||||
809,000 |
7.00%, due 03/31/24 (a) |
734,167 |
|||||||||
Oasis Petroleum, Inc. |
|||||||||||
631,000 |
6.88%, due 03/15/22 |
593,140 |
|||||||||
Offshore Group Investment Ltd. |
|||||||||||
1,027,000 |
7.50%, due 11/01/19 |
770,250 |
|||||||||
Pacific Rubiales Energy Corp. |
|||||||||||
1,407,000 |
5.38%, due 01/26/19 (a) |
1,396,448 |
|||||||||
Peabody Energy Corp. |
|||||||||||
1,095,000 |
6.00%, due 11/15/18 |
1,042,988 |
|||||||||
902,000 |
6.25%, due 11/15/21 |
845,625 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: HIGH YIELD—INTEREST RATE HEDGED HYHG :: 17
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
SandRidge Energy, Inc. |
|||||||||||
$ |
1,102,000 |
7.50%, due 03/15/21 |
$ |
881,600 |
|||||||
Whiting Petroleum Corp. |
|||||||||||
1,347,000 |
5.00%, due 03/15/19 |
1,309,958 |
|||||||||
1,100,000 |
5.75%, due 03/15/21 |
1,111,000 |
|||||||||
WPX Energy, Inc. |
|||||||||||
1,160,000 |
6.00%, due 01/15/22 |
1,181,750 |
|||||||||
29,030,544 |
|||||||||||
Pharmaceuticals — 1.6% |
|||||||||||
Valeant Pharmaceuticals
International, Inc. |
|||||||||||
608,000 |
6.38%, due 10/15/20 (a) |
630,806 |
|||||||||
1,743,000 |
7.50%, due 07/15/21 (a) |
1,882,440 |
|||||||||
2,513,246 |
|||||||||||
Real Estate Investment Trusts (REITs) — 1.2% |
|||||||||||
Crown Castle International Corp. |
|||||||||||
769,000 |
5.25%, due 01/15/23 |
782,457 |
|||||||||
Iron Mountain, Inc. |
|||||||||||
1,154,000 |
5.75%, due 08/15/24 |
1,169,868 |
|||||||||
1,952,325 |
|||||||||||
Road & Rail — 0.7% |
|||||||||||
Hertz Corp. (The) |
|||||||||||
1,131,000 |
6.75%, due 04/15/19 |
1,167,758 |
|||||||||
Semiconductors & Semiconductor
Equipment — 0.7% |
|||||||||||
Micron Technology, Inc. |
|||||||||||
1,150,000 |
5.50%, due 02/01/25 (a) |
1,155,750 |
|||||||||
Software — 2.9% |
|||||||||||
Activision Blizzard, Inc. |
|||||||||||
1,402,000 |
5.63%, due 09/15/21 (a) |
1,496,635 |
|||||||||
Audatex North America, Inc. |
|||||||||||
880,000 |
6.00%, due 06/15/21 (a) |
913,000 |
|||||||||
BMC Software Finance, Inc. |
|||||||||||
1,550,000 |
8.13%, due 07/15/21 (a) |
1,453,125 |
|||||||||
Nuance Communications, Inc. |
|||||||||||
700,000 |
5.38%, due 08/15/20 (a) |
705,250 |
|||||||||
4,568,010 |
|||||||||||
Specialty Retail — 1.1% |
|||||||||||
L Brands, Inc. |
|||||||||||
710,000 |
6.63%, due 04/01/21 |
800,525 |
|||||||||
915,000 |
5.63%, due 02/15/22 |
985,913 |
|||||||||
1,786,438 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Textiles, Apparel & Luxury Goods — 0.6% |
|||||||||||
Hanesbrands, Inc. |
|||||||||||
$ |
955,000 |
6.38%, due 12/15/20 |
$ |
1,016,598 |
|||||||
Trading Companies & Distributors — 3.0% |
|||||||||||
HD Supply, Inc. |
|||||||||||
98,000 |
8.13%, due 04/15/19 |
106,477 |
|||||||||
1,151,000 |
7.50%, due 07/15/20 |
1,214,305 |
|||||||||
International Lease Finance Corp. |
|||||||||||
1,563,000 |
8.75%, due 03/15/17 |
1,761,501 |
|||||||||
670,000 |
6.25%, due 05/15/19 |
731,975 |
|||||||||
United Rentals North America, Inc. |
|||||||||||
861,000 |
7.63%, due 04/15/22 |
951,405 |
|||||||||
4,765,663 |
|||||||||||
Wireless Telecommunication Services — 3.4% |
|||||||||||
Sprint Communications, Inc. |
|||||||||||
814,000 |
9.00%, due 11/15/18 (a) |
942,205 |
|||||||||
Sprint Corp. |
|||||||||||
1,671,000 |
7.88%, due 09/15/23 |
1,750,373 |
|||||||||
T-Mobile USA, Inc. |
|||||||||||
1,582,000 |
6.25%, due 04/01/21 |
1,621,550 |
|||||||||
1,042,000 |
6.63%, due 04/01/23 |
1,081,075 |
|||||||||
5,395,203 |
|||||||||||
Total Corporate Bonds (Cost $157,128,632) |
152,219,108 |
||||||||||
Repurchase Agreements (b) — 1.3% |
|||||||||||
2,096,476 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $2,096,487 |
2,096,476 |
|||||||||
Total Repurchase Agreements
(Cost $2,096,476) |
2,096,476 |
||||||||||
Total Investment Securities (Cost $159,225,108) — 97.8% |
154,315,584 |
||||||||||
Other assets less liabilities — 2.2% |
3,464,647 |
||||||||||
Net Assets — 100.0% |
$ |
157,780,231 |
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
See accompanying notes to the financial statements.
18 :: HYHG HIGH YIELD—INTEREST RATE HEDGED :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
940,794 |
|||||
Aggregate gross unrealized depreciation |
(5,954,513 |
) |
|||||
Net unrealized depreciation |
$ |
(5,013,719 |
) |
||||
Federal income tax cost of investments |
$ |
159,329,303 |
Futures Contracts Sold
High Yield-Interest Rate Hedged had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
400 |
03/20/15 |
$ |
50,818,750 |
$ |
(128,729 |
) |
||||||||||||
U.S. 2 Year Treasury Note Futures Contracts |
145 |
03/31/15 |
31,775,391 |
(16,079 |
) |
||||||||||||||
U.S. 5 Year Treasury Note Futures Contracts |
630 |
03/31/15 |
75,280,078 |
(130,795 |
) |
||||||||||||||
$ |
(275,603 |
) |
Cash collateral in the amount of $1,204,335 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: HIGH YIELD—INTEREST RATE HEDGED HYHG :: 19
Principal Amount |
Value |
||||||||||
Corporate Bonds — 96.6% |
|||||||||||
Aerospace & Defense — 1.9% |
|||||||||||
Lockheed Martin Corp. |
|||||||||||
$ |
663,000 |
4.07%, due 12/15/42 |
$ |
658,751 |
|||||||
United Technologies Corp. |
|||||||||||
851,000 |
6.13%, due 07/15/38 |
1,111,590 |
|||||||||
240,000 |
5.70%, due 04/15/40 |
299,812 |
|||||||||
2,070,153 |
|||||||||||
Air Freight & Logistics — 0.6% |
|||||||||||
United Parcel Service, Inc. |
|||||||||||
480,000 |
3.13%, due 01/15/21 |
501,524 |
|||||||||
150,000 |
6.20%, due 01/15/38 |
199,231 |
|||||||||
700,755 |
|||||||||||
Automobiles — 1.3% |
|||||||||||
Daimler Finance North America LLC |
|||||||||||
154,000 |
8.50%, due 01/18/31 |
233,393 |
|||||||||
Ford Motor Co. |
|||||||||||
470,000 |
7.45%, due 07/16/31 |
634,438 |
|||||||||
General Motors Co. |
|||||||||||
474,000 |
4.88%, due 10/02/23 |
502,440 |
|||||||||
1,370,271 |
|||||||||||
Banks — 18.4% |
|||||||||||
Banco do Brasil S.A. |
|||||||||||
200,000 |
3.88%, due 10/10/22 |
187,000 |
|||||||||
Bank of America Corp. |
|||||||||||
35,000 |
5.88%, due 01/05/21 |
40,669 |
|||||||||
800,000 |
5.00%, due 05/13/21 |
891,930 |
|||||||||
276,000 |
5.70%, due 01/24/22 |
321,092 |
|||||||||
1,015,000 |
3.30%, due 01/11/23 |
1,015,783 |
|||||||||
341,000 |
4.20%, due 08/26/24 |
347,987 |
|||||||||
340,000 |
7.75%, due 05/14/38 |
475,464 |
|||||||||
357,000 |
4.88%, due 04/01/44 |
387,642 |
|||||||||
Barclays Bank PLC |
|||||||||||
661,000 |
5.14%, due 10/14/20 |
725,278 |
|||||||||
BNP Paribas S.A. |
|||||||||||
479,000 |
5.00%, due 01/15/21 |
541,188 |
|||||||||
Citigroup, Inc. |
|||||||||||
171,000 |
5.38%, due 08/09/20 |
195,559 |
|||||||||
291,000 |
4.50%, due 01/14/22 |
318,109 |
|||||||||
1,833,000 |
3.88%, due 10/25/23 |
1,906,620 |
|||||||||
284,000 |
6.13%, due 08/25/36 |
336,170 |
|||||||||
134,000 |
8.13%, due 07/15/39 |
203,739 |
|||||||||
287,000 |
5.88%, due 01/30/42 |
356,400 |
|||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. |
|||||||||||
1,600,000 |
3.88%, due 02/08/22 |
1,706,432 |
|||||||||
425,000 |
4.63%, due 12/01/23 |
450,404 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Fifth Third Bancorp |
|||||||||||
$ |
100,000 |
8.25%, due 03/01/38 |
$ |
151,832 |
|||||||
HSBC Holdings PLC |
|||||||||||
186,000 |
5.10%, due 04/05/21 |
211,102 |
|||||||||
466,000 |
4.25%, due 03/14/24 |
484,247 |
|||||||||
799,000 |
6.80%, due 06/01/38 |
1,043,578 |
|||||||||
JPMorgan Chase & Co. |
|||||||||||
1,035,000 |
4.50%, due 01/24/22 |
1,135,932 |
|||||||||
787,000 |
3.25%, due 09/23/22 |
796,537 |
|||||||||
319,000 |
3.88%, due 09/10/24 |
322,300 |
|||||||||
450,000 |
6.40%, due 05/15/38 |
588,029 |
|||||||||
KeyCorp |
|||||||||||
563,000 |
5.10%, due 03/24/21 |
633,783 |
|||||||||
Lloyds Bank PLC |
|||||||||||
405,000 |
6.38%, due 01/21/21 |
488,498 |
|||||||||
Royal Bank of Scotland PLC (The) |
|||||||||||
640,000 |
5.63%, due 08/24/20 |
736,216 |
|||||||||
Wells Fargo & Co. |
|||||||||||
360,000 |
4.60%, due 04/01/21 |
399,446 |
|||||||||
240,000 |
3.50%, due 03/08/22 |
250,584 |
|||||||||
76,000 |
4.13%, due 08/15/23 |
79,890 |
|||||||||
482,000 |
3.30%, due 09/09/24 |
486,252 |
|||||||||
Wells Fargo Bank N.A. |
|||||||||||
1,468,000 |
6.60%, due 01/15/38 |
1,987,543 |
|||||||||
20,203,235 |
|||||||||||
Beverages — 2.2% |
|||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
|||||||||||
400,000 |
2.50%, due 07/15/22 |
388,761 |
|||||||||
640,000 |
3.75%, due 07/15/42 |
591,327 |
|||||||||
Coca-Cola Co. (The) |
|||||||||||
600,000 |
2.45%, due 11/01/20 |
610,051 |
|||||||||
PepsiCo, Inc. |
|||||||||||
845,000 |
2.75%, due 03/05/22 |
843,668 |
|||||||||
2,433,807 |
|||||||||||
Capital Markets — 6.1% |
|||||||||||
BlackRock, Inc. |
|||||||||||
190,000 |
3.50%, due 03/18/24 |
194,948 |
|||||||||
Goldman Sachs Group, Inc. (The) |
|||||||||||
866,000 |
3.63%, due 01/22/23 |
878,970 |
|||||||||
336,000 |
5.95%, due 01/15/27 |
387,784 |
|||||||||
1,393,000 |
6.13%, due 02/15/33 |
1,708,815 |
|||||||||
100,000 |
6.45%, due 05/01/36 |
119,979 |
|||||||||
Morgan Stanley |
|||||||||||
1,248,000 |
5.50%, due 07/24/20 |
1,418,377 |
|||||||||
285,000 |
3.88%, due 04/29/24 |
293,639 |
|||||||||
211,000 |
3.70%, due 10/23/24 |
214,253 |
|||||||||
1,377,000 |
5.00%, due 11/24/25 |
1,478,856 |
|||||||||
6,695,621 |
See accompanying notes to the financial statements.
20 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Chemicals — 0.5% |
|||||||||||
Dow Chemical Co. (The) |
|||||||||||
$ |
292,000 |
7.38%, due 11/01/29 |
$ |
394,195 |
|||||||
EI du Pont de Nemours & Co. |
|||||||||||
180,000 |
2.80%, due 02/15/23 |
176,961 |
|||||||||
571,156 |
|||||||||||
Communications Equipment — 0.8% |
|||||||||||
Cisco Systems, Inc. |
|||||||||||
420,000 |
3.63%, due 03/04/24 |
438,163 |
|||||||||
29,000 |
5.90%, due 02/15/39 |
35,841 |
|||||||||
Telefonaktiebolaget LM Ericsson |
|||||||||||
400,000 |
4.13%, due 05/15/22 |
419,625 |
|||||||||
893,629 |
|||||||||||
Consumer Finance — 3.3% |
|||||||||||
American Express Co. |
|||||||||||
754,000 |
4.05%, due 12/03/42 |
737,471 |
|||||||||
Capital One Financial Corp. |
|||||||||||
551,000 |
4.75%, due 07/15/21 |
610,073 |
|||||||||
Ford Motor Credit Co. LLC |
|||||||||||
635,000 |
5.75%, due 02/01/21 |
729,696 |
|||||||||
HSBC Finance Corp. |
|||||||||||
990,000 |
6.68%, due 01/15/21 |
1,174,687 |
|||||||||
Toyota Motor Credit Corp. |
|||||||||||
320,000 |
3.40%, due 09/15/21 |
336,769 |
|||||||||
3,588,696 |
|||||||||||
Diversified Financial Services — 3.5% |
|||||||||||
General Electric Capital Corp. |
|||||||||||
821,000 |
5.30%, due 02/11/21 |
937,918 |
|||||||||
1,201,000 |
6.88%, due 01/10/39 |
1,664,762 |
|||||||||
Shell International Finance B.V. |
|||||||||||
640,000 |
2.38%, due 08/21/22 |
624,984 |
|||||||||
31,000 |
6.38%, due 12/15/38 |
41,752 |
|||||||||
298,000 |
5.50%, due 03/25/40 |
362,580 |
|||||||||
180,000 |
4.55%, due 08/12/43 |
196,191 |
|||||||||
3,828,187 |
|||||||||||
Diversified Telecommunication Services — 5.8% |
|||||||||||
AT&T, Inc. |
|||||||||||
465,000 |
4.45%, due 05/15/21 |
506,580 |
|||||||||
401,000 |
6.50%, due 09/01/37 |
499,614 |
|||||||||
180,000 |
5.35%, due 09/01/40 |
194,846 |
|||||||||
355,000 |
5.55%, due 08/15/41 |
396,613 |
|||||||||
Embarq Corp. |
|||||||||||
570,000 |
8.00%, due 06/01/36 |
634,125 |
|||||||||
Orange S.A. |
|||||||||||
100,000 |
4.13%, due 09/14/21 |
107,728 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Telefonica Emisiones SAU |
|||||||||||
$ |
457,000 |
5.46%, due 02/16/21 |
$ |
516,947 |
|||||||
250,000 |
7.05%, due 06/20/36 |
326,102 |
|||||||||
Verizon Communications, Inc. |
|||||||||||
904,000 |
4.60%, due 04/01/21 |
988,195 |
|||||||||
264,000 |
3.50%, due 11/01/21 |
271,867 |
|||||||||
629,000 |
5.15%, due 09/15/23 |
707,132 |
|||||||||
396,000 |
5.85%, due 09/15/35 |
465,956 |
|||||||||
584,000 |
6.00%, due 04/01/41 |
698,579 |
|||||||||
56,000 |
6.55%, due 09/15/43 |
72,332 |
|||||||||
6,386,616 |
|||||||||||
Electric Utilities — 0.5% |
|||||||||||
FirstEnergy Corp. |
|||||||||||
150,000 |
7.38%, due 11/15/31 |
181,892 |
|||||||||
Pacific Gas & Electric Co. |
|||||||||||
330,000 |
6.05%, due 03/01/34 |
414,615 |
|||||||||
596,507 |
|||||||||||
Energy Equipment & Services — 1.6% |
|||||||||||
Baker Hughes, Inc. |
|||||||||||
558,000 |
5.13%, due 09/15/40 |
616,428 |
|||||||||
Halliburton Co. |
|||||||||||
234,000 |
7.45%, due 09/15/39 |
322,920 |
|||||||||
Transocean, Inc. |
|||||||||||
877,000 |
6.80%, due 03/15/38 |
765,565 |
|||||||||
1,704,913 |
|||||||||||
Food & Staples Retailing — 2.4% |
|||||||||||
Wal-Mart Stores, Inc. |
|||||||||||
463,000 |
3.25%, due 10/25/20 |
488,115 |
|||||||||
232,000 |
5.25%, due 09/01/35 |
275,936 |
|||||||||
409,000 |
6.50%, due 08/15/37 |
555,795 |
|||||||||
37,000 |
5.63%, due 04/01/40 |
46,389 |
|||||||||
1,039,000 |
5.63%, due 04/15/41 |
1,314,737 |
|||||||||
2,680,972 |
|||||||||||
Food Products — 2.2% |
|||||||||||
Kellogg Co. |
|||||||||||
429,000 |
7.45%, due 04/01/31 |
574,884 |
|||||||||
Kraft Foods Group, Inc. |
|||||||||||
450,000 |
3.50%, due 06/06/22 |
464,604 |
|||||||||
Mondelez International, Inc. |
|||||||||||
412,000 |
6.50%, due 02/09/40 |
537,714 |
|||||||||
Unilever Capital Corp. |
|||||||||||
606,000 |
5.90%, due 11/15/32 |
820,437 |
|||||||||
2,397,639 |
|||||||||||
Health Care Providers & Services — 1.2% |
|||||||||||
Express Scripts Holding Co. |
|||||||||||
393,000 |
4.75%, due 11/15/21 |
434,195 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: INVESTMENT GRADE—INTEREST RATE HEDGED IGHG :: 21
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Howard Hughes Medical Institute |
|||||||||||
$ |
100,000 |
3.50%, due 09/01/23 |
$ |
104,180 |
|||||||
UnitedHealth Group, Inc. |
|||||||||||
221,000 |
6.88%, due 02/15/38 |
303,251 |
|||||||||
WellPoint, Inc. |
|||||||||||
467,000 |
3.30%, due 01/15/23 |
466,416 |
|||||||||
1,308,042 |
|||||||||||
Household Products — 0.9% |
|||||||||||
Procter & Gamble Co. (The) |
|||||||||||
1,023,000 |
2.30%, due 02/06/22 |
1,013,692 |
|||||||||
Industrial Conglomerates — 0.8% |
|||||||||||
General Electric Co. |
|||||||||||
500,000 |
2.70%, due 10/09/22 |
497,754 |
|||||||||
314,000 |
4.13%, due 10/09/42 |
321,682 |
|||||||||
819,436 |
|||||||||||
Insurance — 2.1% |
|||||||||||
American International Group, Inc. |
|||||||||||
805,000 |
4.88%, due 06/01/22 |
901,974 |
|||||||||
123,000 |
4.13%, due 02/15/24 |
130,752 |
|||||||||
AXA S.A. |
|||||||||||
209,000 |
8.60%, due 12/15/30 |
282,656 |
|||||||||
MetLife, Inc. |
|||||||||||
756,000 |
5.70%, due 06/15/35 |
928,943 |
|||||||||
2,244,325 |
|||||||||||
Internet Software & Services — 0.3% |
|||||||||||
Google, Inc. |
|||||||||||
286,000 |
3.38%, due 02/25/24 |
298,011 |
|||||||||
IT Services — 1.2% |
|||||||||||
International Business Machines Corp. |
|||||||||||
150,000 |
1.63%, due 05/15/20 |
144,941 |
|||||||||
487,000 |
3.63%, due 02/12/24 |
506,752 |
|||||||||
316,000 |
4.00%, due 06/20/42 |
305,303 |
|||||||||
Xerox Corp. |
|||||||||||
372,000 |
4.50%, due 05/15/21 |
398,660 |
|||||||||
1,355,656 |
|||||||||||
Life Sciences Tools & Services — 0.2% |
|||||||||||
Thermo Fisher Scientific, Inc. |
|||||||||||
211,000 |
4.50%, due 03/01/21 |
228,783 |
|||||||||
Machinery — 0.6% |
|||||||||||
Caterpillar, Inc. |
|||||||||||
638,000 |
3.80%, due 08/15/42 |
619,264 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Media — 8.6% |
|||||||||||
21st Century Fox America, Inc. |
|||||||||||
$ |
828,000 |
4.50%, due 02/15/21 |
$ |
907,884 |
|||||||
30,000 |
6.65%, due 11/15/37 |
39,332 |
|||||||||
Comcast Cable Communications Holdings, Inc. |
|||||||||||
179,000 |
9.46%, due 11/15/22 |
257,918 |
|||||||||
Comcast Corp. |
|||||||||||
570,000 |
3.13%, due 07/15/22 |
582,862 |
|||||||||
492,000 |
3.60%, due 03/01/24 |
513,487 |
|||||||||
701,000 |
4.25%, due 01/15/33 |
727,295 |
|||||||||
620,000 |
6.50%, due 11/15/35 |
819,072 |
|||||||||
DIRECTV Holdings
LLC/DIRECTV Financing Co., Inc. |
|||||||||||
300,000 |
3.80%, due 03/15/22 |
307,599 |
|||||||||
540,000 |
6.38%, due 03/01/41 |
636,435 |
|||||||||
Discovery Communications LLC |
|||||||||||
123,000 |
5.05%, due 06/01/20 |
136,003 |
|||||||||
Historic TW, Inc. |
|||||||||||
200,000 |
6.63%, due 05/15/29 |
252,040 |
|||||||||
NBCUniversal Media LLC |
|||||||||||
450,000 |
2.88%, due 01/15/23 |
448,662 |
|||||||||
Omnicom Group, Inc. |
|||||||||||
460,000 |
3.63%, due 05/01/22 |
473,069 |
|||||||||
Time Warner Cable, Inc. |
|||||||||||
100,000 |
6.55%, due 05/01/37 |
127,110 |
|||||||||
111,000 |
7.30%, due 07/01/38 |
150,132 |
|||||||||
150,000 |
6.75%, due 06/15/39 |
192,967 |
|||||||||
Time Warner Entertainment Co. LP |
|||||||||||
600,000 |
8.38%, due 03/15/23 |
812,638 |
|||||||||
Time Warner, Inc. |
|||||||||||
100,000 |
4.70%, due 01/15/21 |
109,879 |
|||||||||
198,000 |
7.70%, due 05/01/32 |
276,178 |
|||||||||
780,000 |
6.10%, due 07/15/40 |
935,214 |
|||||||||
Viacom, Inc. |
|||||||||||
430,000 |
4.38%, due 03/15/43 |
399,741 |
|||||||||
Walt Disney Co. (The) |
|||||||||||
301,000 |
2.35%, due 12/01/22 |
294,027 |
|||||||||
9,399,544 |
|||||||||||
Metals & Mining — 4.0% |
|||||||||||
Barrick Gold Corp. |
|||||||||||
150,000 |
3.85%, due 04/01/22 |
146,584 |
|||||||||
Barrick North America Finance LLC |
|||||||||||
397,000 |
4.40%, due 05/30/21 |
409,004 |
|||||||||
BHP Billiton Finance USA Ltd. |
|||||||||||
578,000 |
3.85%, due 09/30/23 |
606,723 |
|||||||||
240,000 |
4.13%, due 02/24/42 |
238,679 |
|||||||||
452,000 |
5.00%, due 09/30/43 |
512,612 |
|||||||||
Newmont Mining Corp. |
|||||||||||
100,000 |
6.25%, due 10/01/39 |
98,396 |
See accompanying notes to the financial statements.
22 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Rio Tinto Finance USA Ltd. |
|||||||||||
$ |
686,000 |
4.13%, due 05/20/21 |
$ |
727,218 |
|||||||
Southern Copper Corp. |
|||||||||||
708,000 |
5.25%, due 11/08/42 |
653,307 |
|||||||||
Vale Overseas Ltd. |
|||||||||||
273,000 |
6.88%, due 11/21/36 |
297,960 |
|||||||||
258,000 |
6.88%, due 11/10/39 |
282,985 |
|||||||||
Vale S.A. |
|||||||||||
443,000 |
5.63%, due 09/11/42 |
426,853 |
|||||||||
4,400,321 |
|||||||||||
Multiline Retail — 0.9% |
|||||||||||
Target Corp. |
|||||||||||
540,000 |
3.88%, due 07/15/20 |
583,628 |
|||||||||
438,000 |
4.00%, due 07/01/42 |
433,750 |
|||||||||
1,017,378 |
|||||||||||
Multi-Utilities — 0.8% |
|||||||||||
Berkshire Hathaway Energy Co. |
|||||||||||
627,000 |
6.50%, due 09/15/37 |
821,824 |
|||||||||
Oil, Gas & Consumable Fuels — 9.6% |
|||||||||||
Anadarko Petroleum Corp. |
|||||||||||
122,000 |
6.45%, due 09/15/36 |
148,652 |
|||||||||
BP Capital Markets PLC |
|||||||||||
540,000 |
4.74%, due 03/11/21 |
600,780 |
|||||||||
339,000 |
3.25%, due 05/06/22 |
337,913 |
|||||||||
360,000 |
3.81%, due 02/10/24 |
369,835 |
|||||||||
ConocoPhillips |
|||||||||||
862,000 |
6.50%, due 02/01/39 |
1,146,560 |
|||||||||
Devon Energy Corp. |
|||||||||||
130,000 |
7.95%, due 04/15/32 |
179,599 |
|||||||||
Devon Financing Corp. LLC |
|||||||||||
100,000 |
7.88%, due 09/30/31 |
137,793 |
|||||||||
Ecopetrol S.A. |
|||||||||||
182,000 |
5.88%, due 09/18/23 |
198,380 |
|||||||||
Hess Corp. |
|||||||||||
100,000 |
5.60%, due 02/15/41 |
110,123 |
|||||||||
Newfield Exploration Co. |
|||||||||||
409,000 |
5.63%, due 07/01/24 |
432,518 |
|||||||||
Nexen Energy ULC |
|||||||||||
433,000 |
6.40%, due 05/15/37 |
541,481 |
|||||||||
Petrobras Global Finance B.V. |
|||||||||||
1,600,000 |
4.38%, due 05/20/23 |
1,477,696 |
|||||||||
631,000 |
5.63%, due 05/20/43 |
546,503 |
|||||||||
Petrobras International Finance Co. S.A. |
|||||||||||
752,000 |
6.75%, due 01/27/41 |
736,504 |
|||||||||
Phillips 66 |
|||||||||||
718,000 |
4.30%, due 04/01/22 |
767,081 |
|||||||||
Statoil ASA |
|||||||||||
356,000 |
3.70%, due 03/01/24 |
365,502 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Suncor Energy, Inc. |
|||||||||||
$ |
100,000 |
6.50%, due 06/15/38 |
$ |
128,526 |
|||||||
Total Capital International S.A. |
|||||||||||
427,000 |
2.88%, due 02/17/22 |
427,576 |
|||||||||
300,000 |
2.70%, due 01/25/23 |
294,199 |
|||||||||
103,000 |
3.70%, due 01/15/24 |
106,845 |
|||||||||
TransCanada PipeLines Ltd. |
|||||||||||
473,000 |
2.50%, due 08/01/22 |
455,375 |
|||||||||
482,000 |
6.20%, due 10/15/37 |
577,396 |
|||||||||
Valero Energy Corp. |
|||||||||||
218,000 |
6.63%, due 06/15/37 |
265,270 |
|||||||||
Williams Partners LP |
|||||||||||
102,000 |
6.30%, due 04/15/40 |
117,091 |
|||||||||
10,469,198 |
|||||||||||
Pharmaceuticals — 5.3% |
|||||||||||
AbbVie, Inc. |
|||||||||||
880,000 |
4.40%, due 11/06/42 |
874,562 |
|||||||||
AstraZeneca PLC |
|||||||||||
964,000 |
6.45%, due 09/15/37 |
1,276,841 |
|||||||||
GlaxoSmithKline Capital PLC |
|||||||||||
667,000 |
2.85%, due 05/08/22 |
668,825 |
|||||||||
GlaxoSmithKline Capital, Inc. |
|||||||||||
330,000 |
6.38%, due 05/15/38 |
430,886 |
|||||||||
Merck & Co., Inc. |
|||||||||||
416,000 |
4.15%, due 05/18/43 |
433,877 |
|||||||||
Novartis Capital Corp. |
|||||||||||
30,000 |
2.40%, due 09/21/22 |
29,612 |
|||||||||
353,000 |
4.40%, due 05/06/44 |
383,812 |
|||||||||
Pfizer, Inc. |
|||||||||||
489,000 |
3.00%, due 06/15/23 |
491,610 |
|||||||||
554,000 |
7.20%, due 03/15/39 |
800,144 |
|||||||||
Sanofi |
|||||||||||
358,000 |
4.00%, due 03/29/21 |
389,131 |
|||||||||
Teva Pharmaceutical
Finance Co. B.V. |
|||||||||||
41,000 |
2.95%, due 12/18/22 |
40,053 |
|||||||||
5,819,353 |
|||||||||||
Real Estate Investment Trusts (REITs) — 0.3% |
|||||||||||
American Tower Corp. |
|||||||||||
25,000 |
5.00%, due 02/15/24 |
26,642 |
|||||||||
Weyerhaeuser Co. |
|||||||||||
235,000 |
7.38%, due 03/15/32 |
311,855 |
|||||||||
338,497 |
|||||||||||
Semiconductors & Semiconductor
Equipment — 1.0% |
|||||||||||
Intel Corp. |
|||||||||||
647,000 |
3.30%, due 10/01/21 |
678,557 |
|||||||||
346,000 |
4.80%, due 10/01/41 |
376,055 |
|||||||||
1,054,612 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: INVESTMENT GRADE—INTEREST RATE HEDGED IGHG :: 23
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Software — 1.7% |
|||||||||||
Microsoft Corp. |
|||||||||||
$ |
434,000 |
5.30%, due 02/08/41 |
$ |
522,334 |
|||||||
Oracle Corp. |
|||||||||||
924,000 |
6.13%, due 07/08/39 |
1,175,320 |
|||||||||
182,000 |
5.38%, due 07/15/40 |
213,648 |
|||||||||
1,911,302 |
|||||||||||
Specialty Retail — 0.5% |
|||||||||||
Home Depot, Inc. (The) |
|||||||||||
385,000 |
5.88%, due 12/16/36 |
492,937 |
|||||||||
Technology Hardware, Storage &
Peripherals — 2.8% |
|||||||||||
Apple, Inc. |
|||||||||||
1,006,000 |
2.40%, due 05/03/23 |
980,896 |
|||||||||
126,000 |
3.45%, due 05/06/24 |
131,267 |
|||||||||
633,000 |
3.85%, due 05/04/43 |
615,519 |
|||||||||
Hewlett-Packard Co. |
|||||||||||
673,000 |
4.38%, due 09/15/21 |
711,012 |
|||||||||
625,000 |
4.65%, due 12/09/21 |
666,216 |
|||||||||
3,104,910 |
|||||||||||
Thrifts & Mortgage Finance — 0.2% |
|||||||||||
BPCE S.A. |
|||||||||||
250,000 |
4.00%, due 04/15/24 |
261,042 |
|||||||||
Tobacco — 1.3% |
|||||||||||
Altria Group, Inc. |
|||||||||||
683,000 |
4.75%, due 05/05/21 |
757,226 |
|||||||||
168,000 |
2.85%, due 08/09/22 |
163,305 |
|||||||||
Reynolds American, Inc. |
|||||||||||
518,000 |
4.75%, due 11/01/42 |
501,737 |
|||||||||
1,422,268 |
|||||||||||
Wireless Telecommunication Services — 1.2% |
|||||||||||
America Movil SAB de CV |
|||||||||||
462,000 |
4.38%, due 07/16/42 |
448,209 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Vodafone Group PLC |
|||||||||||
$ |
594,000 |
2.95%, due 02/19/23 |
$ |
573,995 |
|||||||
250,000 |
4.38%, due 02/19/43 |
239,673 |
|||||||||
1,261,877 |
|||||||||||
Total Corporate Bonds (Cost $103,168,297) |
105,784,429 |
||||||||||
Repurchase Agreements (a) — 1.4% |
|||||||||||
1,578,080 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,578,088 |
1,578,080 |
|||||||||
Total Repurchase Agreements
(Cost $1,578,080) |
1,578,080 |
||||||||||
Total Investment Securities (Cost $104,746,377) — 98.0% |
107,362,509 |
||||||||||
Other assets less liabilities — 2.0% |
2,162,209 |
||||||||||
Net Assets — 100.0% |
$ |
109,524,718 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,935,527 |
|||||
Aggregate gross unrealized depreciation |
(320,603 |
) |
|||||
Net unrealized appreciation |
$ |
2,614,924 |
|||||
Federal income tax cost of investments |
$ |
104,747,585 |
Futures Contracts Sold
Investment Grade-Interest Rate Hedged had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
368 |
03/20/15 |
$ |
46,753,250 |
$ |
(118,431 |
) |
||||||||||||
U.S. Long Bond Futures Contracts |
279 |
03/20/15 |
39,792,375 |
(183,515 |
) |
||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures Contracts |
120 |
03/20/15 |
19,297,500 |
(116,431 |
) |
||||||||||||||
$ |
(418,377 |
) |
Cash collateral in the amount of $1,440,615 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
24 :: IGHG INVESTMENT GRADE—INTEREST RATE HEDGED :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Corporate Bonds — 98.5% |
|||||||||||
Banks — 85.3% |
|||||||||||
Australia & New Zealand
Banking Group Ltd. |
|||||||||||
$ |
250,000 |
2.40%, due 11/23/16 (a) |
$ |
257,349 |
|||||||
Bank of Montreal |
|||||||||||
250,000 |
1.95%, due 01/30/17 (a) |
255,195 |
|||||||||
Bank of Nova Scotia (The) |
|||||||||||
250,000 |
2.15%, due 08/03/16 (a) |
255,794 |
|||||||||
265,000 |
1.95%, due 01/30/17 (a) |
270,530 |
|||||||||
Barclays Bank PLC |
|||||||||||
295,000 |
2.25%, due 05/10/17 (a) |
303,476 |
|||||||||
Commonwealth Bank of Australia |
|||||||||||
300,000 |
1.88%, due 12/11/18 (a) |
300,851 |
|||||||||
Credit Mutuel - CIC Home Loan SFH |
|||||||||||
200,000 |
1.50%, due 11/16/17 (a) |
201,419 |
|||||||||
DNB Boligkreditt AS |
|||||||||||
270,000 |
1.45%, due 03/21/18 (a) |
269,847 |
|||||||||
National Australia Bank Ltd. |
|||||||||||
295,000 |
2.00%, due 02/22/19 (a) |
297,477 |
|||||||||
National Bank of Canada |
|||||||||||
250,000 |
2.20%, due 10/19/16 (a) |
256,600 |
|||||||||
Royal Bank of Canada |
|||||||||||
200,000 |
1.20%, due 09/19/17 |
199,605 |
|||||||||
330,000 |
2.00%, due 10/01/18 |
336,082 |
|||||||||
200,000 |
2.20%, due 09/23/19 |
202,266 |
|||||||||
Skandinaviska Enskilda Banken AB |
|||||||||||
200,000 |
1.38%, due 05/29/18 (a) |
199,345 |
|||||||||
SpareBank 1 Boligkreditt AS |
|||||||||||
320,000 |
1.25%, due 05/02/18 (a) |
316,798 |
|||||||||
Stadshypotek AB |
|||||||||||
320,000 |
1.25%, due 05/23/18 (a) |
316,733 |
|||||||||
Swedbank Hypotek AB |
|||||||||||
230,000 |
2.38%, due 04/05/17 (a) |
237,253 |
|||||||||
Toronto-Dominion Bank (The) |
|||||||||||
310,000 |
1.63%, due 09/14/16 (a) |
314,661 |
|||||||||
200,000 |
2.25%, due 09/25/19 (a) |
203,002 |
|||||||||
Westpac Banking Corp. |
|||||||||||
200,000 |
2.45%, due 11/28/16 (a) |
206,046 |
|||||||||
200,000 |
1.38%, due 05/30/18 (a) |
199,277 |
|||||||||
240,000 |
1.85%, due 11/26/18 (a) |
241,240 |
|||||||||
5,640,846 |
|||||||||||
Capital Markets — 7.7% |
|||||||||||
ING Bank N.V. |
|||||||||||
300,000 |
2.63%, due 12/05/22 (a) |
301,469 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
UBS AG |
|||||||||||
$ |
200,000 |
2.25%, due 03/30/17 (a) |
$ |
205,531 |
|||||||
507,000 |
|||||||||||
Diversified Financial Services — 3.8% |
|||||||||||
Caisse Centrale Desjardins |
|||||||||||
250,000 |
1.60%, due 03/06/17 (a) |
253,271 |
|||||||||
Thrifts & Mortgage Finance — 1.7% |
|||||||||||
NRAM Covered Bond LLP |
|||||||||||
100,000 |
5.63%, due 06/22/17 (a) |
110,354 |
|||||||||
Total Corporate
Bonds (Cost $6,475,993) |
6,511,471 |
||||||||||
Repurchase Agreements (b) — 1.5% |
|||||||||||
100,453 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $100,453 |
100,453 |
|||||||||
Total Repurchase Agreements (Cost $100,453) |
100,453 |
||||||||||
Total Investment
Securities (Cost $6,576,446) — 100.0% |
6,611,924 |
||||||||||
Liabilities in excess of other assets — 0.0% |
(1,168 |
) |
|||||||||
Net Assets — 100.0% |
$ |
6,610,756 |
(a) Security is not registered for public sale, but may be sold to qualified institutional buyers under Rule 144A under the Securities Act of 1933. Unless otherwise noted, these securities are deemed to be liquid.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
37,559 |
|||||
Aggregate gross unrealized depreciation |
(2,081 |
) |
|||||
Net unrealized appreciation |
$ |
35,478 |
|||||
Federal income tax cost of investments |
$ |
6,576,446 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: USD COVERED BOND COBO :: 25
USD Covered Bond invested, as a percentage of net assets, in the following countries as of November 30, 2014:
Canada |
38.5 |
% |
|||||
Australia |
22.7 |
% |
|||||
Sweden |
11.4 |
% |
|||||
Norway |
8.9 |
% |
|||||
United Kingdom |
6.3 |
% |
|||||
Netherlands |
4.6 |
% |
|||||
Switzerland |
3.1 |
% |
|||||
France |
3.0 |
% |
|||||
Other1 |
1.5 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
26 :: COBO USD COVERED BOND :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations — 87.3% |
|||||||||||
Germany — 87.3% |
|||||||||||
Bund Laender Anleihe |
|||||||||||
EUR |
194,000 |
1.50%, due 07/15/20 |
$ |
257,203 |
|||||||
Bundesrepublik Deutschland |
|||||||||||
215,000 |
4.00%, due 07/04/16 |
285,123 |
|||||||||
189,000 |
3.75%, due 01/04/19 |
271,614 |
|||||||||
194,000 |
3.50%, due 07/04/19 |
280,066 |
|||||||||
213,000 |
1.75%, due 07/04/22 |
292,804 |
|||||||||
161,000 |
4.00%, due 01/04/37 |
296,375 |
|||||||||
Free State of Bavaria |
|||||||||||
74,000 |
4.13%, due 01/16/17 |
100,255 |
|||||||||
Gemeinsame Deutsche Bundeslaender |
|||||||||||
89,000 |
1.38%, due 10/11/19 |
116,708 |
|||||||||
104,000 |
1.75%, due 06/13/22 |
140,388 |
|||||||||
KFW |
|||||||||||
219,000 |
1.13%, due 10/16/18 |
283,856 |
|||||||||
190,000 |
3.88%, due 01/21/19 |
273,535 |
|||||||||
220,000 |
0.88%, due 03/18/19 |
282,935 |
|||||||||
206,000 |
1.63%, due 01/15/21 |
276,944 |
|||||||||
195,000 |
3.38%, due 01/18/21 |
287,875 |
|||||||||
State of Baden-Wurttemberg |
|||||||||||
100,000 |
1.00%, due 07/18/22 |
128,686 |
|||||||||
113,000 |
2.00%, due 11/13/23 |
156,080 |
|||||||||
State of Berlin |
|||||||||||
90,000 |
1.88%, due 06/12/23 |
122,521 |
|||||||||
97,000 |
1.63%, due 06/03/24 |
129,312 |
|||||||||
State of Brandenburg |
|||||||||||
63,000 |
1.50%, due 02/12/20 |
83,154 |
|||||||||
60,000 |
3.50%, due 06/15/21 |
89,067 |
|||||||||
State of Hesse |
|||||||||||
93,000 |
1.75%, due 01/20/23 |
125,787 |
|||||||||
97,000 |
1.38%, due 06/10/24 |
126,871 |
|||||||||
State of Lower Saxony |
|||||||||||
92,000 |
3.50%, due 02/22/16 |
119,549 |
|||||||||
93,000 |
2.13%, due 01/16/24 |
129,229 |
|||||||||
State of North Rhine-Westphalia |
|||||||||||
98,000 |
0.88%, due 12/04/17 |
124,912 |
|||||||||
122,000 |
1.88%, due 09/15/22 |
165,865 |
|||||||||
State of Rhineland-Palatinate |
|||||||||||
63,000 |
2.88%, due 03/03/17 |
83,460 |
|||||||||
69,000 |
1.25%, due 01/16/20 |
90,019 |
|||||||||
State of Saxony-Anhalt |
|||||||||||
63,000 |
1.63%, due 04/25/23 |
84,269 |
|||||||||
60,000 |
1.88%, due 04/10/24 |
81,669 |
|||||||||
5,286,131 |
|||||||||||
Total Sovereign Government
& Agency Obligations (Cost $5,459,821) |
5,286,131 |
Principal Amount |
Value |
||||||||||
Corporate Bonds — 10.3% |
|||||||||||
Banks — 10.3% |
|||||||||||
Landeskreditbank
Baden- Wuerttemberg Foerderbank |
|||||||||||
EUR |
89,000 |
3.50%, due 07/04/16 |
$ |
117,046 |
|||||||
60,000 |
1.00%, due 11/19/18 |
77,118 |
|||||||||
Landwirtschaftliche Rentenbank |
|||||||||||
74,000 |
2.88%, due 08/30/21 |
107,175 |
|||||||||
78,000 |
1.25%, due 05/20/22 |
102,401 |
|||||||||
NRW Bank |
|||||||||||
81,000 |
0.63%, due 08/01/16 |
101,890 |
|||||||||
81,000 |
3.88%, due 01/27/20 |
118,944 |
|||||||||
624,574 |
|||||||||||
Total Corporate
Bonds (Cost $691,979) |
624,574 |
||||||||||
Repurchase Agreements (a) — 1.0% |
|||||||||||
$ |
60,861 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $60,861 |
60,861 |
||||||||
Total Repurchase Agreements (Cost $60,861) |
60,861 |
||||||||||
Total Investment
Securities (Cost $6,212,661) — 98.6% |
5,971,566 |
||||||||||
Other assets less liabilities — 1.4% |
85,533 |
||||||||||
Net Assets — 100.0% |
$ |
6,057,099 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
EUR Euro
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
9,859 |
|||||
Aggregate gross unrealized depreciation |
(250,954 |
) |
|||||
Net unrealized depreciation |
$ |
(241,095 |
) |
||||
Federal income tax cost of investments |
$ |
6,212,661 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: GERMAN SOVEREIGN/SUB-SOVEREIGN ETF GGOV :: 27
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations — 58.7% |
|||||||||||
Brazil — 4.2% |
|||||||||||
Banco Nacional de
Desenvolvimento Economico e Social |
|||||||||||
$ |
100,000 |
6.37%, due 06/16/18 |
$ |
108,602 |
|||||||
100,000 |
6.50%, due 06/10/19 |
109,750 |
|||||||||
Brazilian Government International Bond |
|||||||||||
102,000 |
6.00%, due 01/17/17 |
111,333 |
|||||||||
329,685 |
|||||||||||
Colombia — 7.0% |
|||||||||||
Colombia Government International Bond |
|||||||||||
129,000 |
8.25%, due 12/22/14 |
129,494 |
|||||||||
375,000 |
7.38%, due 01/27/17 |
421,875 |
|||||||||
551,369 |
|||||||||||
Hungary — 4.3% |
|||||||||||
Hungary Government
International Bond |
|||||||||||
100,000 |
4.75%, due 02/03/15 |
100,650 |
|||||||||
230,000 |
4.13%, due 02/19/18 |
239,200 |
|||||||||
339,850 |
|||||||||||
Indonesia — 6.6% |
|||||||||||
Indonesia Government International Bond |
|||||||||||
162,000 |
6.88%, due 01/17/18 |
183,465 |
|||||||||
Perusahaan Penerbit SBSN Indonesia III |
|||||||||||
300,000 |
6.13%, due 03/15/19 |
336,000 |
|||||||||
519,465 |
|||||||||||
Latvia — 2.8% |
|||||||||||
Republic of Latvia |
|||||||||||
201,000 |
5.25%, due 02/22/17 |
217,546 |
|||||||||
Lithuania — 1.5% |
|||||||||||
Lithuania Government
International Bond |
|||||||||||
105,000 |
5.13%, due 09/14/17 |
115,133 |
|||||||||
Mexico — 1.9% |
|||||||||||
Mexico Government International Bond |
|||||||||||
140,000 |
5.63%, due 01/15/17 |
152,740 |
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations (continued) |
|||||||||||
Peru — 1.5% |
|||||||||||
Peruvian Government
International Bond |
|||||||||||
$ |
100,000 |
7.13%, due 03/30/19 |
$ |
120,500 |
|||||||
Philippines — 2.4% |
|||||||||||
Philippine Government International Bond |
|||||||||||
150,000 |
8.38%, due 06/17/19 |
190,125 |
|||||||||
Poland — 2.3% |
|||||||||||
Poland Government
International Bond |
|||||||||||
60,000 |
3.88%, due 07/16/15 |
61,260 |
|||||||||
100,000 |
6.38%, due 07/15/19 |
118,250 |
|||||||||
179,510 |
|||||||||||
Qatar — 4.6% |
|||||||||||
Qatar Government International Bond |
|||||||||||
130,000 |
6.55%, due 04/09/19 |
155,025 |
|||||||||
SoQ Sukuk A Q.S.C |
|||||||||||
201,000 |
2.10%, due 01/18/18 |
204,015 |
|||||||||
359,040 |
|||||||||||
Russia — 3.2% |
|||||||||||
Russian Foreign Bond - Eurobond |
|||||||||||
50,000 |
11.00%, due 07/24/18 |
60,853 |
|||||||||
200,000 |
3.50%, due 01/16/19 |
192,000 |
|||||||||
252,853 |
|||||||||||
South Africa — 1.5% |
|||||||||||
South Africa Government
International Bond |
|||||||||||
100,000 |
6.88%, due 05/27/19 |
115,195 |
|||||||||
Sri Lanka — 2.6% |
|||||||||||
Sri Lanka Government International Bond |
|||||||||||
200,000 |
5.13%, due 04/11/19 |
205,500 |
|||||||||
Turkey — 4.2% |
|||||||||||
Export Credit Bank of Turkey |
|||||||||||
201,000 |
5.38%, due 11/04/16 |
212,055 |
|||||||||
Turkey Government
International Bond |
|||||||||||
102,000 |
6.75%, due 04/03/18 |
114,811 |
|||||||||
326,866 |
See accompanying notes to the financial statements.
28 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Sovereign Government &
Agency Obligations (continued) |
|||||||||||
Ukraine — 5.4% |
|||||||||||
Ukraine Government
International Bond |
|||||||||||
$ |
200,000 |
6.88%, due 09/23/15 |
$ |
168,040 |
|||||||
200,000 |
6.25%, due 06/17/16 |
158,040 |
|||||||||
130,000 |
6.75%, due 11/14/17 |
100,451 |
|||||||||
426,531 |
|||||||||||
Venezuela — 2.7% |
|||||||||||
Venezuela Government
International Bond |
|||||||||||
155,000 |
5.75%, due 02/26/16 |
124,000 |
|||||||||
150,000 |
7.00%, due 12/01/18 |
86,325 |
|||||||||
210,325 |
|||||||||||
Total Sovereign Government
& Agency Obligations (Cost $4,673,557) |
4,612,233 |
||||||||||
Corporate Bonds — 38.2% |
|||||||||||
Banks — 12.3% |
|||||||||||
Bank of Ceylon |
|||||||||||
201,000 |
6.88%, due 05/03/17 |
213,060 |
|||||||||
Oschadbank Via SSB #1 PLC |
|||||||||||
200,000 |
8.88%, due 03/20/18 |
142,040 |
|||||||||
QNB Finance Ltd. |
|||||||||||
200,000 |
3.38%, due 02/22/17 |
207,018 |
|||||||||
Sberbank of Russia Via SB Capital S.A. |
|||||||||||
195,000 |
4.95%, due 02/07/17 |
193,483 |
|||||||||
Turkiye Halk Bankasi AS |
|||||||||||
200,000 |
4.88%, due 07/19/17 |
207,880 |
|||||||||
963,481 |
|||||||||||
Diversified Financial Services — 4.3% |
|||||||||||
Gazprom OAO Via Gaz Capital S.A. |
|||||||||||
336,000 |
6.21%, due 11/22/16 |
341,040 |
|||||||||
Electric Utilities — 6.3% |
|||||||||||
Hrvatska Elektroprivreda |
|||||||||||
250,000 |
6.00%, due 11/09/17 |
262,438 |
|||||||||
Majapahit Holding B.V. |
|||||||||||
105,000 |
7.25%, due 06/28/17 |
116,812 |
|||||||||
100,000 |
8.00%, due 08/07/19 |
118,125 |
|||||||||
497,375 |
|||||||||||
Electrical Equipment — 2.8% |
|||||||||||
Power Sector Assets & Liabilities
Management Corp. |
|||||||||||
202,000 |
6.88%, due 11/02/16 |
221,442 |
Principal Amount |
Value |
||||||||||
Corporate Bonds (continued) |
|||||||||||
Multi-Utilities — 1.5% |
|||||||||||
Empresas Publicas de Medellin ESP |
|||||||||||
$ |
100,000 |
7.63%, due 07/29/19 |
$ |
119,200 |
|||||||
Oil, Gas & Consumable Fuels — 8.3% |
|||||||||||
Petrobras Global Finance B.V. |
|||||||||||
72,000 |
2.00%, due 05/20/16 |
70,619 |
|||||||||
Petrobras International Finance Co. S.A. |
|||||||||||
93,000 |
3.50%, due 02/06/17 |
92,334 |
|||||||||
84,000 |
5.88%, due 03/01/18 |
87,349 |
|||||||||
Petroleos de Venezuela S.A. |
|||||||||||
50,000 |
5.00%, due 10/28/15 |
42,450 |
|||||||||
30,000 |
5.13%, due 10/28/16 |
21,000 |
|||||||||
70,000 |
5.25%, due 04/12/17 |
43,155 |
|||||||||
Petroleos Mexicanos |
|||||||||||
204,000 |
5.75%, due 03/01/18 |
224,400 |
|||||||||
60,000 |
8.00%, due 05/03/19 |
71,832 |
|||||||||
653,139 |
|||||||||||
Road & Rail — 2.7% |
|||||||||||
Transnet SOC Ltd. |
|||||||||||
201,000 |
4.50%, due 02/10/16 |
207,605 |
|||||||||
Total Corporate Bonds (Cost $3,037,817) |
3,003,282 |
||||||||||
Repurchase Agreements (a) — 1.8% |
|||||||||||
144,801 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $144,801 |
144,801 |
|||||||||
Total Repurchase Agreements
(Cost $144,801) |
144,801 |
||||||||||
Total Investment Securities (Cost $7,856,175) — 98.7% |
7,760,316 |
||||||||||
Other assets less liabilities — 1.3% |
102,873 |
||||||||||
Net Assets — 100.0% |
$ |
7,863,189 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
63,395 |
|||||
Aggregate gross unrealized depreciation |
(174,902 |
) |
|||||
Net unrealized depreciation |
$ |
(111,507 |
) |
||||
Federal income tax cost of investments |
$ |
7,871,823 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT TERM USD EMERGING MARKETS BOND ETF EMSH :: 29
Short Term USD Emerging Markets Bond ETF invested, as a percentage of net assets, in the following countries as of November 30, 2014:
Colombia |
8.5 |
% |
|||||
Turkey |
6.9 |
% |
|||||
Luxembourg |
6.8 |
% |
|||||
Indonesia |
6.6 |
% |
|||||
Mexico |
5.7 |
% |
|||||
Ukraine |
5.4 |
% |
|||||
Sri Lanka |
5.3 |
% |
|||||
Philippines |
5.2 |
% |
|||||
Cayman Islands |
4.9 |
% |
|||||
Qatar |
4.6 |
% |
|||||
Hungary |
4.3 |
% |
|||||
Brazil |
4.2 |
% |
|||||
South Africa |
4.2 |
% |
|||||
Venezuela |
4.0 |
% |
|||||
Netherlands |
3.9 |
% |
|||||
Croatia |
3.3 |
% |
|||||
Russia |
3.2 |
% |
|||||
Latvia |
2.8 |
% |
|||||
Poland |
2.3 |
% |
|||||
United Kingdom |
1.8 |
% |
|||||
Lithuania |
1.5 |
% |
|||||
Peru |
1.5 |
% |
|||||
Other1 |
3.1 |
% |
|||||
100.0 |
% |
1 Includes any non fixed-income securities and net other assets (liabilities).
See accompanying notes to the financial statements.
30 :: EMSH SHORT TERM USD EMERGING MARKETS BOND ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks — 19.3% |
|||||||||||||||
144 |
3M Co. (Industrials) |
0.1 |
% |
$ |
23,053 |
||||||||||
355 |
AbbVie, Inc. (Health Care) |
0.1 |
% |
24,566 |
|||||||||||
442 |
Altria Group, Inc. (Consumer Staples) |
0.1 |
% |
22,215 |
|||||||||||
84 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.1 |
% |
28,446 |
|||||||||||
201 |
American Express Co. (Financials) |
0.0 |
% |
18,576 |
|||||||||||
169 |
Amgen, Inc. (Health Care) |
0.1 |
% |
27,937 |
|||||||||||
1,334 |
Apple, Inc. (Information Technology) |
0.5 |
% |
158,653 |
|||||||||||
1,155 |
AT&T, Inc.
(Telecommunication Services) |
0.1 |
% |
40,864 |
|||||||||||
2,343 |
Bank of America Corp. (Financials) |
0.1 |
% |
39,925 |
|||||||||||
406 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
0.2 |
% |
60,368 |
|||||||||||
149 |
Boeing Co. (The) (Industrials) |
0.0 |
% |
20,020 |
|||||||||||
369 |
Bristol-Myers Squibb Co.
(Health Care) |
0.1 |
% |
21,789 |
|||||||||||
178 |
Celgene Corp.* (Health Care) |
0.0 |
% |
20,237 |
|||||||||||
423 |
Chevron Corp. (Energy) |
0.1 |
% |
46,052 |
|||||||||||
1,136 |
Cisco Systems, Inc. (Information Technology) |
0.1 |
% |
31,399 |
|||||||||||
675 |
Citigroup, Inc. (Financials) |
0.1 |
% |
36,430 |
|||||||||||
879 |
Coca-Cola Co. (The) (Consumer Staples) |
0.1 |
% |
39,406 |
|||||||||||
577 |
Comcast Corp., Class A
(Consumer Discretionary) |
0.1 |
% |
32,912 |
|||||||||||
258 |
CVS Health Corp. (Consumer Staples) |
0.1 |
% |
23,571 |
|||||||||||
950 |
Exxon Mobil Corp. (Energy) |
0.2 |
% |
86,013 |
|||||||||||
464 |
Facebook, Inc., Class A* (Information Technology) |
0.1 |
% |
36,053 |
|||||||||||
2,235 |
General Electric Co.
(Industrials) |
0.1 |
% |
59,205 |
|||||||||||
337 |
Gilead Sciences, Inc.* (Health Care) |
0.1 |
% |
33,808 |
|||||||||||
63 |
Google, Inc., Class A*
(Information Technology) |
0.1 |
% |
34,592 |
|||||||||||
63 |
Google, Inc., Class C* (Information Technology) |
0.1 |
% |
34,135 |
|||||||||||
300 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.1 |
% |
29,820 |
|||||||||||
1,103 |
Intel Corp. (Information Technology) |
0.1 |
% |
41,087 |
|||||||||||
207 |
International Business
Machines Corp. (Information Technology) |
0.1 |
% |
33,569 |
|||||||||||
628 |
Johnson & Johnson (Health Care) |
0.2 |
% |
67,981 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
838 |
JPMorgan Chase & Co. (Financials) |
0.1 |
% |
$ |
50,414 |
||||||||||
219 |
MasterCard, Inc., Class A
(Information Technology) |
0.0 |
% |
19,117 |
|||||||||||
219 |
McDonald's Corp. (Consumer Discretionary) |
0.1 |
% |
21,201 |
|||||||||||
643 |
Merck & Co., Inc.
(Health Care) |
0.1 |
% |
38,837 |
|||||||||||
1,836 |
Microsoft Corp. (Information Technology) |
0.3 |
% |
87,779 |
|||||||||||
724 |
Oracle Corp.
(Information Technology) |
0.1 |
% |
30,705 |
|||||||||||
336 |
PepsiCo, Inc. (Consumer Staples) |
0.1 |
% |
33,634 |
|||||||||||
1,413 |
Pfizer, Inc. (Health Care) |
0.1 |
% |
44,015 |
|||||||||||
348 |
Philip Morris International, Inc. (Consumer Staples) |
0.1 |
% |
30,252 |
|||||||||||
603 |
Procter & Gamble Co.
(The) (Consumer Staples) |
0.1 |
% |
54,529 |
|||||||||||
373 |
QUALCOMM, Inc. (Information Technology) |
0.1 |
% |
27,192 |
|||||||||||
289 |
Schlumberger Ltd. (Energy) |
0.1 |
% |
24,840 |
|||||||||||
200 |
Union Pacific Corp. (Industrials) |
0.1 |
% |
23,354 |
|||||||||||
190 |
United Technologies Corp.
(Industrials) |
0.1 |
% |
20,915 |
|||||||||||
216 |
UnitedHealth Group, Inc. (Health Care) |
0.1 |
% |
21,304 |
|||||||||||
923 |
Verizon Communications,
Inc. (Telecommunication Services) |
0.1 |
% |
46,695 |
|||||||||||
110 |
Visa, Inc., Class A (Information Technology) |
0.1 |
% |
28,401 |
|||||||||||
352 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
0.1 |
% |
30,814 |
|||||||||||
352 |
Walt Disney Co. (The) (Consumer Discretionary) |
0.1 |
% |
32,563 |
|||||||||||
1,058 |
Wells Fargo & Co.
(Financials) |
0.1 |
% |
57,640 |
|||||||||||
169,916 |
Other Common Stocks |
13.9 |
% |
4,858,624 |
|||||||||||
Total Common Stocks
(Cost $5,821,537) |
6,755,507 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Security (a) — 61.3% |
|||||||||||||||
U.S. Treasury Bill |
|||||||||||||||
$ |
21,416,000 |
0.00%, due 02/05/15 |
21,415,714 |
||||||||||||
Total U.S. Government &
Agency Security (Cost $ 21,415,164) |
21,415,714 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: HEDGE REPLICATION ETF HDG :: 31
Principal Amount |
Value |
||||||||||||||
Repurchase Agreement (a) — 42.0% |
|||||||||||||||
$ |
14,700,374 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $14,700,455 |
$ |
14,700,374 |
|||||||||||
Total Repurchase Agreements
(Cost $14,700,374) |
14,700,374 |
||||||||||||||
Total Investment Securities (Cost $41,937,075) — 122.6% |
42,871,595 |
||||||||||||||
Liabilities in excess of
other assets — (22.6%) |
(7,899,853 |
) |
|||||||||||||
Net Assets — 100.0% |
$ |
34,971,742 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
970,438 |
|||||
Aggregate gross unrealized depreciation |
(59,721 |
) |
|||||
Net unrealized appreciation |
$ |
910,717 |
|||||
Federal income tax cost of investments |
$ |
41,960,878 |
Futures Contracts Sold
Hedge Replication ETF had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
Euro FX Currency Futures Contracts |
23 |
12/15/14 |
$ |
1,787,388 |
$ |
34,995 |
Cash collateral in the amount of $26,565 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
32 :: HDG HEDGE REPLICATION ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Hedge Replication ETF had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
206,509 |
11/06/15 |
Credit Suisse
International |
0.46 |
% |
S&P 500® Total
Return Index |
$ |
128,027 |
|||||||||||||||||||||||||||
287,762 |
11/06/15 |
Credit Suisse International |
(0.09 |
)% |
Russell 2000® Total Return Index |
195,452 |
|||||||||||||||||||||||||||||
297,385 |
01/06/16 |
Credit Suisse
International |
(0.09 |
)% |
iShares® MSCI
Emerging Markets ETF |
24,214 |
|||||||||||||||||||||||||||||
3,457,049 |
01/06/16 |
Credit Suisse International |
(0.14 |
)% |
iShares® MSCI EAFE ETF |
183,257 |
|||||||||||||||||||||||||||||
4,248,705 |
530,950 |
$ |
(525,354 |
) |
$ |
(5,596 |
) |
$ |
— |
||||||||||||||||||||||||||
231,196 |
01/06/16 |
Deutsche Bank AG |
0.32 |
% |
iShares® MSCI EAFE ETF |
73,712 |
|||||||||||||||||||||||||||||
318,699 |
11/06/15 |
Deutsche Bank AG |
(0.08 |
)% |
Russell 2000®
Total Return Index |
266,691 |
|||||||||||||||||||||||||||||
585,057 |
11/06/15 |
Deutsche Bank AG |
(0.43 |
)% |
iShares® MSCI Emerging Markets ETF |
142,262 |
|||||||||||||||||||||||||||||
1,134,952 |
482,665 |
— |
(482,665 |
) |
— |
||||||||||||||||||||||||||||||
16,856 |
01/06/16 |
Morgan Stanley & Co. International PLC |
(0.09 |
)% |
iShares® MSCI Emerging Markets ETF |
319 |
|||||||||||||||||||||||||||||
33,682 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.46 |
% |
S&P 500® Total
Return Index |
(16,123 |
) |
||||||||||||||||||||||||||||
50,538 |
(15,804 |
) |
— |
— |
(15,804 |
) |
|||||||||||||||||||||||||||||
16,727 |
01/06/16 |
Societe Generale |
0.16 |
% |
Russell 2000®
Total Return Index |
(7,058 |
) |
||||||||||||||||||||||||||||
170,303 |
01/06/16 |
Societe Generale |
0.56 |
% |
iShares® MSCI Emerging Markets ETF |
58,522 |
|||||||||||||||||||||||||||||
172,114 |
01/06/16 |
Societe Generale |
0.56 |
% |
iShares® MSCI EAFE ETF |
7,557 |
|||||||||||||||||||||||||||||
359,144 |
59,021 |
— |
(50,000 |
) |
9,021 |
||||||||||||||||||||||||||||||
22,070 |
01/06/16 |
UBS AG |
0.36 |
% |
iShares® MSCI EAFE ETF |
1,147 |
|||||||||||||||||||||||||||||
33,361 |
01/06/16 |
UBS AG |
0.26 |
% |
iShares® MSCI Emerging Markets ETF |
617 |
|||||||||||||||||||||||||||||
83,481 |
11/06/15 |
UBS AG |
0.01 |
% |
Russell 2000®
Total Return Index |
(56,340 |
) |
||||||||||||||||||||||||||||
138,912 |
(54,576 |
) |
— |
54,576 |
— |
||||||||||||||||||||||||||||||
$ |
5,932,251 |
$ |
1,002,256 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: HEDGE REPLICATION ETF HDG :: 33
Hedge Replication ETF invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
2.5 |
% |
|||||
Consumer Staples |
1.4 |
% |
|||||
Energy |
1.3 |
% |
|||||
Financials |
3.7 |
% |
|||||
Health Care |
2.8 |
% |
|||||
Industrials |
2.3 |
% |
|||||
Information Technology |
3.7 |
% |
|||||
Materials |
0.7 |
% |
|||||
Telecommunication Services |
0.3 |
% |
|||||
Utilities |
0.6 |
% |
|||||
Other1 |
80.7 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
34 :: HDG HEDGE REPLICATION ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks — 89.2% |
|||||||||||
Consumer Discretionary — 7.3% |
|||||||||||
767 |
DIRECTV* |
$ |
67,274 |
||||||||
843 |
Family Dollar Stores, Inc. |
66,639 |
|||||||||
789 |
Tim Hortons, Inc. |
65,763 |
|||||||||
199,676 |
|||||||||||
Consumer Staples — 7.5% |
|||||||||||
4,720 |
Chiquita Brands International, Inc.* |
68,251 |
|||||||||
1,069 |
Lorillard, Inc. |
67,497 |
|||||||||
1,223 |
Nutreco N.V. |
69,931 |
|||||||||
205,679 |
|||||||||||
Energy — 4.3% |
|||||||||||
950 |
Baker Hughes, Inc. |
54,150 |
|||||||||
776 |
Dresser-Rand Group, Inc.* |
62,941 |
|||||||||
117,091 |
|||||||||||
Financials — 14.0% |
|||||||||||
5,877 |
American Realty Capital
Healthcare Trust, Inc. (REIT) |
66,587 |
|||||||||
1,840 |
Aviv REIT, Inc. (REIT) |
62,008 |
|||||||||
4,638 |
Glimcher Realty Trust (REIT) |
63,819 |
|||||||||
867 |
Platinum Underwriters Holdings Ltd. |
64,305 |
|||||||||
924 |
Protective Life Corp. |
64,412 |
|||||||||
4,742 |
Susquehanna Bancshares, Inc. |
62,452 |
|||||||||
383,583 |
|||||||||||
Health Care — 19.2% |
|||||||||||
27,932 |
Advanced Computer Software
Group PLC |
60,864 |
|||||||||
300 |
Allergan, Inc. |
64,167 |
|||||||||
1,120 |
CareFusion Corp.* |
66,270 |
|||||||||
618 |
Covance, Inc.* |
63,419 |
|||||||||
742 |
Covidien PLC |
74,942 |
|||||||||
3,459 |
Prosensa Holding N.V.* |
68,384 |
|||||||||
2,130 |
Synergy Health PLC* |
67,207 |
|||||||||
2,223 |
Tornier N.V.* |
59,332 |
|||||||||
524,585 |
|||||||||||
Industrials — 8.8% |
|||||||||||
61,717 |
Golden Ocean Group Ltd. |
51,640 |
|||||||||
4,781 |
Sanitec OYJ* |
61,553 |
|||||||||
52,933 |
United Envirotech Ltd. |
65,753 |
|||||||||
1,466 |
Vacon OYJ |
61,979 |
|||||||||
240,925 |
|||||||||||
Information Technology — 21.1% |
|||||||||||
501 |
Concur Technologies, Inc.* |
64,534 |
|||||||||
1,842 |
Conversant, Inc.* |
64,507 |
Shares |
Value |
||||||||||
Common Stocks (continued) |
|||||||||||
2,411 |
Digital River, Inc.* |
$ |
61,215 |
||||||||
1,635 |
International Rectifier Corp.* |
65,204 |
|||||||||
4,213 |
REC Solar ASA* |
61,554 |
|||||||||
2,525 |
Sapient Corp.* |
62,367 |
|||||||||
2,694 |
TIBCO Software, Inc.* |
64,737 |
|||||||||
5,523 |
TriQuint Semiconductor, Inc.* |
134,596 |
|||||||||
578,714 |
|||||||||||
Materials — 2.3% |
|||||||||||
466 |
Sigma-Aldrich Corp. |
63,656 |
|||||||||
Utilities — 4.7% |
|||||||||||
1,155 |
Cleco Corp. |
62,058 |
|||||||||
2,404 |
Pepco Holdings, Inc. |
66,110 |
|||||||||
128,168 |
|||||||||||
Total Common
Stocks (Cost $2,377,578) |
2,442,077 |
||||||||||
Master Limited Partnership — 2.2% |
|||||||||||
Energy — 2.2% |
|||||||||||
1,848 |
Atlas Pipeline Partners LP |
60,688 |
|||||||||
Total Master Limited
Partnership (Cost $63,043) |
60,688 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a) — 23.3% |
|||||||||||
$ |
636,283 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $636,285 |
636,283 |
||||||||
Total Repurchase Agreements (Cost $636,283) |
636,283 |
||||||||||
Total Investment
Securities (Cost $3,076,904) — 114.7% |
3,139,048 |
||||||||||
Liabilities in excess of other assets — (14.7%) |
(403,019 |
) |
|||||||||
Net Assets — 100.0% |
$ |
2,736,029 |
* Non-income producing security.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: MERGER ETF MRGR :: 35
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
96,385 |
|||||
Aggregate gross unrealized depreciation |
(34,241 |
) |
|||||
Net unrealized appreciation |
$ |
62,144 |
|||||
Federal income tax cost of investments |
$ |
3,076,904 |
Forward Currency Contracts
Merger ETF had the following open forward currency contracts as of November 30, 2014:
Currency |
Counterparty |
Delivery Date |
Foreign Currency to Receive (Pay) |
U.S. Dollars
to Receive (Pay) |
Market Value |
Net Unrealized Appreciation/ (Depreciation)1 |
|||||||||||||||||||||
U.S. Dollar vs. Australian Dollar |
Goldman Sachs & Co. |
02/13/15 |
103,000 |
$ |
(89,650 |
) |
$ |
87,178 |
$ |
(2,472 |
) |
||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs & Co. |
02/13/15 |
42,000 |
(52,429 |
) |
52,252 |
(177 |
) |
|||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs & Co. |
02/13/15 |
51,000 |
(80,486 |
) |
79,621 |
(865 |
) |
|||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs & Co. |
02/13/15 |
334,000 |
(49,035 |
) |
47,488 |
(1,547 |
) |
|||||||||||||||||||
U.S. Dollar vs. Canadian Dollar |
Goldman Sachs & Co. |
02/13/15 |
(96,000 |
) |
85,212 |
83,806 |
1,406 |
||||||||||||||||||||
U.S. Dollar vs. Euro |
Goldman Sachs & Co. |
02/13/15 |
(181,000 |
) |
229,658 |
225,183 |
4,475 |
||||||||||||||||||||
U.S. Dollar vs. British Pound |
Goldman Sachs & Co. |
02/13/15 |
(158,000 |
) |
250,521 |
246,669 |
3,852 |
||||||||||||||||||||
U.S. Dollar vs. Norwegian Krone |
Goldman Sachs & Co. |
02/13/15 |
(1,397,000 |
) |
207,515 |
198,622 |
8,893 |
||||||||||||||||||||
U.S. Dollar vs. Swedish Krona |
Goldman Sachs & Co. |
02/13/15 |
(602,000 |
) |
81,740 |
80,750 |
990 |
||||||||||||||||||||
U.S. Dollar vs. Singapore Dollar |
Goldman Sachs & Co. |
02/13/15 |
(75,000 |
) |
57,730 |
57,485 |
245 |
||||||||||||||||||||
U.S. Dollar vs. Singapore Dollar |
Goldman Sachs & Co. |
02/13/15 |
(38,000 |
) |
29,085 |
29,125 |
(40 |
) |
|||||||||||||||||||
$ |
14,7602 |
1 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on forward currency contracts) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on forward currency contracts) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
2 The Net Amount of the Fund's uncollateralized exposure to the counterparty under these contracts is equal to the net unrealized appreciation of $14,760. Neither the Fund nor the counterparty has posted Financial Instruments or cash as collateral pursuant to these contracts.
See accompanying notes to the financial statements.
36 :: MRGR MERGER ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Merger ETF had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,202,976 |
) |
11/06/15 |
Societe Generale |
0.54 |
% |
S&P Merger
Arbitrage Index (short exposure to Acquirers) |
$ |
(316,213 |
) |
|||||||||||||||||||||||||
753,430 |
11/06/15 |
Societe Generale |
0.61 |
% |
S&P Merger Arbitrage Index (long exposure to Targets) |
10,238 |
|||||||||||||||||||||||||||||
$ |
(449,546 |
) |
$ |
(305,975 |
) |
$ |
— |
$ |
19,434 |
$ |
(286,541 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Merger ETF invested, as a percentage of net assets, in the following countries as of November 30, 2014:
United States |
61.1 |
% |
|||||
Netherlands |
7.2 |
% |
|||||
United Kingdom |
4.7 |
% |
|||||
Finland |
4.5 |
% |
|||||
Bermuda |
4.2 |
% |
|||||
Ireland |
2.7 |
% |
|||||
Canada |
2.4 |
% |
|||||
Singapore |
2.4 |
% |
|||||
Norway |
2.2 |
% |
|||||
Other1 |
8.6 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: MERGER ETF MRGR :: 37
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 96.8% |
|||||||||||||||
5,449 |
Allstate Corp. (The) (Financials) |
0.6 |
% |
$ |
371,349 |
||||||||||
4,786 |
AmerisourceBergen Corp.
(Health Care) |
0.7 |
% |
435,765 |
|||||||||||
35,821 |
Annaly Capital Management, Inc. (REIT) (Financials) |
0.6 |
% |
412,658 |
|||||||||||
10,016 |
Archer-Daniels-Midland Co.
(Consumer Staples) |
0.8 |
% |
527,643 |
|||||||||||
30,543 |
AT&T, Inc. (Telecommunication Services) |
1.7 |
% |
1,080,611 |
|||||||||||
57,987 |
Bank of America Corp.
(Financials) |
1.5 |
% |
988,098 |
|||||||||||
11,635 |
Best Buy Co., Inc. (Consumer Discretionary) |
0.7 |
% |
458,535 |
|||||||||||
4,297 |
Bunge Ltd. (Consumer Staples) |
0.6 |
% |
390,039 |
|||||||||||
5,494 |
Cardinal Health, Inc. (Health Care) |
0.7 |
% |
451,552 |
|||||||||||
12,109 |
CenturyLink, Inc.
(Telecommunication Services) |
0.8 |
% |
493,684 |
|||||||||||
8,859 |
Chevron Corp. (Energy) |
1.5 |
% |
964,479 |
|||||||||||
13,910 |
Citigroup, Inc. (Financials) |
1.2 |
% |
750,723 |
|||||||||||
9,889 |
ConocoPhillips (Energy) |
1.0 |
% |
653,366 |
|||||||||||
5,871 |
Eli Lilly & Co. (Health Care) |
0.6 |
% |
399,932 |
|||||||||||
4,992 |
Entergy Corp. (Utilities) |
0.7 |
% |
418,829 |
|||||||||||
15,229 |
Exelon Corp. (Utilities) |
0.9 |
% |
550,833 |
|||||||||||
7,576 |
Exxon Mobil Corp. (Energy) |
1.1 |
% |
685,931 |
|||||||||||
12,550 |
FirstEnergy Corp. (Utilities) |
0.7 |
% |
462,844 |
|||||||||||
23,814 |
Ford Motor Co. (Consumer Discretionary) |
0.6 |
% |
374,594 |
|||||||||||
61,208 |
Frontier Communications
Corp. (Telecommunication Services) |
0.7 |
% |
431,516 |
|||||||||||
27,878 |
General Electric Co. (Industrials) |
1.2 |
% |
738,488 |
|||||||||||
12,275 |
General Motors Co.
(Consumer Discretionary) |
0.6 |
% |
410,353 |
|||||||||||
2,055 |
Goldman Sachs Group, Inc. (The) (Financials) |
0.6 |
% |
387,183 |
|||||||||||
10,089 |
Hartford Financial Services
Group, Inc. (The) (Financials) |
0.6 |
% |
416,676 |
|||||||||||
7,935 |
HCA Holdings, Inc.* (Health Care) |
0.9 |
% |
552,990 |
|||||||||||
18,098 |
Hewlett-Packard Co.
(Information Technology) |
1.1 |
% |
706,908 |
|||||||||||
22,522 |
Intel Corp. (Information Technology) |
1.3 |
% |
838,945 |
|||||||||||
2,371 |
International Business
Machines Corp. (Information Technology) |
0.6 |
% |
384,505 |
|||||||||||
3,416 |
Johnson & Johnson (Health Care) |
0.6 |
% |
369,782 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
13,141 |
JPMorgan Chase & Co. (Financials) |
1.2 |
% |
$ |
790,563 |
||||||||||
10,667 |
Kroger Co. (The)
(Consumer Staples) |
1.0 |
% |
638,313 |
|||||||||||
13,954 |
Marathon Oil Corp. (Energy) |
0.6 |
% |
403,550 |
|||||||||||
2,014 |
McKesson Corp. (Health Care) |
0.7 |
% |
424,471 |
|||||||||||
6,899 |
Merck & Co., Inc. (Health Care) |
0.7 |
% |
416,700 |
|||||||||||
6,996 |
MetLife, Inc. (Financials) |
0.6 |
% |
389,048 |
|||||||||||
10,672 |
Microsoft Corp. (Information Technology) |
0.8 |
% |
510,228 |
|||||||||||
8,160 |
Murphy USA, Inc.*
(Consumer Discretionary) |
0.8 |
% |
519,955 |
|||||||||||
20,524 |
Pfizer, Inc. (Health Care) |
1.0 |
% |
639,323 |
|||||||||||
6,620 |
Phillips 66 (Energy) |
0.8 |
% |
483,392 |
|||||||||||
45,694 |
SUPERVALU, Inc.* (Consumer Staples) |
0.7 |
% |
427,696 |
|||||||||||
6,624 |
Target Corp. (Consumer
Discretionary) |
0.8 |
% |
490,176 |
|||||||||||
5,351 |
Tesoro Corp. (Energy) |
0.6 |
% |
409,994 |
|||||||||||
5,118 |
Travelers Cos., Inc. (The)
(Financials) |
0.8 |
% |
534,575 |
|||||||||||
4,969 |
UnitedHealth Group, Inc. (Health Care) |
0.8 |
% |
490,092 |
|||||||||||
11,230 |
Valero Energy Corp. (Energy) |
0.9 |
% |
545,890 |
|||||||||||
12,347 |
Verizon Communications, Inc. (Telecommunication Services) |
1.0 |
% |
624,635 |
|||||||||||
7,416 |
Wal-Mart Stores, Inc.
(Consumer Staples) |
1.0 |
% |
649,197 |
|||||||||||
4,572 |
WellPoint, Inc. (Health Care) |
0.9 |
% |
584,804 |
|||||||||||
13,047 |
Weyerhaeuser Co. (REIT)
(Financials) |
0.7 |
% |
460,690 |
|||||||||||
1,405,427 |
Other Common Stocks |
55.2 |
% |
35,255,173 |
|||||||||||
Total Common Stocks
(Cost $55,464,672) |
61,797,276 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) — 17.4% |
|||||||||||||||
$ |
11,141,576 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $11,141,637 |
11,141,576 |
||||||||||||
Total Repurchase Agreements (Cost $11,141,576) |
11,141,576 |
||||||||||||||
Total Investment Securities
(Cost $66,606,248) — 114.2% |
72,938,852 |
||||||||||||||
Liabilities in excess of other assets — (14.2)% |
(9,063,837 |
) |
|||||||||||||
Net Assets — 100.0% |
$ |
63,875,015 |
See accompanying notes to the financial statements.
38 :: RALS RAFI® LONG/SHORT :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $20,912,040.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
8,290,890 |
|||||
Aggregate gross unrealized depreciation |
(2,113,507 |
) |
|||||
Net unrealized appreciation |
$ |
6,177,383 |
|||||
Federal income tax cost of investments |
$ |
66,761,469 |
Swap Agreements1
RAFI® Long/Short had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(59,555,587 |
) |
11/06/15 |
Deutsche Bank AG |
(0.07 |
)% |
RAFI® US Equity
Long/Short Index (short portion) |
$ |
(4,741,724 |
) |
$ |
4,726,565 |
$ |
15,159 |
$ |
— |
|||||||||||||||||||
(4,368,637 |
) |
11/06/15 |
Societe Generale |
0.24 |
% |
RAFI® US Equity Long/Short Index (short portion) |
(4,794,647 |
) |
|||||||||||||||||||||||||||
1,983,576 |
11/06/15 |
Societe Generale |
0.26 |
% |
RAFI® US Equity
Long/Short Index (long portion) |
362,486 |
|||||||||||||||||||||||||||||
(2,385,061 |
) |
(4,432,161 |
) |
4,405,177 |
26,984 |
— |
|||||||||||||||||||||||||||||
$ |
(61,940,648 |
) |
$ |
(9,173,885 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
RAFI® Long/Short invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
11.9 |
% |
|||||
Consumer Staples |
9.3 |
% |
|||||
Energy |
9.8 |
% |
|||||
Financials |
19.8 |
% |
|||||
Health Care |
11.3 |
% |
|||||
Industrials |
9.6 |
% |
|||||
Information Technology |
11.4 |
% |
|||||
Materials |
3.5 |
% |
|||||
Telecommunication Services |
4.7 |
% |
|||||
Utilities |
5.5 |
% |
|||||
Other1 |
3.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: RAFI® LONG/SHORT RALS :: 39
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation — 84.5% |
|||||||||||
U.S. Treasury Inflation Index Bond |
|||||||||||
$ |
3,047,649 |
1.38%, due 02/15/44 |
$ |
3,397,771 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $3,134,485) |
3,397,771 |
||||||||||
Repurchase Agreements (a) — 17.2% |
|||||||||||
692,235 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $692,239 |
692,235 |
|||||||||
Total Repurchase
Agreements (Cost $692,235) |
692,235 |
||||||||||
Total Investment Securities (Cost $3,826,720) — 101.7% |
4,090,006 |
||||||||||
Liabilities in excess of
other assets — (1.7%) |
(67,576 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,022,430 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
263,286 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
263,286 |
|||||
Federal income tax cost of investments |
$ |
3,826,720 |
See accompanying notes to the financial statements.
40 :: RINF 30 YEAR TIPS/TSY SPREAD :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
30 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,635,128 |
) |
05/06/15 |
Citibank, N.A. |
0.19 |
% |
Credit Suisse 30-Year
Inflation Breakeven Index (duration- adjusted short exposure to U.S. Treasury bonds) |
$ |
(768,548 |
) |
|||||||||||||||||||||||||
280,110 |
05/06/15 |
Citibank, N.A. |
(0.10 |
)% |
Credit Suisse 30-Year Inflation Breakeven Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
75,657 |
|||||||||||||||||||||||||||||
(2,355,018 |
) |
(692,891 |
) |
$ |
— |
$ |
643,001 |
$ |
(49,890 |
) |
|||||||||||||||||||||||||
(2,646,250 |
) |
12/08/14 |
Societe Generale |
0.34 |
% |
Credit Suisse 30-Year Inflation Breakeven Index (duration- adjusted short exposure to U.S. Treasury bonds) |
(297,467 |
) |
|||||||||||||||||||||||||||
367,820 |
11/06/15 |
Societe Generale |
0.21 |
% |
Credit Suisse 30-Year
Inflation Breakeven Index (long exposure to 30-year Treasury Inflation-Protected Securities (TIPS) bond) |
4,789 |
|||||||||||||||||||||||||||||
(2,278,430 |
) |
(292,678 |
) |
— |
292,678 |
— |
|||||||||||||||||||||||||||||
$ |
(4,633,448 |
) |
$ |
(985,569 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: 30 YEAR TIPS/TSY SPREAD RINF :: 41
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation — 76.0% |
|||||||||||
U.S. Treasury Bond |
|||||||||||
$ |
2,753,000 |
3.63%, due 02/15/44 |
$ |
3,142,291 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $2,781,835) |
3,142,291 |
||||||||||
Repurchase Agreements (a) — 26.7% |
|||||||||||
1,103,559 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,103,566 |
1,103,559 |
|||||||||
Total Repurchase
Agreements (Cost $1,103,559) |
1,103,559 |
||||||||||
Total Investment Securities (Cost $3,885,394) — 102.7% |
4,245,850 |
||||||||||
Liabilities in excess of
other assets — (2.7%) |
(111,288 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,134,562 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
360,456 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
360,456 |
|||||
Federal income tax cost of investments |
$ |
3,885,394 |
See accompanying notes to the financial statements.
42 :: FINF SHORT 30 YEAR TIPS/TSY SPREAD :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short 30 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(3,295,955 |
) |
05/06/15 |
Citibank, N.A. |
0.29 |
% |
Credit Suisse
30-Year Inflation Breakeven Index (short exposure to 30-year Treasury Inflation- Protected Securities (TIPS) bond) |
$ |
(240,881 |
) |
|||||||||||||||||||||||||
270,871 |
05/06/15 |
Citibank, N.A. |
(0.09 |
)% |
Credit Suisse 30-Year Inflation Breakeven Index (duration- adjusted long exposure to U.S. Treasury bond) |
41,004 |
|||||||||||||||||||||||||||||
(3,025,084 |
) |
(199,877 |
) |
$ |
— |
$ |
68,502 |
$ |
(131,375 |
) |
|||||||||||||||||||||||||
(834,102 |
) |
12/08/14 |
Societe Generale |
0.34 |
% |
Credit Suisse 30-Year Inflation Breakeven Index (short exposure to 30-year Treasury Inflation- Protected Securities (TIPS) bond) |
(69,429 |
) |
|||||||||||||||||||||||||||
1,985,111 |
12/08/14 |
Societe Generale |
0.11 |
% |
Credit Suisse 30-Year
Inflation Breakeven Index (duration- adjusted long exposure to U.S. Treasury bond) |
69,236 |
|||||||||||||||||||||||||||||
1,151,009 |
(193 |
) |
— |
193 |
— |
||||||||||||||||||||||||||||||
$ |
(1,874,075 |
) |
$ |
(200,070 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT 30 YEAR TIPS/TSY SPREAD FINF :: 43
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation — 90.0% |
|||||||||||
U.S. Treasury Inflation Index Note |
|||||||||||
$ |
1,371,365 |
0.13%, due 07/15/24 |
$ |
1,337,295 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $1,352,310) |
1,337,295 |
||||||||||
Repurchase Agreements (a) — 21.1% |
|||||||||||
314,190 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $314,191 |
314,190 |
|||||||||
Total Repurchase
Agreements (Cost $314,190) |
314,190 |
||||||||||
Total Investment Securities (Cost $1,666,500) — 111.1% |
1,651,485 |
||||||||||
Liabilities in excess of
other assets — (11.1%) |
(165,612 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,485,873 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(15,015 |
) |
|||||
Net unrealized depreciation |
$ |
(15,015 |
) |
||||
Federal income tax cost of investments |
$ |
1,666,500 |
See accompanying notes to the financial statements.
44 :: UINF ULTRAPRO 10 YEAR TIPS/TSY SPREAD :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro 10 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(4,306,751 |
) |
05/06/15 |
Citibank, N.A. |
0.19 |
% |
Credit Suisse 10-Year
Inflation Breakeven Index (duration- adjusted short exposure to U.S. Treasury notes) |
$ |
(339,005 |
) |
|||||||||||||||||||||||||
527,687 |
05/06/15 |
Citibank, N.A. |
(0.10 |
)% |
Credit Suisse 10-Year Inflation Breakeven Index (long exposure to 10-year Treasury Inflation-Protected Securities (TIPS) |
41,604 |
|||||||||||||||||||||||||||||
(3,779,064 |
) |
(297,401 |
) |
$ |
— |
$ |
172,594 |
$ |
(124,807 |
) |
|||||||||||||||||||||||||
(763,352 |
) |
12/08/14 |
Societe Generale |
0.34 |
% |
Credit Suisse 10-Year Inflation Breakeven Index (duration- adjusted short exposure to U.S. Treasury notes) |
(64,301 |
) |
|||||||||||||||||||||||||||
2,591,289 |
12/08/14 |
Societe Generale |
0.21 |
% |
Credit Suisse 10-Year
Inflation Breakeven Index (long exposure to 10-year Treasury Inflation-Protected Securities (TIPS) |
12,313 |
|||||||||||||||||||||||||||||
1,827,937 |
(51,988 |
) |
— |
40,001 |
(11,987 |
) |
|||||||||||||||||||||||||||||
$ |
(1,951,127 |
) |
$ |
(349,389 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO 10 YEAR TIPS/TSY SPREAD UINF :: 45
Principal Amount |
Value |
||||||||||
Long-Term U.S. Treasury
Obligation (a) — 87.8% |
|||||||||||
U.S. Treasury Note |
|||||||||||
$ |
1,965,000 |
2.50%, due 05/15/24 |
$ |
2,020,879 |
|||||||
Total Long-Term U.S. Treasury Obligation (Cost $1,965,050) |
2,020,879 |
||||||||||
Repurchase Agreements (a)(b) — 12.0% |
|||||||||||
275,243 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $275,244 |
275,243 |
|||||||||
Total Repurchase
Agreements (Cost $275,243) |
275,243 |
||||||||||
Total Investment Securities (Cost $2,240,293) — 99.8% |
2,296,122 |
||||||||||
Other assets less liabilities — 0.2% |
5,151 |
||||||||||
Net Assets — 100.0% |
$ |
2,301,273 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $197,910.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
55,299 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
55,299 |
|||||
Federal income tax cost of investments |
$ |
2,240,823 |
See accompanying notes to the financial statements.
46 :: SINF ULTRAPRO SHORT 10 YEAR TIPS/TSY SPREAD :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraPro Short 10 Year TIPS/TSY Spread had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,846,025 |
) |
05/06/15 |
Citibank, N.A. |
0.29 |
% |
Credit Suisse 10-Year
Inflation Breakeven Index (short exposure to 10-year Treasury Inflation- Protected Securities (TIPS) bond) |
$ |
(58,921 |
) |
|||||||||||||||||||||||||
2,768,688 |
05/06/15 |
Citibank, N.A. |
(0.09 |
)% |
Credit Suisse 10-Year Inflation Breakeven Index (duration- adjusted long exposure to U.S. Treasury notes) |
223,900 |
|||||||||||||||||||||||||||||
922,663 |
164,979 |
$ |
(14,726 |
) |
$ |
— |
$ |
150,253 |
|||||||||||||||||||||||||||
(5,054,517 |
) |
12/08/14 |
Societe Generale |
0.34 |
% |
Credit Suisse 10-Year Inflation Breakeven Index (short exposure to 10-year Treasury Inflation- Protected Securities (TIPS) bond) |
(184,731 |
) |
|||||||||||||||||||||||||||
3,062,519 |
12/08/14 |
Societe Generale |
0.11 |
% |
Credit Suisse 10-Year
Inflation Breakeven Index (duration- adjusted long exposure to U.S. Treasury notes) |
50,152 |
|||||||||||||||||||||||||||||
(1,991,998 |
) |
(134,579 |
) |
82,463 |
1,000 |
(51,116 |
) |
||||||||||||||||||||||||||||
$ |
(1,069,335 |
) |
$ |
30,400 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT 10 YEAR TIPS/TSY SPREAD SINF :: 47
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 95.3% |
|||||||||||
$ |
5,846,788 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $5,846,821 |
$ |
5,846,788 |
|||||||
Total Repurchase
Agreements (Cost $5,846,788) |
5,846,788 |
||||||||||
Total Investment Securities (Cost $5,846,788) † — 95.3% |
5,846,788 |
||||||||||
Other assets less liabilities — 4.7% |
285,398 |
||||||||||
Net Assets — 100.0% |
$ |
6,132,186 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Credit Default Swap Agreements — Sell protection (a)
Underlying Instrument |
Fixed Deal Receive Rate |
Maturity Date |
Implied Credit Spread at November 30, 2014 (b) |
Notional Amount (c) |
Value |
Premiums Paid(Received) |
Unrealized Appreciation |
||||||||||||||||||||||||
CDX North American High
Yield Index; Version 2, Series 22 |
5.00 |
% |
06/20/19 |
3.09 |
% |
$ |
841,500 |
$ |
67,324 |
$ |
46,884 |
$ |
20,440 |
||||||||||||||||||
CDX North American High Yield Index;
Version 2, Series 23 |
5.00 |
% |
12/20/19 |
3.34 |
% |
4,750,000 |
357,699 |
247,305 |
110,394 |
||||||||||||||||||||||
$ |
425,023 |
$ |
294,189 |
$ |
130,834 |
(a) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a seller of credit protection would be required to pay a) the full notional value of the swap; or b) the difference between the notional value of the defaulted reference entity and the recovery price/rate for the defaulted reference entity.
(b) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(c) The notional amount represents the maximum potential payment the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement, for each security included in the CDX North American High Yield Index.
See accompanying notes to the financial statements.
48 :: TYTE CDS NORTH AMERICAN HY CREDIT ETF :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 97.5% |
|||||||||||
$ |
7,563,940 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $7,563,982 |
$ |
7,563,940 |
|||||||
Total Repurchase Agreements
(Cost $7,563,940) |
7,563,940 |
||||||||||
Total Investment Securities (Cost $7,563,940) † — 97.5% |
7,563,940 |
||||||||||
Other assets less liabilities — 2.5% |
192,883 |
||||||||||
Net Assets — 100.0% |
$ |
7,756,823 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Credit Default Swap Agreements — Buy protection (a)
Underlying Instrument |
Fixed Deal Pay Rate |
Maturity Date |
Implied Credit Spread at November 30, 2014 (b) |
Notional Amount (c) |
Value |
Premiums Paid(Received) |
Unrealized Depreciation |
||||||||||||||||||||||||
CDX North American High
Yield Index; Version 2, Series 22 |
5.00 |
% |
06/20/19 |
3.09 |
% |
$ |
999,900 |
$ |
(79,997 |
) |
$ |
(70,835 |
) |
$ |
(9,162 |
) |
|||||||||||||||
CDX North American High Yield Index;
Version 2, Series 23 |
5.00 |
% |
12/20/19 |
3.34 |
% |
6,110,000 |
(460,114 |
) |
(310,032 |
) |
(150,082 |
) |
|||||||||||||||||||
$ |
(540,111 |
) |
$ |
(380,867 |
) |
$ |
(159,244 |
) |
(a) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a buyer of credit protection would have the right to deliver a reference obligation and receive the par (or other agreed-upon) value of such obligation from the counterparty in the event of a default or other credit event (such as a credit downgrade).
(b) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(c) The notional amount represents the maximum potential amount the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap agreement, for each security included in the CDX North American High Yield Index.
Cash collateral in the amount of $816,891 was pledged to cover margin requirements for credit default swap contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: CDS SHORT NORTH AMERICAN HY CREDIT ETF WYDE :: 49
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 73.2% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
140,000,000 |
0.00%, due 12/04/14 |
$ |
139,999,654 |
|||||||
190,000,000 |
0.00%, due 12/11/14 |
189,998,267 |
|||||||||
193,000,000 |
0.00%, due 12/18/14 |
192,997,300 |
|||||||||
100,000,000 |
0.00%, due 01/08/15 |
99,995,778 |
|||||||||
90,000,000 |
0.00%, due 01/15/15 |
89,994,531 |
|||||||||
10,000,000 |
0.00%, due 04/30/15 |
9,997,920 |
|||||||||
100,000,000 |
0.00%, due 05/21/15 |
99,969,100 |
|||||||||
180,000,000 |
0.00%, due 09/17/15 |
179,854,920 |
|||||||||
40,000,000 |
0.00%, due 10/15/15 |
39,963,800 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,042,834,353) |
1,042,771,270 |
||||||||||
Repurchase Agreements (a)(b) — 41.3% |
|||||||||||
588,975,730 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $588,978,953 |
588,975,730 |
|||||||||
Total Repurchase Agreements
(Cost $588,975,730) |
588,975,730 |
||||||||||
Total Investment Securities (Cost $1,631,810,083) — 114.5% |
1,631,747,000 |
||||||||||
Liabilities in excess of
other assets — (14.5%) |
(207,227,948 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,424,519,052 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $346,696,614.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(63,083 |
) |
|||||
Net unrealized depreciation |
$ |
(63,083 |
) |
||||
Federal income tax cost of investments |
$ |
1,631,810,083 |
Futures Contracts Sold
Short S&P500® had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
421 |
12/19/14 |
$ |
43,510,350 |
$ |
(939,173 |
) |
Cash collateral in the amount of $2,130,260 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
50 :: SH SHORT S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short S&P500® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(333,928,545 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
S&P 500® Index |
$ |
(36,623,612 |
) |
$ |
36,623,612 |
$ |
— |
$ |
— |
|||||||||||||||||||
(136,894,537 |
) |
01/06/15 |
Citibank, N.A. |
(0.32 |
)% |
S&P 500® Index |
(37,228,686 |
) |
37,228,686 |
— |
— |
||||||||||||||||||||||||
(196,326,353 |
) |
11/06/15 |
Credit Suisse
International |
(0.31 |
)% |
S&P 500® Index |
(33,449,262 |
) |
33,449,262 |
— |
— |
||||||||||||||||||||||||
(36,769,799 |
) |
11/06/15 |
Deutsche Bank AG |
(0.17 |
)% |
S&P 500® Index |
(8,470,133 |
) |
|||||||||||||||||||||||||||
(2,145,968 |
) |
11/06/15 |
Deutsche Bank AG |
(0.05 |
)% |
SPDR® S&P
500® ETF Trust |
(410,692 |
) |
|||||||||||||||||||||||||||
(38,915,767 |
) |
(8,880,825 |
) |
8,880,825 |
— |
— |
|||||||||||||||||||||||||||||
(199,610,823 |
) |
01/06/15 |
Goldman
Sachs International |
(0.27 |
)% |
S&P 500® Index |
(8,723,811 |
) |
8,723,811 |
— |
— |
||||||||||||||||||||||||
(104,940,188 |
) |
01/06/16 |
Morgan Stanley & Co. International PLC |
(0.21 |
)% |
S&P 500® Index |
(3,819,063 |
) |
3,819,063 |
— |
— |
||||||||||||||||||||||||
(106,225,896 |
) |
11/06/15 |
Societe Generale |
(0.29 |
)% |
S&P 500® Index |
(44,496,643 |
) |
44,496,643 |
— |
— |
||||||||||||||||||||||||
(264,785,845 |
) |
01/06/15 |
UBS AG |
(0.31 |
)% |
S&P 500® Index |
(34,590,699 |
) |
34,590,699 |
— |
— |
||||||||||||||||||||||||
$ |
(1,381,627,954 |
) |
$ |
(207,812,601 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT S&P500® SH :: 51
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 63.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 12/11/14 |
$ |
49,999,785 |
|||||||
35,000,000 |
0.00%, due 01/15/15 |
34,998,425 |
|||||||||
15,000,000 |
0.00%, due 02/12/15 |
15,000,000 |
|||||||||
20,000,000 |
0.00%, due 10/15/15 |
19,981,900 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $119,980,748) |
119,980,110 |
||||||||||
Repurchase Agreements (a)(b) — 64.4% |
|||||||||||
122,445,685 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $122,446,356 |
122,445,685 |
|||||||||
Total Repurchase Agreements (Cost $122,445,685) |
122,445,685 |
||||||||||
Total Investment
Securities (Cost $242,426,433) — 127.4% |
242,425,795 |
||||||||||
Liabilities in excess of other assets — (27.4%) |
(52,208,943 |
) |
|||||||||
Net Assets — 100.0% |
$ |
190,216,852 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $75,661,842.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
502 |
|||||
Aggregate gross unrealized depreciation |
(1,140 |
) |
|||||
Net unrealized depreciation |
$ |
(638 |
) |
||||
Federal income tax cost of investments |
$ |
242,426,433 |
Futures Contracts Sold
Short QQQ® had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
39 |
12/19/14 |
$ |
3,383,835 |
$ |
(37,284 |
) |
Cash collateral in the amount of $154,440 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
52 :: PSQ SHORT QQQ® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short QQQ® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,670,105 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
NASDAQ-100 Index® |
$ |
(2,001,178 |
) |
$ |
2,001,178 |
$ |
— |
$ |
— |
|||||||||||||||||||
(3,322,482 |
) |
02/06/15 |
Citibank, N.A. |
(0.27 |
)% |
NASDAQ-100 Index® |
(827,853 |
) |
827,853 |
— |
— |
||||||||||||||||||||||||
(14,243,862 |
) |
11/06/15 |
Credit
Suisse International |
(0.26 |
)% |
NASDAQ-100 Index® |
(5,049,541 |
) |
5,049,541 |
— |
— |
||||||||||||||||||||||||
(4,624,349 |
) |
11/06/15 |
Deutsche Bank AG |
(0.27 |
)% |
NASDAQ-100 Index® |
(2,984,248 |
) |
2,984,248 |
— |
— |
||||||||||||||||||||||||
(11,516,043 |
) |
12/07/15 |
Goldman
Sachs International |
(0.32 |
)% |
NASDAQ-100 Index® |
(490,411 |
) |
490,411 |
— |
— |
||||||||||||||||||||||||
(2,321,524 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.16 |
)% |
NASDAQ-100 Index® |
(1,275,613 |
) |
|||||||||||||||||||||||||||
(1,642,989 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.04 |
% |
PowerShares
QQQ TrustSM, Series 1 |
(424,812 |
) |
|||||||||||||||||||||||||||
(3,964,513 |
) |
(1,700,425 |
) |
1,684,587 |
— |
(15,838 |
) |
||||||||||||||||||||||||||||
(31,127,656 |
) |
11/06/15 |
Societe Generale |
(0.31 |
)% |
NASDAQ-100 Index® |
(21,384,841 |
) |
21,313,383 |
— |
(71,458 |
) |
|||||||||||||||||||||||
(115,334,067 |
) |
01/06/15 |
UBS AG |
(0.26 |
)% |
NASDAQ-100 Index® |
(17,784,182 |
) |
17,784,182 |
— |
— |
||||||||||||||||||||||||
$ |
(186,803,077 |
) |
$ |
(52,222,679 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT QQQ® PSQ :: 53
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 80.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
22,000,000 |
0.00%, due 12/18/14 |
$ |
21,999,688 |
|||||||
5,000,000 |
0.00%, due 01/08/15 |
4,999,789 |
|||||||||
55,000,000 |
0.00%, due 01/15/15 |
54,999,312 |
|||||||||
30,000,000 |
0.00%, due 04/30/15 |
29,993,760 |
|||||||||
95,000,000 |
0.00%, due 10/15/15 |
94,914,025 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $206,912,198) |
206,906,574 |
||||||||||
Repurchase Agreements (a)(b) — 28.9% |
|||||||||||
74,037,693 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $74,038,098 |
74,037,693 |
|||||||||
Total Repurchase Agreements
(Cost $74,037,693) |
74,037,693 |
||||||||||
Total Investment Securities (Cost $280,949,891) — 109.7% |
280,944,267 |
||||||||||
Liabilities in excess of
other assets — (9.7%) |
(24,949,233 |
) |
|||||||||
Net Assets — 100.0% |
$ |
255,995,034 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $50,983,833.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(5,624 |
) |
|||||
Net unrealized depreciation |
$ |
(5,624 |
) |
||||
Federal income tax cost of investments |
$ |
280,949,891 |
Futures Contracts Sold
Short Dow30SM had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
133 |
12/19/14 |
$ |
11,848,305 |
$ |
(436,464 |
) |
Cash collateral in the amount of $570,570 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
54 :: DOG SHORT DOW30SM :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short Dow30SM had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,834,851 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
Dow Jones
Industrial AverageSM |
$ |
(1,089,512 |
) |
$ |
1,089,512 |
$ |
— |
$ |
— |
|||||||||||||||||||
(28,803,358 |
) |
02/06/15 |
Citibank, N.A. |
(0.27 |
)% |
Dow Jones Industrial AverageSM |
(2,836,314 |
) |
2,836,314 |
— |
— |
||||||||||||||||||||||||
(82,449,495 |
) |
11/06/15 |
Credit
Suisse International |
(0.26 |
)% |
Dow Jones
Industrial AverageSM |
(12,020,900 |
) |
12,020,900 |
— |
— |
||||||||||||||||||||||||
(1,602,509 |
) |
11/06/15 |
Deutsche Bank AG |
0.08 |
% |
Dow Jones Industrial AverageSM |
(503,239 |
) |
|||||||||||||||||||||||||||
(923,856 |
) |
11/06/15 |
Deutsche Bank AG |
0.13 |
% |
SPDR® Dow
Jones Industrial AverageSM ETF Trust |
(370,425 |
) |
|||||||||||||||||||||||||||
(2,526,365 |
) |
(873,664 |
) |
873,664 |
— |
— |
|||||||||||||||||||||||||||||
(20,151,741 |
) |
12/07/15 |
Goldman
Sachs International |
(0.42 |
)% |
Dow Jones
Industrial AverageSM |
(354,787 |
) |
354,787 |
— |
— |
||||||||||||||||||||||||
(82,334,342 |
) |
11/06/15 |
Societe Generale |
(0.34 |
)% |
Dow Jones Industrial AverageSM |
(10,761,738 |
) |
10,761,738 |
— |
— |
||||||||||||||||||||||||
(25,086,366 |
) |
01/06/15 |
UBS AG |
(0.26 |
)% |
Dow Jones
Industrial AverageSM |
(4,348,512 |
) |
4,348,512 |
— |
— |
||||||||||||||||||||||||
$ |
(244,186,518 |
) |
$ |
(32,285,427 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT DOW30SM DOG :: 55
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 41.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
3,900,000 |
0.00%, due 12/11/14 |
$ |
3,899,968 |
|||||||
10,000,000 |
0.00%, due 12/18/14 |
9,999,880 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $13,899,848) |
13,899,848 |
||||||||||
Repurchase Agreements (a)(b) — 76.9% |
|||||||||||
25,848,541 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $25,848,682 |
25,848,541 |
|||||||||
Total Repurchase Agreements (Cost $25,848,541) |
25,848,541 |
||||||||||
Total Investment
Securities (Cost $39,748,389) † — 118.3% |
39,748,389 |
||||||||||
Liabilities in excess of other assets — (18.3%) |
(6,159,732 |
) |
|||||||||
Net Assets — 100.0% |
$ |
33,588,657 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $7,343,913.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
Short MidCap400 had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
20 |
12/19/14 |
$ |
2,883,200 |
$ |
(26,317 |
) |
Cash collateral in the amount of $147,400 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
56 :: MYY SHORT MIDCAP400 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short MidCap400 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(9,365,279 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
S&P MidCap
400® Index |
$ |
(747,018 |
) |
$ |
747,018 |
$ |
— |
$ |
— |
|||||||||||||||||||
(7,678,794 |
) |
11/06/15 |
Credit Suisse International |
(0.16 |
)% |
S&P MidCap 400® Index |
(3,435,295 |
) |
3,435,295 |
— |
— |
||||||||||||||||||||||||
(3,534,514 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
S&P MidCap
400® Index |
(437,463 |
) |
437,463 |
— |
— |
||||||||||||||||||||||||
(4,068,958 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.24 |
% |
S&P MidCap 400® Index |
(945,119 |
) |
863,990 |
— |
(81,129 |
) |
|||||||||||||||||||||||
(6,046,375 |
) |
11/06/15 |
Societe Generale |
(0.09 |
)% |
S&P MidCap
400® Index |
(700,393 |
) |
700,393 |
— |
— |
||||||||||||||||||||||||
$ |
(30,693,920 |
) |
$ |
(6,265,288 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT MIDCAP400 MYY :: 57
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 63.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 12/11/14 |
$ |
4,999,951 |
|||||||
40,000,000 |
0.00%, due 12/18/14 |
39,999,792 |
|||||||||
5,000,000 |
0.00%, due 01/08/15 |
4,999,789 |
|||||||||
60,000,000 |
0.00%, due 01/15/15 |
59,996,175 |
|||||||||
55,000,000 |
0.00%, due 01/22/15 |
54,995,988 |
|||||||||
50,000,000 |
0.00%, due 02/05/15 |
49,999,101 |
|||||||||
90,000,000 |
0.00%, due 02/19/15 |
89,999,460 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $304,986,771) |
304,990,256 |
||||||||||
Repurchase Agreements (a)(b) — 44.1% |
|||||||||||
213,268,987 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $213,270,154 |
213,268,987 |
|||||||||
Total Repurchase Agreements
(Cost $213,268,987) |
213,268,987 |
||||||||||
Total Investment Securities (Cost $518,255,758) — 107.1% |
518,259,243 |
||||||||||
Liabilities in excess of
other assets — (7.1%) |
(34,315,856 |
) |
|||||||||
Net Assets — 100.0% |
$ |
483,943,387 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $58,559,338.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
3,485 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
3,485 |
|||||
Federal income tax cost of investments |
$ |
518,255,758 |
Futures Contracts Sold
Short Russell2000 had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
435 |
12/19/14 |
$ |
50,999,400 |
$ |
(543,839 |
) |
Cash collateral in the amount of $2,440,350 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
58 :: RWM SHORT RUSSELL2000 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Short Russell2000 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(218,694,409 |
) |
11/06/15 |
Bank of America, N.A. |
0.34 |
% |
Russell 2000® Index |
$ |
(11,375,636 |
) |
$ |
11,375,636 |
$ |
— |
$ |
— |
|||||||||||||||||||
(10,751,563 |
) |
02/06/15 |
Citibank, N.A. |
0.58 |
% |
Russell 2000® Index |
(438,328 |
) |
432,995 |
— |
(5,333 |
) |
|||||||||||||||||||||||
(8,547,785 |
) |
11/06/15 |
Credit
Suisse International |
0.39 |
% |
Russell 2000® Index |
(7,522,416 |
) |
7,522,416 |
— |
— |
||||||||||||||||||||||||
(3,183,274 |
) |
11/06/15 |
Deutsche Bank AG |
0.88 |
% |
Russell 2000® Index |
(294,566 |
) |
|||||||||||||||||||||||||||
(553,448 |
) |
11/06/15 |
Deutsche Bank AG |
0.88 |
% |
iShares® Russell
2000 ETF |
(30,117 |
) |
|||||||||||||||||||||||||||
(3,736,722 |
) |
(324,683 |
) |
324,683 |
— |
— |
|||||||||||||||||||||||||||||
(143,052,678 |
) |
12/07/15 |
Goldman
Sachs International |
0.78 |
% |
Russell 2000® Index |
(721,546 |
) |
721,546 |
— |
— |
||||||||||||||||||||||||
(34,607,745 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.49 |
% |
Russell 2000® Index |
1,773,919 |
||||||||||||||||||||||||||||
(872,003 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.74 |
% |
iShares® Russell
2000 ETF |
(583,804 |
) |
|||||||||||||||||||||||||||
(35,479,748 |
) |
1,190,115 |
(803,000 |
) |
— |
387,115 |
|||||||||||||||||||||||||||||
(2,548,076 |
) |
11/06/15 |
Societe Generale |
0.74 |
% |
Russell 2000® Index |
(1,776,850 |
) |
1,776,850 |
— |
— |
||||||||||||||||||||||||
(10,232,090 |
) |
01/06/15 |
UBS AG |
0.44 |
% |
Russell 2000® Index |
(1,037,076 |
) |
1,037,076 |
— |
— |
||||||||||||||||||||||||
$ |
(433,043,071 |
) |
$ |
(22,006,420 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT RUSSELL2000 RWM :: 59
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 65.4% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
6,000,000 |
0.00%, due 10/15/15 |
$ |
5,994,570 |
|||||||
Total U.S. Government & Agency
Security (Cost $5,994,912) |
5,994,570 |
||||||||||
Repurchase Agreements (a)(b) — 43.8% |
|||||||||||
4,013,656 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $4,013,678 |
4,013,656 |
|||||||||
Total Repurchase Agreements
(Cost $4,013,656) |
4,013,656 |
||||||||||
Total Investment Securities (Cost $10,008,568) — 109.2% |
10,008,226 |
||||||||||
Liabilities in excess of
other assets — (9.2%) |
(846,325 |
) |
|||||||||
Net Assets — 100.0% |
$ |
9,161,901 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $971,098.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(342 |
) |
|||||
Net unrealized depreciation |
$ |
(342 |
) |
||||
Federal income tax cost of investments |
$ |
10,008,568 |
Swap Agreements1
Short SmallCap600 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,615,296 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
S&P SmallCap
600® Index |
$ |
(179,471 |
) |
$ |
179,471 |
$ |
— |
$ |
— |
|||||||||||||||||||
(2,233,962 |
) |
01/06/15 |
Citibank, N.A. |
0.08 |
% |
S&P SmallCap 600® Index |
(132,454 |
) |
89,916 |
— |
(42,538 |
) |
|||||||||||||||||||||||
(1,048,036 |
) |
11/06/15 |
Credit
Suisse International |
0.29 |
% |
S&P SmallCap
600® Index |
(166,068 |
) |
166,068 |
— |
— |
||||||||||||||||||||||||
(1,643,549 |
) |
11/06/15 |
Deutsche Bank AG |
0.68 |
% |
S&P SmallCap 600® Index |
(101,763 |
) |
53,950 |
— |
(47,813 |
) |
|||||||||||||||||||||||
(1,196,831 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.39 |
% |
S&P SmallCap
600® Index |
(119,801 |
) |
24,977 |
— |
(94,824 |
) |
|||||||||||||||||||||||
(1,417,793 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
S&P SmallCap 600® Index |
(121,197 |
) |
49,954 |
— |
(71,243 |
) |
|||||||||||||||||||||||
$ |
(9,155,467 |
) |
$ |
(820,754 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
60 :: SBB SHORT SMALLCAP600 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 36.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
200,000 |
0.00%, due 10/15/15 |
$ |
199,819 |
|||||||
Total U.S. Government & Agency
Security (Cost $199,823) |
199,819 |
||||||||||
Repurchase Agreements (a)(b) — 109.3% |
|||||||||||
601,807 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $601,809 |
601,807 |
|||||||||
Total Repurchase Agreements
(Cost $601,807) |
601,807 |
||||||||||
Total Investment Securities (Cost $801,630) — 145.6% |
801,626 |
||||||||||
Liabilities in excess of
other assets — (45.6%) |
(250,931 |
) |
|||||||||
Net Assets — 100.0% |
$ |
550,695 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $158,853.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(4 |
) |
|||||
Net unrealized depreciation |
$ |
(4 |
) |
||||
Federal income tax cost of investments |
$ |
801,630 |
Swap Agreements1
UltraShort Russell3000 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(20,695 |
) |
11/06/15 |
Credit
Suisse International |
(0.16 |
)% |
Russell 3000® Index |
$ |
(2,848 |
) |
$ |
— |
$ |
— |
$ |
(2,848 |
) |
||||||||||||||||||
(115,882 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Russell 3000® Index |
(56,098 |
) |
56,098 |
— |
— |
||||||||||||||||||||||||
(202,261 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.14 |
% |
Russell 3000® Index |
(53,345 |
) |
|||||||||||||||||||||||||||
(32,269 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.34 |
% |
iShares® Russell 3000 ETF |
(5,000 |
) |
|||||||||||||||||||||||||||
(234,530 |
) |
(58,345 |
) |
10,990 |
— |
(47,355 |
) |
||||||||||||||||||||||||||||
(675,354 |
) |
11/06/15 |
Societe Generale |
(0.26 |
)% |
Russell 3000® Index |
(106,308 |
) |
29,972 |
— |
(76,336 |
) |
|||||||||||||||||||||||
(54,891 |
) |
01/06/15 |
UBS AG |
(0.06 |
)% |
Russell 3000® Index |
(6,893 |
) |
6,893 |
— |
— |
||||||||||||||||||||||||
$ |
(1,101,352 |
) |
$ |
(230,492 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT RUSSELL3000 TWQ :: 61
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 94.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
100,000,000 |
0.00%, due 12/04/14 |
$ |
99,999,596 |
|||||||
90,000,000 |
0.00%, due 12/11/14 |
89,999,261 |
|||||||||
35,000,000 |
0.00%, due 01/15/15 |
34,997,844 |
|||||||||
50,000,000 |
0.00%, due 02/26/15 |
49,998,800 |
|||||||||
90,000,000 |
0.00%, due 03/12/15 |
89,994,330 |
|||||||||
50,000,000 |
0.00%, due 04/16/15 |
49,991,500 |
|||||||||
150,000,000 |
0.00%, due 04/30/15 |
149,968,800 |
|||||||||
50,000,000 |
0.00%, due 05/14/15 |
49,985,200 |
|||||||||
180,000,000 |
0.00%, due 09/17/15 |
179,854,920 |
|||||||||
320,000,000 |
0.00%, due 10/15/15 |
319,710,400 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $1,114,585,465) |
1,114,500,651 |
||||||||||
Repurchase Agreements (a)(b) — 31.3% |
|||||||||||
368,739,989 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $368,742,008 |
368,739,989 |
|||||||||
Total Repurchase Agreements (Cost $368,739,989) |
368,739,989 |
||||||||||
Total Investment
Securities (Cost $1,483,325,454) — 125.7% |
1,483,240,640 |
||||||||||
Liabilities in excess of other assets — (25.7%) |
(303,488,150 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,179,752,490 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $456,608,475.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
613 |
|||||
Aggregate gross unrealized depreciation |
(85,427 |
) |
|||||
Net unrealized depreciation |
$ |
(84,814 |
) |
||||
Federal income tax cost of investments |
$ |
1,483,325,454 |
Futures Contracts Sold
UltraShort S&P500® had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
365 |
12/19/14 |
$ |
37,722,750 |
$ |
(429,668 |
) |
Cash collateral in the amount of $1,846,900 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
62 :: SDS ULTRASHORT S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort S&P500® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(212,436,425 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
S&P 500® Index |
$ |
(23,244,164 |
) |
$ |
23,244,164 |
$ |
— |
$ |
— |
|||||||||||||||||||
(431,874,802 |
) |
01/06/15 |
Citibank, N.A. |
(0.32 |
)% |
S&P 500® Index |
(57,703,560 |
) |
57,703,560 |
— |
— |
||||||||||||||||||||||||
(123,745,480 |
) |
11/06/15 |
Credit
Suisse International |
(0.31 |
)% |
S&P 500® Index |
(23,315,373 |
) |
23,315,373 |
— |
— |
||||||||||||||||||||||||
(139,959,992 |
) |
11/06/15 |
Deutsche Bank AG |
(0.17 |
)% |
S&P 500® Index |
(16,320,066 |
) |
|||||||||||||||||||||||||||
(6,332,068 |
) |
01/06/16 |
Deutsche Bank AG |
(0.05 |
)% |
SPDR® S&P
500® ETF Trust |
(777,126 |
) |
|||||||||||||||||||||||||||
(146,292,060 |
) |
(17,097,192 |
) |
17,097,192 |
— |
— |
|||||||||||||||||||||||||||||
(886,708,846 |
) |
01/06/15 |
Goldman
Sachs International |
(0.27 |
)% |
S&P 500® Index |
(52,978,902 |
) |
|||||||||||||||||||||||||||
(604,727 |
) |
01/06/15 |
Goldman Sachs International |
(0.18 |
)% |
SPDR® S&P 500® ETF Trust |
(133,712 |
) |
|||||||||||||||||||||||||||
(887,313,573 |
) |
(53,112,614 |
) |
53,112,614 |
— |
— |
|||||||||||||||||||||||||||||
(36,617,689 |
) |
01/06/16 |
Morgan Stanley & Co. International PLC |
(0.21 |
)% |
S&P 500® Index |
242,065 |
(150,000 |
) |
— |
92,065 |
||||||||||||||||||||||||
(423,098,056 |
) |
11/06/15 |
Societe Generale |
(0.29 |
)% |
S&P 500® Index |
(77,476,967 |
) |
77,476,967 |
— |
— |
||||||||||||||||||||||||
(61,138,055 |
) |
01/06/15 |
UBS AG |
(0.31 |
)% |
S&P 500® Index |
(18,467,672 |
) |
18,467,672 |
— |
— |
||||||||||||||||||||||||
$ |
(2,322,516,140 |
) |
$ |
(270,175,477 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT S&P500® SDS :: 63
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 88.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 12/04/14 |
$ |
4,999,987 |
|||||||
75,000,000 |
0.00%, due 12/11/14 |
74,999,700 |
|||||||||
98,000,000 |
0.00%, due 12/18/14 |
97,999,053 |
|||||||||
10,000,000 |
0.00%, due 01/08/15 |
9,999,578 |
|||||||||
60,000,000 |
0.00%, due 04/16/15 |
59,989,800 |
|||||||||
10,000,000 |
0.00%, due 05/21/15 |
9,996,910 |
|||||||||
35,000,000 |
0.00%, due 10/15/15 |
34,968,325 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $292,957,807) |
292,953,353 |
||||||||||
Repurchase Agreements (a)(b) — 41.5% |
|||||||||||
137,565,936 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $137,566,689 |
137,565,936 |
|||||||||
Total Repurchase Agreements
(Cost $137,565,936) |
137,565,936 |
||||||||||
Total Investment Securities (Cost $430,523,743) — 129.8% |
430,519,289 |
||||||||||
Liabilities in excess of
other assets — (29.8%) |
(98,864,784 |
) |
|||||||||
Net Assets — 100.0% |
$ |
331,654,505 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $153,338,557.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(4,454 |
) |
|||||
Net unrealized depreciation |
$ |
(4,454 |
) |
||||
Federal income tax cost of investments |
$ |
430,523,743 |
Futures Contracts Sold
UltraShort QQQ® had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
34 |
12/19/14 |
$ |
2,950,010 |
$ |
(77,328 |
) |
Cash collateral in the amount of $134,640 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
64 :: QID ULTRASHORT QQQ® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort QQQ® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(50,165,713 |
) |
11/06/15 |
Bank of
America, N.A. |
(0.36 |
)% |
NASDAQ-100 Index® |
$ |
(17,710,401 |
) |
$ |
17,710,401 |
$ |
— |
$ |
— |
|||||||||||||||||||
(41,501,502 |
) |
02/06/15 |
Citibank, N.A. |
(0.27 |
)% |
NASDAQ-100 Index® |
(3,123,491 |
) |
3,123,491 |
— |
— |
||||||||||||||||||||||||
(22,933,236 |
) |
11/06/15 |
Credit
Suisse International |
(0.26 |
)% |
NASDAQ-100 Index® |
(9,701,850 |
) |
9,701,850 |
— |
— |
||||||||||||||||||||||||
(25,053,015 |
) |
11/06/15 |
Deutsche Bank AG |
(0.27 |
)% |
NASDAQ-100 Index® |
(3,263,976 |
) |
|||||||||||||||||||||||||||
(2,954,317 |
) |
11/06/15 |
Deutsche Bank AG |
(0.07 |
)% |
PowerShares
QQQ TrustSM, Series 1 |
(482,893 |
) |
|||||||||||||||||||||||||||
(28,007,332 |
) |
(3,746,869 |
) |
3,746,869 |
— |
— |
|||||||||||||||||||||||||||||
(316,938,913 |
) |
01/06/15 |
Goldman
Sachs International |
(0.32 |
)% |
NASDAQ-100 Index® |
(26,487,802 |
) |
|||||||||||||||||||||||||||
(305,960 |
) |
01/06/15 |
Goldman Sachs International |
(0.12 |
)% |
PowerShares QQQ TrustSM, Series 1 |
(12,567 |
) |
|||||||||||||||||||||||||||
(317,244,873 |
) |
(26,500,369 |
) |
26,500,369 |
— |
— |
|||||||||||||||||||||||||||||
(5,334,193 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.16 |
)% |
NASDAQ-100 Index® |
(1,261,568 |
) |
|||||||||||||||||||||||||||
(369,462 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.04 |
% |
PowerShares
QQQ TrustSM, Series 1 |
(244,946 |
) |
|||||||||||||||||||||||||||
(5,703,655 |
) |
(1,506,514 |
) |
1,388,621 |
— |
(117,893 |
) |
||||||||||||||||||||||||||||
(183,347,773 |
) |
11/06/15 |
Societe Generale |
(0.31 |
)% |
NASDAQ-100 Index® |
(35,707,462 |
) |
35,707,462 |
— |
— |
||||||||||||||||||||||||
(11,480,018 |
) |
01/06/15 |
UBS AG |
(0.26 |
)% |
NASDAQ-100 Index® |
(806,890 |
) |
806,890 |
— |
— |
||||||||||||||||||||||||
$ |
(660,384,102 |
) |
$ |
(98,803,846 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT QQQ® QID :: 65
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 88.4% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 12/18/14 |
$ |
4,999,929 |
|||||||
45,000,000 |
0.00%, due 01/15/15 |
44,999,438 |
|||||||||
47,000,000 |
0.00%, due 01/22/15 |
46,996,572 |
|||||||||
30,000,000 |
0.00%, due 04/30/15 |
29,993,759 |
|||||||||
50,000,000 |
0.00%, due 10/15/15 |
49,954,750 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $176,947,397) |
176,944,448 |
||||||||||
Repurchase Agreements (a)(b) — 33.9% |
|||||||||||
67,995,571 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $67,995,942 |
67,995,571 |
|||||||||
Total Repurchase Agreements
(Cost $67,995,571) |
67,995,571 |
||||||||||
Total Investment Securities (Cost $244,942,968) — 122.3% |
244,940,019 |
||||||||||
Liabilities in excess of
other assets — (22.3%) |
(44,634,538 |
) |
|||||||||
Net Assets — 100.0% |
$ |
200,305,481 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $70,097,232.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(2,949 |
) |
|||||
Net unrealized depreciation |
$ |
(2,949 |
) |
||||
Federal income tax cost of investments |
$ |
244,942,968 |
Futures Contracts Sold
UltraShort Dow30SM had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
9 |
12/19/14 |
$ |
801,765 |
$ |
(7,780 |
) |
Cash collateral in the amount of $38,610 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
66 :: DXD ULTRASHORT DOW30SM :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort Dow30SM had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(101,014,683 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
Dow Jones
Industrial AverageSM Index |
$ |
(14,765,917 |
) |
$ |
14,765,917 |
$ |
— |
$ |
— |
|||||||||||||||||||
(22,048,327 |
) |
02/06/15 |
Citibank, N.A. |
(0.27 |
)% |
Dow Jones Industrial AverageSM Index |
(2,458,249 |
) |
2,404,348 |
— |
(53,901 |
) |
|||||||||||||||||||||||
(24,832,314 |
) |
11/06/15 |
Credit
Suisse International |
(0.26 |
)% |
Dow Jones
Industrial AverageSM Index |
(5,879,984 |
) |
5,879,984 |
— |
— |
||||||||||||||||||||||||
(53,939,750 |
) |
11/06/15 |
Deutsche Bank AG |
0.08 |
% |
Dow Jones Industrial AverageSM Index |
(8,079,193 |
) |
|||||||||||||||||||||||||||
(912,670 |
) |
11/06/15 |
Deutsche Bank AG |
0.13 |
% |
SPDR® Dow
Jones Industrial AverageSM ETF Trust |
(134,544 |
) |
|||||||||||||||||||||||||||
(54,852,420 |
) |
(8,213,737 |
) |
8,213,737 |
— |
— |
|||||||||||||||||||||||||||||
(124,469,177 |
) |
12/07/15 |
Goldman
Sachs International |
(0.42 |
)% |
Dow Jones
Industrial AverageSM Index |
(2,293,253 |
) |
|||||||||||||||||||||||||||
(1,235,679 |
) |
12/07/15 |
Goldman Sachs International |
(0.24 |
)% |
SPDR® Dow Jones Industrial AverageSM ETF Trust |
(22,396 |
) |
|||||||||||||||||||||||||||
(125,704,856 |
) |
(2,315,649 |
) |
2,315,649 |
— |
— |
|||||||||||||||||||||||||||||
(70,306,502 |
) |
11/06/15 |
Societe Generale |
(0.34 |
)% |
Dow Jones Industrial AverageSM Index |
(9,583,122 |
) |
9,583,122 |
— |
— |
||||||||||||||||||||||||
(1,054,665 |
) |
01/06/15 |
UBS AG |
(0.26 |
)% |
Dow Jones
Industrial AverageSM Index |
(1,260,655 |
) |
1,260,655 |
— |
— |
||||||||||||||||||||||||
$ |
(399,813,767 |
) |
$ |
(44,477,313 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT DOW30SM DXD :: 67
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 45.9% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
5,000,000 |
0.00%, due 12/18/14 |
$ |
4,999,924 |
|||||||
Total U.S. Government & Agency
Security (Cost $4,999,924) |
4,999,924 |
||||||||||
Repurchase Agreements (a)(b) — 73.4% |
|||||||||||
7,997,847 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $7,997,890 |
7,997,847 |
|||||||||
Total Repurchase Agreements
(Cost $7,997,847) |
7,997,847 |
||||||||||
Total Investment Securities (Cost $12,997,771) † — 119.3% |
12,997,771 |
||||||||||
Liabilities in excess of
other assets — (19.3%) |
(2,100,896 |
) |
|||||||||
Net Assets — 100.0% |
$ |
10,896,875 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $2,550,970.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraShort MidCap400 had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
14 |
12/19/14 |
$ |
2,018,240 |
$ |
(15,003 |
) |
Cash collateral in the amount of $103,180 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
68 :: MZZ ULTRASHORT MIDCAP400 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort MidCap400 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,206,520 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
S&P MidCap 400®
Index |
$ |
(418,607 |
) |
$ |
279,997 |
$ |
— |
$ |
(138,610 |
) |
||||||||||||||||||
(1,788,926 |
) |
01/06/15 |
Citibank, N.A. |
(0.12 |
)% |
S&P MidCap 400® Index |
(117,826 |
) |
72,999 |
— |
(44,827 |
) |
|||||||||||||||||||||||
(6,750,314 |
) |
11/06/15 |
Credit Suisse
International |
(0.16 |
)% |
S&P MidCap 400®
Index |
(617,956 |
) |
617,956 |
— |
— |
||||||||||||||||||||||||
(2,543,651 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
S&P MidCap 400® Index |
(178,590 |
) |
|||||||||||||||||||||||||||
(43,372 |
) |
01/06/16 |
Deutsche Bank AG |
0.38 |
% |
SPDR® S&P
MidCap 400® ETF Trust |
(12,482 |
) |
|||||||||||||||||||||||||||
(2,587,023 |
) |
(191,072 |
) |
111,998 |
— |
(79,074 |
) |
||||||||||||||||||||||||||||
(1,728,021 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.24 |
% |
S&P MidCap 400®
Index |
(335,654 |
) |
270,997 |
— |
(64,657 |
) |
|||||||||||||||||||||||
(4,716,211 |
) |
11/06/15 |
Societe Generale |
(0.09 |
)% |
S&P MidCap 400® Index |
(477,407 |
) |
365,996 |
— |
(111,411 |
) |
|||||||||||||||||||||||
$ |
(19,777,015 |
) |
$ |
(2,158,522 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT MIDCAP400 MZZ :: 69
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 97.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
20,000,000 |
0.00%, due 12/18/14 |
$ |
19,999,717 |
|||||||
8,000,000 |
0.00%, due 01/08/15 |
7,999,662 |
|||||||||
13,000,000 |
0.00%, due 01/15/15 |
12,999,269 |
|||||||||
50,000,000 |
0.00%, due 04/30/15 |
49,989,600 |
|||||||||
50,000,000 |
0.00%, due 05/21/15 |
49,984,550 |
|||||||||
60,000,000 |
0.00%, due 10/15/15 |
59,945,699 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $200,924,258) |
200,918,497 |
||||||||||
Repurchase Agreements (a)(b) — 24.4% |
|||||||||||
50,180,051 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $50,180,326 |
50,180,051 |
|||||||||
Total Repurchase Agreements (Cost $50,180,051) |
50,180,051 |
||||||||||
Total Investment
Securities (Cost $251,104,309) — 121.9% |
251,098,548 |
||||||||||
Liabilities in excess of other assets — (21.9%) |
(45,136,901 |
) |
|||||||||
Net Assets — 100.0% |
$ |
205,961,647 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $57,732,211.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(5,761 |
) |
|||||
Net unrealized depreciation |
$ |
(5,761 |
) |
||||
Federal income tax cost of investments |
$ |
251,104,309 |
Futures Contracts Sold
UltraShort Russell2000 had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
168 |
12/19/14 |
$ |
19,696,320 |
$ |
(1,085 |
) |
Cash collateral in the amount of $942,480 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
70 :: TWM ULTRASHORT RUSSELL2000 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
UltraShort Russell2000 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(288,830,513 |
) |
01/06/16 |
Bank of America, N.A. |
0.34 |
% |
Russell 2000® Index |
$ |
(30,108,126 |
) |
$ |
30,108,126 |
$ |
— |
$ |
— |
|||||||||||||||||||
(32,372,129 |
) |
02/06/15 |
Citibank, N.A. |
0.58 |
% |
Russell 2000® Index |
(2,433,892 |
) |
2,433,892 |
— |
— |
||||||||||||||||||||||||
(1,079,773 |
) |
11/06/15 |
Credit Suisse
International |
0.39 |
% |
Russell 2000® Index |
(2,340 |
) |
2,340 |
— |
— |
||||||||||||||||||||||||
(1,317,358 |
) |
11/06/15 |
Deutsche Bank AG |
0.88 |
% |
Russell 2000® Index |
(140,038 |
) |
|||||||||||||||||||||||||||
(821,488 |
) |
11/06/15 |
Deutsche Bank AG |
0.88 |
% |
iShares® Russell 2000 ETF |
(71,498 |
) |
|||||||||||||||||||||||||||
(2,138,846 |
) |
(211,536 |
) |
211,536 |
— |
— |
|||||||||||||||||||||||||||||
(1,171,985 |
) |
12/07/15 |
Goldman Sachs
International |
0.78 |
% |
Russell 2000® Index |
(2,974 |
) |
2,974 |
— |
— |
||||||||||||||||||||||||
(55,688,021 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.49 |
% |
Russell 2000® Index |
(2,818,978 |
) |
|||||||||||||||||||||||||||
(1,007,393 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.74 |
% |
iShares® Russell 2000 ETF |
(933,131 |
) |
|||||||||||||||||||||||||||
(56,695,414 |
) |
(3,752,109 |
) |
3,752,109 |
— |
— |
|||||||||||||||||||||||||||||
(2,338,602 |
) |
11/06/15 |
Societe Generale |
0.74 |
% |
Russell 2000® Index |
(7,832,258 |
) |
7,759,908 |
— |
(72,350 |
) |
|||||||||||||||||||||||
(7,619,535 |
) |
01/06/15 |
UBS AG |
0.44 |
% |
Russell 2000® Index |
(684,758 |
) |
684,758 |
— |
— |
||||||||||||||||||||||||
$ |
(392,246,797 |
) |
$ |
(45,027,993 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT RUSSELL2000 TWM :: 71
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 38.7% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,000,000 |
0.00%, due 12/11/14 |
$ |
1,999,978 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,999,978) |
1,999,978 |
||||||||||
Repurchase Agreements (a)(b) — 74.9% |
|||||||||||
3,875,460 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,875,481 |
3,875,460 |
|||||||||
Total Repurchase Agreements
(Cost $3,875,460) |
3,875,460 |
||||||||||
Total Investment Securities (Cost $5,875,438) † — 113.6% |
5,875,438 |
||||||||||
Liabilities in excess of
other assets — (13.6%) |
(704,806 |
) |
|||||||||
Net Assets — 100.0% |
$ |
5,170,632 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $1,232,993.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort SmallCap600 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(3,263,470 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
S&P SmallCap 600® Index |
$ |
(133,899 |
) |
$ |
133,899 |
$ |
— |
$ |
— |
|||||||||||||||||||
(1,252,717 |
) |
11/06/15 |
Credit Suisse International |
0.29 |
% |
S&P SmallCap 600® Index |
(146,922 |
) |
146,922 |
— |
— |
||||||||||||||||||||||||
(2,681,126 |
) |
11/06/15 |
Deutsche Bank AG |
0.68 |
% |
S&P SmallCap 600® Index |
(139,695 |
) |
|||||||||||||||||||||||||||
(111,183 |
) |
11/06/15 |
Deutsche Bank AG |
0.68 |
% |
iShares® Core S&P Small-Cap ETF |
15,825 |
||||||||||||||||||||||||||||
(2,792,309 |
) |
(123,870 |
) |
115,999 |
— |
(7,871 |
) |
||||||||||||||||||||||||||||
(1,771,726 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.39 |
% |
S&P SmallCap 600® Index |
(177,144 |
) |
132,999 |
— |
(44,145 |
) |
|||||||||||||||||||||||
(1,260,311 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
S&P SmallCap 600® Index |
(103,592 |
) |
30,000 |
— |
(73,592 |
) |
|||||||||||||||||||||||
$ |
(10,340,533 |
) |
$ |
(685,427 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
72 :: SDD ULTRASHORT SMALLCAP600 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 77.2% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 12/11/14 |
$ |
4,999,951 |
|||||||
55,000,000 |
0.00%, due 12/18/14 |
54,999,221 |
|||||||||
10,000,000 |
0.00%, due 01/15/15 |
9,999,438 |
|||||||||
65,000,000 |
0.00%, due 02/12/15 |
65,000,000 |
|||||||||
50,000,000 |
0.00%, due 04/16/15 |
49,991,500 |
|||||||||
30,000,000 |
0.00%, due 04/30/15 |
29,993,760 |
|||||||||
150,000,000 |
0.00%, due 09/17/15 |
149,879,100 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $364,898,407) |
364,862,970 |
||||||||||
Repurchase Agreements (a)(b) — 46.4% |
|||||||||||
219,031,622 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $219,032,820 |
219,031,622 |
|||||||||
Total Repurchase Agreements
(Cost $219,031,622) |
219,031,622 |
||||||||||
Total Investment Securities (Cost $583,930,029) — 123.6% |
583,894,592 |
||||||||||
Liabilities in excess of
other assets — (23.6%) |
(111,476,987 |
) |
|||||||||
Net Assets — 100.0% |
$ |
472,417,605 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $213,532,346.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2,175 |
|||||
Aggregate gross unrealized depreciation |
(37,612 |
) |
|||||
Net unrealized depreciation |
$ |
(35,437 |
) |
||||
Federal income tax cost of investments |
$ |
583,930,029 |
Futures Contracts Sold
UltraPro Short S&P500® had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
305 |
12/19/14 |
$ |
31,521,750 |
$ |
(274,571 |
) |
Cash collateral in the amount of $1,543,300 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT S&P500® SPXU :: 73
Swap Agreements1
UltraPro Short S&P500® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(83,038,997 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
S&P 500® Index |
$ |
(8,262,767 |
) |
$ |
8,262,767 |
$ |
— |
$ |
— |
|||||||||||||||||||
(435,091,438 |
) |
01/06/15 |
Citibank, N.A. |
(0.32 |
)% |
S&P 500® Index |
(30,800,132 |
) |
30,800,132 |
— |
— |
||||||||||||||||||||||||
(59,202,862 |
) |
11/06/15 |
Credit Suisse
International |
(0.31 |
)% |
S&P 500® Index |
(14,898,586 |
) |
14,898,586 |
— |
— |
||||||||||||||||||||||||
(57,423,622 |
) |
11/06/15 |
Deutsche Bank AG |
(0.17 |
)% |
S&P 500® Index |
(10,897,859 |
) |
|||||||||||||||||||||||||||
(256,396 |
) |
01/06/16 |
Deutsche Bank AG |
(0.05 |
)% |
SPDR® S&P
500® ETF Trust |
(30,245 |
) |
|||||||||||||||||||||||||||
(57,680,018 |
) |
(10,928,104 |
) |
10,928,104 |
— |
— |
|||||||||||||||||||||||||||||
(296,047,228 |
) |
01/06/15 |
Goldman Sachs
International |
(0.27 |
)% |
S&P 500® Index |
(21,054,788 |
) |
|||||||||||||||||||||||||||
(675,396 |
) |
01/06/15 |
Goldman Sachs International |
(0.18 |
)% |
SPDR® S&P 500® ETF Trust |
(217,442 |
) |
|||||||||||||||||||||||||||
(296,722,624 |
) |
(21,272,230 |
) |
— |
21,272,230 |
— |
|||||||||||||||||||||||||||||
(73,648,553 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
(0.21 |
)% |
S&P 500® Index |
(1,073,631 |
) |
1,073,631 |
— |
— |
||||||||||||||||||||||||
(254,662,380 |
) |
11/06/15 |
Societe Generale |
(0.29 |
)% |
S&P 500® Index |
(34,660,951 |
) |
34,660,951 |
— |
— |
||||||||||||||||||||||||
(125,834,342 |
) |
01/06/15 |
UBS AG |
(0.31 |
)% |
S&P 500® Index |
(23,151,596 |
) |
23,151,596 |
— |
— |
||||||||||||||||||||||||
$ |
(1,385,881,214 |
) |
$ |
(145,047,997 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
74 :: SPXU ULTRAPRO SHORT S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 79.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
67,000,000 |
0.00%, due 12/11/14 |
$ |
66,999,724 |
|||||||
13,000,000 |
0.00%, due 01/15/15 |
12,999,269 |
|||||||||
43,000,000 |
0.00%, due 01/29/15 |
42,998,661 |
|||||||||
40,000,000 |
0.00%, due 05/14/15 |
39,988,159 |
|||||||||
45,000,000 |
0.00%, due 10/15/15 |
44,959,275 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $207,948,450) |
207,945,088 |
||||||||||
Repurchase Agreements (a)(b) — 74.6% |
|||||||||||
195,084,533 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $195,085,600 |
195,084,533 |
|||||||||
Total Repurchase Agreements
(Cost $195,084,533) |
195,084,533 |
||||||||||
Total Investment Securities (Cost $403,032,983) — 154.2% |
403,029,621 |
||||||||||
Liabilities in excess of
other assets — (54.2%) |
(141,668,013 |
) |
|||||||||
Net Assets — 100.0% |
$ |
261,361,608 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $202,347,298.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(3,362 |
) |
|||||
Net unrealized depreciation |
$ |
(3,362 |
) |
||||
Federal income tax cost of investments |
$ |
403,032,983 |
Futures Contracts Sold
UltraPro Short QQQ® had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
37 |
12/19/14 |
$ |
3,210,305 |
$ |
(48,555 |
) |
Cash collateral in the amount of $146,520 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT QQQ® SQQQ :: 75
Swap Agreements1
UltraPro Short QQQ® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(82,101,950 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
NASDAQ-100 Index® |
$ |
(38,293,293 |
) |
$ |
38,293,293 |
$ |
— |
$ |
— |
|||||||||||||||||||
(60,724,423 |
) |
02/06/15 |
Citibank, N.A. |
(0.27 |
)% |
NASDAQ-100 Index® |
(21,537,147 |
) |
21,487,056 |
— |
(50,091 |
) |
|||||||||||||||||||||||
(7,799,524 |
) |
11/06/15 |
Credit
Suisse International |
(0.26 |
)% |
NASDAQ-100 Index® |
(1,673,214 |
) |
1,673,214 |
— |
— |
||||||||||||||||||||||||
(53,569,104 |
) |
11/06/15 |
Deutsche Bank AG |
(0.27 |
)% |
NASDAQ-100 Index® |
(7,473,364 |
) |
|||||||||||||||||||||||||||
(3,940,884 |
) |
11/06/15 |
Deutsche Bank AG |
(0.07 |
)% |
PowerShares QQQ
TrustSM, Series 1 |
(793,989 |
) |
|||||||||||||||||||||||||||
(57,509,988 |
) |
(8,267,353 |
) |
6,686,353 |
1,581,000 |
— |
|||||||||||||||||||||||||||||
(250,699,289 |
) |
01/06/15 |
Goldman
Sachs International |
(0.32 |
)% |
NASDAQ-100 Index® |
(20,370,277 |
) |
|||||||||||||||||||||||||||
(153,322 |
) |
12/07/15 |
Goldman Sachs International |
(0.12 |
)% |
PowerShares QQQ TrustSM, Series 1 |
(6,237 |
) |
|||||||||||||||||||||||||||
(250,852,611 |
) |
(20,376,514 |
) |
20,376,514 |
— |
— |
|||||||||||||||||||||||||||||
(3,828,143 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.16 |
)% |
NASDAQ-100 Index® |
(1,056,079 |
) |
|||||||||||||||||||||||||||
(1,105,045 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.04 |
% |
PowerShares
QQQ TrustSM, Series 1 |
(737,525 |
) |
|||||||||||||||||||||||||||
(4,933,188 |
) |
(1,793,604 |
) |
1,793,604 |
— |
— |
|||||||||||||||||||||||||||||
(261,849,045 |
) |
11/06/15 |
Societe Generale |
(0.31 |
)% |
NASDAQ-100 Index® |
(44,090,431 |
) |
44,090,431 |
— |
— |
||||||||||||||||||||||||
(55,164,821 |
) |
01/06/15 |
UBS AG |
(0.26 |
)% |
NASDAQ-100 Index® |
(7,082,549 |
) |
7,082,549 |
— |
— |
||||||||||||||||||||||||
$ |
(780,935,550 |
) |
$ |
(143,114,105 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
76 :: SQQQ ULTRAPRO SHORT QQQ® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 80.1% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
22,000,000 |
0.00%, due 12/04/14 |
$ |
21,999,963 |
|||||||
10,000,000 |
0.00%, due 12/18/14 |
9,999,880 |
|||||||||
55,000,000 |
0.00%, due 10/15/15 |
54,950,225 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $86,952,960) |
86,950,068 |
||||||||||
Repurchase Agreements (a)(b) — 54.5% |
|||||||||||
59,166,036 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $59,166,359 |
59,166,036 |
|||||||||
Total Repurchase Agreements
(Cost $59,166,036) |
59,166,036 |
||||||||||
Total Investment Securities (Cost $146,118,996) — 134.6% |
146,116,104 |
||||||||||
Liabilities in excess of
other assets — (34.6%) |
(37,565,124 |
) |
|||||||||
Net Assets — 100.0% |
$ |
108,550,980 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $39,477,730.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(2,892 |
) |
|||||
Net unrealized depreciation |
$ |
(2,892 |
) |
||||
Federal income tax cost of investments |
$ |
146,118,996 |
Futures Contracts Sold
UltraPro Short Dow30SM had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
8 |
12/19/14 |
$ |
712,680 |
$ |
(6,688 |
) |
Cash collateral in the amount of $34,320 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT DOW30SM SDOW :: 77
Swap Agreements1
UltraPro Short Dow30SM had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(3,767,000 |
) |
11/06/15 |
Bank of America, N.A. |
(0.36 |
)% |
Dow Jones
Industrial AverageSM Index |
$ |
(4,072,599 |
) |
$ |
4,072,599 |
$ |
— |
$ |
— |
|||||||||||||||||||
(42,323,226 |
) |
02/06/15 |
Citibank, N.A. |
(0.27 |
)% |
Dow Jones Industrial AverageSM Index |
(2,121,581 |
) |
2,082,330 |
— |
(39,251 |
) |
|||||||||||||||||||||||
(1,814,380 |
) |
11/06/15 |
Credit
Suisse International |
(0.26 |
)% |
Dow Jones
Industrial AverageSM Index |
(217,976 |
) |
205,997 |
— |
(11,979 |
) |
|||||||||||||||||||||||
(2,892,081 |
) |
11/06/15 |
Deutsche Bank AG |
0.13 |
% |
SPDR® Dow Jones Industrial AverageSM ETF Trust |
(356,134 |
) |
|||||||||||||||||||||||||||
(716,053 |
) |
11/06/15 |
Deutsche Bank AG |
0.08 |
% |
Dow Jones
Industrial AverageSM Index |
(182,415 |
) |
|||||||||||||||||||||||||||
(3,608,134 |
) |
(538,549 |
) |
538,549 |
— |
— |
|||||||||||||||||||||||||||||
(4,310,178 |
) |
12/07/15 |
Goldman
Sachs International |
(0.24 |
)% |
SPDR® Dow Jones
Industrial AverageSM ETF Trust |
(78,121 |
) |
|||||||||||||||||||||||||||
(60,473 |
) |
12/07/15 |
Goldman Sachs International |
(0.42 |
)% |
Dow Jones Industrial AverageSM Index |
(60,897 |
) |
|||||||||||||||||||||||||||
(4,370,651 |
) |
(139,018 |
) |
139,018 |
— |
— |
|||||||||||||||||||||||||||||
(62,917,339 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
(0.16 |
)% |
Dow Jones Industrial AverageSM Index |
(721,430 |
) |
618,426 |
— |
(103,004 |
) |
|||||||||||||||||||||||
(205,514,484 |
) |
11/06/15 |
Societe Generale |
(0.34 |
)% |
Dow Jones
Industrial AverageSM Index |
(28,184,290 |
) |
28,184,290 |
— |
— |
||||||||||||||||||||||||
(676,261 |
) |
01/06/15 |
UBS AG |
(0.26 |
)% |
Dow Jones Industrial AverageSM Index |
(475,520 |
) |
399,629 |
— |
(75,891 |
) |
|||||||||||||||||||||||
$ |
(324,991,475 |
) |
$ |
(36,470,963 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
78 :: SDOW ULTRAPRO SHORT DOW30SM :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 8.8% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
400,000 |
0.00%, due 10/15/15 |
$ |
399,638 |
|||||||
Total U.S. Government & Agency
Security (Cost $399,675) |
399,638 |
||||||||||
Repurchase Agreements (a)(b) — 81.9% |
|||||||||||
3,748,580 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,748,601 |
3,748,580 |
|||||||||
Total Repurchase Agreements
(Cost $3,748,580) |
3,748,580 |
||||||||||
Total Investment Securities (Cost $4,148,255) — 90.7% |
4,148,218 |
||||||||||
Other assets less liabilities — 9.3% |
426,595 |
||||||||||
Net Assets — 100.0% |
$ |
4,574,813 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $39,963.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(37 |
) |
|||||
Net unrealized depreciation |
$ |
(37 |
) |
||||
Federal income tax cost of investments |
$ |
4,148,255 |
See accompanying notes to the financial statements.
Futures Contracts Sold
UltraPro Short MidCap400 had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
7 |
12/19/14 |
$ |
1,009,120 |
$ |
(5,720 |
) |
Cash collateral in the amount of $51,590 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT MIDCAP400 SMDD :: 79
Swap Agreements1
UltraPro Short MidCap400 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(176,431 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
S&P MidCap
400® Index |
$ |
(127,876 |
) |
$ |
— |
$ |
127,876 |
$ |
— |
|||||||||||||||||||
(105,338 |
) |
01/06/15 |
Citibank, N.A. |
(0.12 |
)% |
S&P MidCap 400® Index |
(76,263 |
) |
— |
76,263 |
— |
||||||||||||||||||||||||
(126,653 |
) |
11/06/15 |
Credit
Suisse International |
(0.16 |
)% |
S&P MidCap
400® Index |
13,406 |
— |
— |
13,406 |
|||||||||||||||||||||||||
(484,634 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
S&P MidCap 400® Index |
14,163 |
— |
— |
14,163 |
|||||||||||||||||||||||||
(128,939 |
) |
12/07/15 |
Goldman
Sachs International |
0.18 |
% |
SPDR® S&P MidCap 400® ETF Trust |
(1,274 |
) |
— |
1,274 |
— |
||||||||||||||||||||||||
(4,745,873 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.24 |
% |
S&P MidCap 400® Index |
(1,578,171 |
) |
— |
1,542,000 |
(36,171 |
) |
|||||||||||||||||||||||
(6,946,271 |
) |
11/06/15 |
Societe Generale |
(0.09 |
)% |
S&P MidCap
400® Index |
(439,854 |
) |
39,963 |
399,000 |
(891 |
) |
|||||||||||||||||||||||
$ |
(12,714,139 |
) |
$ |
(2,195,869 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
80 :: SMDD ULTRAPRO SHORT MIDCAP400 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 48.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
17,000,000 |
0.00%, due 12/18/14 |
$ |
16,999,759 |
|||||||
5,000,000 |
0.00%, due 01/08/15 |
4,999,802 |
|||||||||
20,000,000 |
0.00%, due 10/15/15 |
19,981,900 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $41,982,601) |
41,981,461 |
||||||||||
Repurchase Agreements (a)(b) — 76.1% |
|||||||||||
65,453,086 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $65,453,445 |
65,453,086 |
|||||||||
Total Repurchase Agreements
(Cost $65,453,086) |
65,453,086 |
||||||||||
Total Investment Securities (Cost $107,435,687) — 124.9% |
107,434,547 |
||||||||||
Liabilities in excess of
other assets — (24.9%) |
(21,445,662 |
) |
|||||||||
Net Assets — 100.0% |
$ |
85,988,885 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $22,497,167.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(1,140 |
) |
|||||
Net unrealized depreciation |
$ |
(1,140 |
) |
||||
Federal income tax cost of investments |
$ |
107,435,687 |
Futures Contracts Sold
UltraPro Short Russell2000 had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
140 |
12/19/14 |
$ |
16,413,600 |
$ |
51,212 |
Cash collateral in the amount of $785,400 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT RUSSELL2000 SRTY :: 81
Swap Agreements1
UltraPro Short Russell2000 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(21,395,553 |
) |
01/06/16 |
Bank of America, N.A. |
0.34 |
% |
Russell 2000® Index |
$ |
(3,007,384 |
) |
$ |
3,007,384 |
$ |
— |
$ |
— |
|||||||||||||||||||
(31,867,708 |
) |
02/06/15 |
Citibank, N.A. |
0.58 |
% |
Russell 2000® Index |
(808,900 |
) |
808,900 |
— |
— |
||||||||||||||||||||||||
(557,121 |
) |
11/06/15 |
Credit
Suisse International |
0.39 |
% |
Russell 2000® Index |
(44,723 |
) |
44,723 |
— |
— |
||||||||||||||||||||||||
(1,350,042 |
) |
11/06/15 |
Deutsche Bank AG |
0.88 |
% |
Russell 2000® Index |
61,667 |
||||||||||||||||||||||||||||
(1,020,064 |
) |
11/06/15 |
Deutsche Bank AG |
0.88 |
% |
iShares® Russell
2000 ETF |
(155,406 |
) |
|||||||||||||||||||||||||||
(2,370,106 |
) |
(93,739 |
) |
93,739 |
— |
— |
|||||||||||||||||||||||||||||
(633,846 |
) |
12/07/15 |
Goldman
Sachs International |
0.78 |
% |
Russell 2000® Index |
(1,608 |
) |
— |
1,608 |
— |
||||||||||||||||||||||||
(118,106,903 |
) |
01/06/16 |
Morgan Stanley & Co. International PLC |
0.49 |
% |
Russell 2000® Index |
(3,938,356 |
) |
|||||||||||||||||||||||||||
(403,100 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.74 |
% |
iShares® Russell
2000 ETF |
(1,053,333 |
) |
|||||||||||||||||||||||||||
(118,510,003 |
) |
(4,991,689 |
) |
4,991,689 |
— |
— |
|||||||||||||||||||||||||||||
(6,132,782 |
) |
11/06/15 |
Societe Generale |
0.74 |
% |
Russell 2000® Index |
(2,898,431 |
) |
2,898,431 |
— |
— |
||||||||||||||||||||||||
(60,098,987 |
) |
01/06/15 |
UBS AG |
0.44 |
% |
Russell 2000® Index |
(5,056,606 |
) |
5,056,606 |
— |
— |
||||||||||||||||||||||||
$ |
(241,566,106 |
) |
$ |
(16,903,080 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
82 :: SRTY ULTRAPRO SHORT RUSSELL2000 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 85.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
500,000 |
0.00%, due 10/15/15 |
$ |
499,548 |
|||||||
Total U.S. Government & Agency
Security (Cost $499,573) |
499,548 |
||||||||||
Repurchase Agreements (a)(b) — 59.5% |
|||||||||||
348,532 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $348,533 |
348,532 |
|||||||||
Total Repurchase Agreements
(Cost $348,532) |
348,532 |
||||||||||
Total Investment Securities (Cost $848,105) — 144.8% |
848,080 |
||||||||||
Liabilities in excess of
other assets — (44.8%) |
(262,580 |
) |
|||||||||
Net Assets — 100.0% |
$ |
585,500 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $227,789.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(25 |
) |
|||||
Net unrealized depreciation |
$ |
(25 |
) |
||||
Federal income tax cost of investments |
$ |
848,105 |
Swap Agreements1
UltraShort Russell1000 Value had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(30,534 |
) |
11/06/15 |
Credit
Suisse International |
(0.01 |
)% |
Russell 1000®
Value Index |
$ |
(4,667 |
) |
$ |
— |
$ |
— |
$ |
(4,667 |
) |
||||||||||||||||||
(152,477 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Russell 1000® Value Index |
(48,566 |
) |
|||||||||||||||||||||||||||
(55,307 |
) |
11/06/15 |
Deutsche Bank AG |
0.08 |
% |
iShares® Russell
1000 Value ETF |
(7,394 |
) |
|||||||||||||||||||||||||||
(207,784 |
) |
(55,960 |
) |
55,960 |
— |
— |
|||||||||||||||||||||||||||||
(567,238 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.14 |
% |
Russell 1000®
Value Index |
(128,702 |
) |
|||||||||||||||||||||||||||
(84,505 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.34 |
% |
iShares® Russell 1000 Value ETF |
(12,923 |
) |
|||||||||||||||||||||||||||
(651,743 |
) |
(141,625 |
) |
— |
— |
(141,625 |
) |
||||||||||||||||||||||||||||
(179,783 |
) |
11/06/15 |
Societe Generale |
(0.06 |
)% |
Russell 1000® Value Index |
(26,215 |
) |
26,215 |
— |
— |
||||||||||||||||||||||||
(100,989 |
) |
01/06/15 |
UBS AG |
(0.11 |
)% |
Russell 1000®
Value Index |
(13,638 |
) |
13,638 |
— |
— |
||||||||||||||||||||||||
$ |
(1,170,833 |
) |
$ |
(242,105 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT RUSSELL1000 VALUE SJF :: 83
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 91.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
370,000 |
0.00%, due 05/21/15 |
$ |
369,886 |
|||||||
800,000 |
0.00%, due 10/15/15 |
799,276 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $1,169,214) |
1,169,162 |
||||||||||
Repurchase Agreements (a)(b) — 64.8% |
|||||||||||
829,389 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $829,394 |
829,389 |
|||||||||
Total Repurchase Agreements (Cost $829,389) |
829,389 |
||||||||||
Total Investment
Securities (Cost $1,998,603) — 156.1% |
1,998,551 |
||||||||||
Liabilities in excess of other assets — (56.1%) |
(718,445 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,280,106 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $635,410.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(52 |
) |
|||||
Net unrealized depreciation |
$ |
(52 |
) |
||||
Federal income tax cost of investments |
$ |
1,998,603 |
Swap Agreements1
UltraShort Russell1000 Growth had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(75,169 |
) |
11/06/15 |
Credit Suisse
International |
0.04 |
% |
Russell 1000®
Growth Index |
$ |
(15,161 |
) |
$ |
— |
$ |
— |
$ |
(15,161 |
) |
||||||||||||||||||
(344,023 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Russell 1000® Growth Index |
(125,743 |
) |
|||||||||||||||||||||||||||
(10,165 |
) |
11/06/15 |
Deutsche Bank AG |
0.08 |
% |
iShares® Russell 1000 Growth ETF |
(1,513 |
) |
|||||||||||||||||||||||||||
(354,188 |
) |
(127,256 |
) |
100,906 |
— |
(26,350 |
) |
||||||||||||||||||||||||||||
(31,486 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.34 |
% |
iShares® Russell 1000 Growth ETF |
(7,327 |
) |
|||||||||||||||||||||||||||
(9,280 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Russell 1000® Growth Index |
(53,352 |
) |
|||||||||||||||||||||||||||
(40,766 |
) |
(60,679 |
) |
— |
— |
(60,679 |
) |
||||||||||||||||||||||||||||
(2,047,058 |
) |
11/06/15 |
Societe Generale |
(0.06 |
)% |
Russell 1000® Growth Index |
(747,673 |
) |
487,673 |
260,000 |
— |
||||||||||||||||||||||||
(43,699 |
) |
01/06/15 |
UBS AG |
(0.11 |
)% |
Russell 1000®
Growth Index |
(6,298 |
) |
6,298 |
— |
— |
||||||||||||||||||||||||
$ |
(2,560,880 |
) |
$ |
(957,067 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
84 :: SFK ULTRASHORT RUSSELL1000 GROWTH :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 57.8% |
|||||||||||
$ |
269,782 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $269,783 |
$ |
269,782 |
|||||||
Total Repurchase Agreements
(Cost $269,782) |
269,782 |
||||||||||
Total Investment Securities (Cost $269,782) † — 57.8% |
269,782 |
||||||||||
Other assets less liabilities — 42.2% |
196,979 |
||||||||||
Net Assets — 100.0% |
$ |
466,761 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort Russell MidCap Value had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(64,959 |
) |
11/06/15 |
Credit Suisse
International |
0.14 |
% |
Russell Midcap®
Value Index |
$ |
(7,108 |
) |
$ |
— |
$ |
— |
$ |
(7,108 |
) |
||||||||||||||||||
(545,687 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Russell Midcap® Value Index |
(70,323 |
) |
|||||||||||||||||||||||||||
(24,935 |
) |
11/06/15 |
Deutsche Bank AG |
0.38 |
% |
iShares® Russell
Mid-Cap Value ETF |
(3,608 |
) |
|||||||||||||||||||||||||||
(570,622 |
) |
(73,931 |
) |
— |
73,931 |
— |
|||||||||||||||||||||||||||||
(209,153 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.19 |
% |
Russell Midcap®
Value Index |
(92,097 |
) |
|||||||||||||||||||||||||||
(38,185 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.44 |
% |
iShares® Russell Mid-Cap Value ETF |
(5,801 |
) |
|||||||||||||||||||||||||||
(247,338 |
) |
(97,898 |
) |
— |
19,564 |
(78,334 |
) |
||||||||||||||||||||||||||||
(32,829 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Russell Midcap® Value Index |
(20,193 |
) |
— |
20,193 |
— |
||||||||||||||||||||||||
(17,705 |
) |
01/06/15 |
UBS AG |
(0.01 |
)% |
Russell Midcap®
Value Index |
(6,088 |
) |
— |
6,088 |
— |
||||||||||||||||||||||||
$ |
(933,453 |
) |
$ |
(205,218 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT RUSSELL MIDCAP VALUE SJL :: 85
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 68.9% |
|||||||||||
$ |
472,317 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $472,318 |
$ |
472,317 |
|||||||
Total Repurchase Agreements
(Cost $472,317) |
472,317 |
||||||||||
Total Investment Securities (Cost $472,317) † — 68.9% |
472,317 |
||||||||||
Other assets less liabilities — 31.1% |
213,005 |
||||||||||
Net Assets — 100.0% |
$ |
685,322 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort Russell MidCap Growth had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(70,511 |
) |
11/06/15 |
Credit Suisse
International |
0.14 |
% |
Russell Midcap®
Growth Index |
$ |
(10,904 |
) |
$ |
— |
$ |
— |
$ |
(10,904 |
) |
||||||||||||||||||
(431,029 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Russell Midcap® Growth Index |
(139,436 |
) |
|||||||||||||||||||||||||||
iShares® Russell |
|||||||||||||||||||||||||||||||||||
(52,259 |
) |
11/06/15 |
Deutsche Bank AG |
0.38 |
% |
Mid-Cap Growth ETF |
(9,008 |
) |
|||||||||||||||||||||||||||
(483,288 |
) |
(148,444 |
) |
— |
78,645 |
(69,799 |
) |
||||||||||||||||||||||||||||
(505,028 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.19 |
% |
Russell Midcap® Growth Index |
(140,892 |
) |
|||||||||||||||||||||||||||
(45,015 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.44 |
% |
iShares® Russell
Mid-Cap Growth ETF |
(8,999 |
) |
|||||||||||||||||||||||||||
(550,043 |
) |
(149,891 |
) |
— |
117,981 |
(31,910 |
) |
||||||||||||||||||||||||||||
(220,387 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Russell Midcap®
Growth Index |
(36,190 |
) |
— |
36,190 |
— |
||||||||||||||||||||||||
(46,304 |
) |
01/06/15 |
UBS AG |
(0.01 |
)% |
Russell Midcap® Growth Index |
(6,973 |
) |
— |
6,973 |
— |
||||||||||||||||||||||||
$ |
(1,370,533 |
) |
$ |
(352,402 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
86 :: SDK ULTRASHORT RUSSELL MIDCAP GROWTH :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.1% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
600,000 |
0.00%, due 10/15/15 |
$ |
599,457 |
|||||||
Total U.S. Government & Agency
Security (Cost $599,470) |
599,457 |
||||||||||
Repurchase Agreements (a)(b) — 87.6% |
|||||||||||
1,494,747 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,494,754 |
1,494,747 |
|||||||||
Total Repurchase Agreements
(Cost $1,494,747) |
1,494,747 |
||||||||||
Total Investment Securities (Cost $2,094,217) — 122.7% |
2,094,204 |
||||||||||
Liabilities in excess of
other assets — (22.7%) |
(388,015 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,706,189 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $567,473.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(13 |
) |
|||||
Net unrealized depreciation |
$ |
(13 |
) |
||||
Federal income tax cost of investments |
$ |
2,094,217 |
Swap Agreements1
UltraShort Russell2000 Value had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(132,082 |
) |
11/06/15 |
Credit Suisse
International |
0.69 |
% |
Russell 2000®
Value Index |
$ |
(10,649 |
) |
$ |
— |
$ |
— |
$ |
(10,649 |
) |
||||||||||||||||||
(856,685 |
) |
11/06/15 |
Deutsche Bank AG |
1.28 |
% |
Russell 2000® Value Index |
(140,154 |
) |
|||||||||||||||||||||||||||
(12,779 |
) |
11/06/15 |
Deutsche Bank AG |
0.78 |
% |
iShares® Russell 2000 Value ETF |
(625 |
) |
|||||||||||||||||||||||||||
(869,464 |
) |
(140,779 |
) |
140,779 |
— |
— |
|||||||||||||||||||||||||||||
(1,481,878 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.34 |
% |
Russell 2000®
Value Index |
(167,873 |
) |
|||||||||||||||||||||||||||
(30,741 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.74 |
% |
iShares® Russell 2000 Value ETF |
(2,302 |
) |
|||||||||||||||||||||||||||
(1,512,619 |
) |
(170,175 |
) |
128,880 |
— |
(41,295 |
) |
||||||||||||||||||||||||||||
(806,882 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
Russell 2000® Value Index |
(41,895 |
) |
41,895 |
— |
— |
||||||||||||||||||||||||
(91,646 |
) |
01/06/15 |
UBS AG |
0.44 |
% |
Russell 2000®
Value Index |
(3,034 |
) |
3,034 |
— |
— |
||||||||||||||||||||||||
$ |
(3,412,693 |
) |
$ |
(366,532 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUSTSCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT RUSSELL2000 VALUE SJH :: 87
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 45.2% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
1,500,000 |
0.00%, due 10/15/15 |
$ |
1,498,643 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,498,715) |
1,498,643 |
||||||||||
Repurchase Agreements (a)(b) — 96.8% |
|||||||||||
3,207,012 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,207,029 |
3,207,012 |
|||||||||
Total Repurchase Agreements
(Cost $3,207,012) |
3,207,012 |
||||||||||
Total Investment Securities (Cost $4,705,727) — 142.0% |
4,705,655 |
||||||||||
Liabilities in excess of
other assets — (42.0%) |
(1,392,903 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,312,752 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $1,497,610.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(72 |
) |
|||||
Net unrealized depreciation |
$ |
(72 |
) |
||||
Federal income tax cost of investments |
$ |
4,705,727 |
Swap Agreements1
UltraShort Russell2000 Growth had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,888,427 |
) |
11/06/15 |
Bank of America, N.A. |
0.34 |
% |
Russell 2000®
Growth Index |
$ |
(377,307 |
) |
$ |
179,833 |
$ |
— |
$ |
(197,474 |
) |
||||||||||||||||||
(79,309 |
) |
11/06/15 |
Credit Suisse International |
0.69 |
% |
Russell 2000® Growth Index |
(7,319 |
) |
— |
— |
(7,319 |
) |
|||||||||||||||||||||||
Russell 2000® |
|||||||||||||||||||||||||||||||||||
(2,690,480 |
) |
11/06/15 |
Deutsche Bank AG |
1.48 |
% |
Growth Index |
(555,831 |
) |
|||||||||||||||||||||||||||
(26,317 |
) |
11/06/15 |
Deutsche Bank AG |
1.28 |
% |
iShares® Russell 2000 Growth ETF |
(1,777 |
) |
|||||||||||||||||||||||||||
(2,716,797 |
) |
(557,608 |
) |
557,608 |
— |
— |
|||||||||||||||||||||||||||||
(826,416 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.84 |
% |
Russell 2000®
Growth Index |
(312,090 |
) |
|||||||||||||||||||||||||||
(67,752 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
1.09 |
% |
iShares® Russell 2000 Growth ETF |
(14,994 |
) |
|||||||||||||||||||||||||||
(894,168 |
) |
(327,084 |
) |
325,698 |
— |
(1,386 |
) |
||||||||||||||||||||||||||||
(844,122 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
Russell 2000® Growth Index |
(86,980 |
) |
86,980 |
— |
— |
||||||||||||||||||||||||
(202,989 |
) |
01/06/15 |
UBS AG |
0.44 |
% |
Russell 2000®
Growth Index |
(13,680 |
) |
13,680 |
— |
— |
||||||||||||||||||||||||
$ |
(6,625,812 |
) |
$ |
(1,369,978 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
See accompanying notes to the financial statements.
88 :: SKK ULTRASHORT RUSSELL2000 GROWTH :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTSPROSHARES TRUST
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT RUSSELL2000 GROWTH SKK :: 89
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 63.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
800,000 |
0.00%, due 10/15/15 |
$ |
799,276 |
|||||||
Total U.S. Government & Agency
Security (Cost $799,322) |
799,276 |
||||||||||
Repurchase Agreements (a)(b) — 49.4% |
|||||||||||
624,307 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $624,309 |
624,307 |
|||||||||
Total Repurchase Agreements
(Cost $624,307) |
624,307 |
||||||||||
Total Investment Securities (Cost $1,423,629) — 112.7% |
1,423,583 |
||||||||||
Liabilities in excess of
other assets — (12.7%) |
(160,860 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,262,723 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $303,718.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(46 |
) |
|||||
Net unrealized depreciation |
$ |
(46 |
) |
||||
Federal income tax cost of investments |
$ |
1,423,629 |
Swap Agreements1
Short Basic Materials had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(144,144 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
Dow Jones U.S.
Basic MaterialsSM Index |
$ |
(14,036 |
) |
$ |
— |
$ |
— |
$ |
(14,036 |
) |
||||||||||||||||||
(274,109 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(2,197 |
) |
2,197 |
— |
— |
||||||||||||||||||||||||
(191,223 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Dow Jones U.S.
Basic MaterialsSM Index |
(29,815 |
) |
29,815 |
— |
— |
||||||||||||||||||||||||
(356,285 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. Basic MaterialsSM Index |
(51,577 |
) |
— |
— |
(51,577 |
) |
|||||||||||||||||||||||
(245,458 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S.
Basic MaterialsSM Index |
(39,221 |
) |
19,982 |
— |
(19,239 |
) |
|||||||||||||||||||||||
(49,871 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(2,834 |
) |
2,834 |
— |
— |
||||||||||||||||||||||||
$ |
(1,261,090 |
) |
$ |
(139,680 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
90 :: SBM SHORT BASIC MATERIALS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 78.9% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
4,000,000 |
0.00%, due 01/15/15 |
$ |
3,999,880 |
|||||||
12,270,000 |
0.00%, due 09/17/15 |
12,260,110 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $16,263,186) |
16,259,990 |
||||||||||
Repurchase Agreements (a)(b) — 29.9% |
|||||||||||
6,158,036 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $6,158,069 |
6,158,036 |
|||||||||
Total Repurchase Agreements (Cost $6,158,036) |
6,158,036 |
||||||||||
Total Investment
Securities (Cost $22,421,222) — 108.8% |
22,418,026 |
||||||||||
Liabilities in excess of other assets — (8.8%) |
(1,819,951 |
) |
|||||||||
Net Assets — 100.0% |
$ |
20,598,075 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $4,171,754.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(3,196 |
) |
|||||
Net unrealized depreciation |
$ |
(3,196 |
) |
||||
Federal income tax cost of investments |
$ |
22,421,222 |
Swap Agreements1
Short Financials had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(387,270 |
) |
11/06/15 |
Bank of America, N.A. |
(0.16 |
)% |
Dow Jones U.S.
FinancialsSM Index |
$ |
(297,071 |
) |
$ |
259,791 |
$ |
— |
$ |
(37,280 |
) |
||||||||||||||||||
(12,994,081 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. FinancialsSM Index |
(146,477 |
) |
8,477 |
138,000 |
— |
||||||||||||||||||||||||
(198,928 |
) |
11/06/15 |
Deutsche Bank AG |
0.43 |
% |
Dow Jones U.S.
FinancialsSM Index |
(56,546 |
) |
56,546 |
— |
— |
||||||||||||||||||||||||
(468,200 |
) |
12/07/15 |
Goldman Sachs International |
(0.37 |
)% |
Dow Jones U.S. FinancialsSM Index |
(5,246 |
) |
5,246 |
— |
— |
||||||||||||||||||||||||
(491,490 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.09 |
% |
Dow Jones U.S.
FinancialsSM Index |
(230,362 |
) |
137,998 |
— |
(92,364 |
) |
|||||||||||||||||||||||
(5,239,407 |
) |
11/06/15 |
Societe Generale |
(0.01 |
)% |
Dow Jones U.S. FinancialsSM Index |
(1,167,871 |
) |
1,162,063 |
— |
(5,808 |
) |
|||||||||||||||||||||||
(800,342 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S.
FinancialsSM Index |
(13,507 |
) |
13,507 |
— |
— |
||||||||||||||||||||||||
$ |
(20,579,718 |
) |
$ |
(1,917,080 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT FINANCIALS SEF :: 91
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 76.0% |
|||||||||||
$ |
1,497,087 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,497,094 |
$ |
1,497,087 |
|||||||
Total Repurchase Agreements
(Cost $1,497,087) |
1,497,087 |
||||||||||
Total Investment Securities (Cost $1,497,087) † — 76.0% |
1,497,087 |
||||||||||
Other assets less liabilities — 24.0% |
472,960 |
||||||||||
Net Assets — 100.0% |
$ |
1,970,047 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
Short Oil & Gas had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(181,006 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
$ |
7,594 |
$ |
— |
$ |
— |
$ |
7,594 |
||||||||||||||||||||
(227,416 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Oil & GasSM Index |
20,628 |
— |
— |
20,628 |
|||||||||||||||||||||||||
(131,536 |
) |
11/06/15 |
Deutsche Bank AG |
(0.02 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
935 |
— |
— |
935 |
|||||||||||||||||||||||||
(86,880 |
) |
12/07/15 |
Goldman Sachs International |
(0.27 |
)% |
Dow Jones U.S. Oil & GasSM Index |
7,881 |
— |
— |
7,881 |
|||||||||||||||||||||||||
(488,088 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.06 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
20,258 |
— |
— |
20,258 |
|||||||||||||||||||||||||
(182,226 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S. Oil & GasSM Index |
(29,805 |
) |
— |
29,805 |
— |
||||||||||||||||||||||||
(670,929 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
58,902 |
— |
— |
58,902 |
|||||||||||||||||||||||||
$ |
(1,968,081 |
) |
$ |
86,393 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
92 :: DDG SHORT OIL & GAS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.2% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 01/15/15 |
$ |
3,999,775 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,999,775) |
3,999,775 |
||||||||||
Repurchase Agreements (a)(b) — 103.1% |
|||||||||||
11,728,997 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $11,729,061 |
11,728,997 |
|||||||||
Total Repurchase Agreements
(Cost $11,728,997) |
11,728,997 |
||||||||||
Total Investment Securities (Cost $15,728,772) † — 138.3% |
15,728,772 |
||||||||||
Liabilities in excess of
other assets — (38.3%) |
(4,354,113 |
) |
|||||||||
Net Assets — 100.0% |
$ |
11,374,659 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $3,353,958.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
Short Real Estate had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,098,930 |
) |
11/06/15 |
Bank of America, N.A. |
(0.21 |
)% |
Dow Jones U.S.
Real EstateSM Index |
$ |
(1,181,200 |
) |
$ |
— |
$ |
1,091,000 |
$ |
(90,200 |
) |
||||||||||||||||||
(5,643,070 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Real EstateSM Index |
(158,427 |
) |
158,427 |
— |
— |
||||||||||||||||||||||||
(469,745 |
) |
11/06/15 |
Deutsche Bank AG |
0.48 |
% |
Dow Jones U.S.
Real EstateSM Index |
(294,083 |
) |
— |
294,083 |
— |
||||||||||||||||||||||||
(239,604 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.09 |
% |
Dow Jones U.S. Real EstateSM Index |
(101,577 |
) |
— |
— |
(101,577 |
) |
|||||||||||||||||||||||
(3,222,455 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S.
Real EstateSM Index |
(1,917,043 |
) |
1,769,978 |
— |
(147,065 |
) |
|||||||||||||||||||||||
(687,533 |
) |
12/07/15 |
UBS AG |
0.09 |
% |
Dow Jones U.S. Real EstateSM Index |
(27,804 |
) |
27,804 |
— |
— |
||||||||||||||||||||||||
$ |
(11,361,337 |
) |
$ |
(3,680,134 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT REAL ESTATE REK :: 93
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 50.6% |
|||||||||||
$ |
705,920 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $705,924 |
$ |
705,920 |
|||||||
Total Repurchase Agreements
(Cost $705,920) |
705,920 |
||||||||||
Total Investment Securities (Cost $705,920) † — 50.6% |
705,920 |
||||||||||
Other assets less liabilities — 49.4% |
689,079 |
||||||||||
Net Assets — 100.0% |
$ |
1,394,999 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
Short KBW Regional Banking had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(8,677 |
) |
11/06/15 |
Bank of America, N.A. |
0.19 |
% |
KBW
Regional Banking IndexSM |
$ |
152,773 |
$ |
— |
$ |
— |
$ |
152,773 |
||||||||||||||||||||
(212,519 |
) |
11/06/15 |
Deutsche Bank AG |
0.58 |
% |
KBW Regional Banking IndexSM |
(28,716 |
) |
— |
28,716 |
— |
||||||||||||||||||||||||
(114,926 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.49 |
% |
KBW
Regional Banking IndexSM |
(6,521 |
) |
— |
6,521 |
— |
||||||||||||||||||||||||
(663,450 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
KBW Regional Banking IndexSM |
(1,156 |
) |
— |
1,156 |
— |
||||||||||||||||||||||||
(393,680 |
) |
12/07/15 |
UBS AG |
(0.01 |
)% |
KBW
Regional Banking IndexSM |
4,825 |
— |
— |
4,825 |
|||||||||||||||||||||||||
$ |
(1,393,252 |
) |
$ |
121,205 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
94 :: KRS SHORT KBW REGIONAL BANKING :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 90.9% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
4,000,000 |
0.00%, due 01/15/15 |
$ |
3,999,880 |
|||||||
9,000,000 |
0.00%, due 10/15/15 |
8,991,855 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $12,992,208) |
12,991,735 |
||||||||||
Repurchase Agreements (a)(b) — 26.2% |
|||||||||||
3,736,205 |
Repurchase Agreements
with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,736,226 |
3,736,205 |
|||||||||
Total Repurchase Agreements (Cost $3,736,205) |
3,736,205 |
||||||||||
Total Investment
Securities (Cost $16,728,413) — 117.1% |
16,727,940 |
||||||||||
Liabilities in excess of other assets — (17.1%) |
(2,441,416 |
) |
|||||||||
Net Assets — 100.0% |
$ |
14,286,524 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $6,310,531.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(473 |
) |
|||||
Net unrealized depreciation |
$ |
(473 |
) |
||||
Federal income tax cost of investments |
$ |
16,728,413 |
Swap Agreements1
UltraShort Basic Materials had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(7,397,965 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
Dow Jones
U.S. Basic MaterialsSM Index |
$ |
(1,315,316 |
) |
$ |
1,035,316 |
$ |
280,000 |
$ |
— |
|||||||||||||||||||
(10,988,355 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
59,464 |
— |
— |
59,464 |
|||||||||||||||||||||||||
(4,109,728 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Dow Jones
U.S. Basic MaterialsSM Index |
(806,849 |
) |
806,849 |
— |
— |
||||||||||||||||||||||||
(1,510,036 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. Basic MaterialsSM Index |
(526,004 |
) |
254,004 |
272,000 |
— |
||||||||||||||||||||||||
(1,230,391 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones
U.S. Basic MaterialsSM Index |
(137,816 |
) |
30,000 |
— |
(107,816 |
) |
|||||||||||||||||||||||
(3,338,618 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. Basic MaterialsSM Index |
(231,619 |
) |
231,619 |
— |
— |
||||||||||||||||||||||||
$ |
(28,575,093 |
) |
$ |
(2,958,140 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT BASIC MATERIALS SMN :: 95
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 20.5% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
10,000,000 |
0.00%, due 10/15/15 |
$ |
9,990,950 |
|||||||
Total U.S. Government & Agency
Security (Cost $9,991,432) |
9,990,950 |
||||||||||
Repurchase Agreements (a)(b) — 114.4% |
|||||||||||
55,893,549 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $55,893,855 |
55,893,549 |
|||||||||
Total Repurchase Agreements
(Cost $55,893,549) |
55,893,549 |
||||||||||
Total Investment Securities (Cost $65,884,981) — 134.9% |
65,884,499 |
||||||||||
Liabilities in excess of
other assets — (34.9%) |
(17,039,483 |
) |
|||||||||
Net Assets — 100.0% |
$ |
48,845,016 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $9,376,295.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(482 |
) |
|||||
Net unrealized depreciation |
$ |
(482 |
) |
||||
Federal income tax cost of investments |
$ |
65,884,981 |
Swap Agreements1
UltraShort Nasdaq Biotechnology had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(26,190,959 |
) |
11/06/15 |
Bank of America, N.A. |
0.14 |
% |
NASDAQ Biotechnology Index® |
$ |
(10,745,385 |
) |
|||||||||||||||||||||||||
(14,432 |
) |
11/06/15 |
Bank of America, N.A. |
0.62 |
% |
iShares® Nasdaq Biotechnology ETF |
(3,972 |
) |
|||||||||||||||||||||||||||
(26,205,391 |
) |
(10,749,357 |
) |
$ |
1,506,357 |
$ |
9,243,000 |
$ |
— |
||||||||||||||||||||||||||
(30,168 |
) |
12/07/15 |
Citibank, N.A. |
0.88 |
% |
NASDAQ Biotechnology Index® |
(1,078 |
) |
— |
1,078 |
— |
||||||||||||||||||||||||
(2,081,847 |
) |
12/07/15 |
Credit
Suisse International |
0.54 |
% |
NASDAQ Biotechnology Index® |
(74,017 |
) |
74,017 |
— |
— |
||||||||||||||||||||||||
(6,249,837 |
) |
11/06/15 |
Deutsche Bank AG |
0.68 |
% |
NASDAQ Biotechnology Index® |
(4,652,049 |
) |
672,049 |
3,980,000 |
— |
||||||||||||||||||||||||
(127,068 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.44 |
% |
NASDAQ Biotechnology Index® |
(34,988 |
) |
|||||||||||||||||||||||||||
(57,026 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.94 |
% |
iShares® Nasdaq Biotechnology ETF |
(15,079 |
) |
|||||||||||||||||||||||||||
(184,094 |
) |
(50,067 |
) |
— |
30,000 |
(20,067 |
) |
||||||||||||||||||||||||||||
(42,211,889 |
) |
11/06/15 |
Societe Generale |
0.59 |
% |
NASDAQ Biotechnology Index® |
(15,882,778 |
) |
5,056,778 |
10,826,000 |
— |
||||||||||||||||||||||||
(20,731,536 |
) |
12/07/15 |
UBS AG |
0.34 |
% |
NASDAQ Biotechnology Index® |
(1,085,846 |
) |
101,552 |
984,294 |
— |
||||||||||||||||||||||||
$ |
(97,694,762 |
) |
$ |
(32,495,192 |
) |
See accompanying notes to the financial statements.
96 :: BIS ULTRASHORT NASDAQ BIOTECHNOLOGY :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT NASDAQ BIOTECHNOLOGY BIS :: 97
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 92.6% |
|||||||||||
$ |
1,495,843 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,495,850 |
$ |
1,495,843 |
|||||||
Total Repurchase Agreements
(Cost $1,495,843) |
1,495,843 |
||||||||||
Total Investment Securities (Cost $1,495,843) † — 92.6% |
1,495,843 |
||||||||||
Other assets less liabilities — 7.4% |
120,209 |
||||||||||
Net Assets — 100.0% |
$ |
1,616,052 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort Consumer Goods had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,763,792 |
) |
11/06/15 |
Bank of America, N.A. |
(0.11 |
)% |
Dow Jones
U.S. Consumer GoodsSM Index |
$ |
(945,113 |
) |
|||||||||||||||||||||||||
(12,544 |
) |
11/06/15 |
Bank of America, N.A. |
0.35 |
% |
iShares® U.S. Consumer Goods ETF |
(1,608 |
) |
|||||||||||||||||||||||||||
(1,776,336 |
) |
(946,721 |
) |
$ |
— |
$ |
790,005 |
$ |
(156,716 |
) |
|||||||||||||||||||||||||
(8,126 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
(1,883 |
) |
— |
— |
(1,883 |
) |
|||||||||||||||||||||||
(234,824 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Dow Jones
U.S. Consumer GoodsSM Index |
(113,132 |
) |
— |
113,132 |
— |
||||||||||||||||||||||||
(410,957 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.19 |
% |
Dow Jones U.S. Consumer GoodsSM Index |
(123,513 |
) |
|||||||||||||||||||||||||||
(14,818 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.69 |
% |
iShares®
U.S. Consumer Goods ETF |
(1,943 |
) |
|||||||||||||||||||||||||||
(425,775 |
) |
(125,456 |
) |
— |
55,010 |
(70,446 |
) |
||||||||||||||||||||||||||||
(184,257 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones
U.S. Consumer GoodsSM Index |
(146,798 |
) |
— |
146,798 |
— |
||||||||||||||||||||||||
(605,795 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. Consumer GoodsSM Index |
(19,844 |
) |
— |
19,844 |
— |
||||||||||||||||||||||||
$ |
(3,235,113 |
) |
$ |
(1,353,834 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
98 :: SZK ULTRASHORT CONSUMER GOODS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 53.7% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 10/15/15 |
$ |
3,996,380 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,996,573) |
3,996,380 |
||||||||||
Repurchase Agreements (a)(b) — 81.8% |
|||||||||||
6,097,602 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $6,097,635 |
6,097,602 |
|||||||||
Total Repurchase Agreements
(Cost $6,097,602) |
6,097,602 |
||||||||||
Total Investment Securities (Cost $10,094,175) — 135.5% |
10,093,982 |
||||||||||
Liabilities in excess of
other assets — (35.5%) |
(2,642,283 |
) |
|||||||||
Net Assets — 100.0% |
$ |
7,451,699 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $2,518,662.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(193 |
) |
|||||
Net unrealized depreciation |
$ |
(193 |
) |
||||
Federal income tax cost of investments |
$ |
10,094,175 |
Swap Agreements1
UltraShort Consumer Services had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(921,683 |
) |
11/06/15 |
Bank of America, N.A. |
(0.11 |
)% |
Dow Jones
U.S. Consumer ServicesSM Index |
$ |
(575,316 |
) |
|||||||||||||||||||||||||
(16,002 |
) |
11/06/15 |
Bank of America, N.A. |
0.35 |
% |
iShares® U.S. Consumer Services ETF |
(2,227 |
) |
|||||||||||||||||||||||||||
(937,685 |
) |
(577,543 |
) |
$ |
539,499 |
$ |
— |
$ |
(38,044 |
) |
|||||||||||||||||||||||||
(174,338 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Consumer ServicesSM Index |
(9,192 |
) |
— |
— |
(9,192 |
) |
|||||||||||||||||||||||
(4,429,887 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Dow Jones
U.S. Consumer ServicesSM Index |
(707,699 |
) |
666,381 |
— |
(41,318 |
) |
|||||||||||||||||||||||
(2,084,900 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.34 |
% |
Dow Jones U.S. Consumer ServicesSM Index |
(558,941 |
) |
|||||||||||||||||||||||||||
(7,828 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.84 |
% |
iShares®
U.S. Consumer Services ETF |
(1,123 |
) |
|||||||||||||||||||||||||||
(2,092,728 |
) |
(560,064 |
) |
462,571 |
— |
(97,493 |
) |
||||||||||||||||||||||||||||
(3,923,397 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones
U.S. Consumer ServicesSM Index |
(595,035 |
) |
563,477 |
— |
(31,558 |
) |
|||||||||||||||||||||||
(3,349,075 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. Consumer ServicesSM Index |
(164,841 |
) |
164,841 |
— |
— |
||||||||||||||||||||||||
$ |
(14,907,110 |
) |
$ |
(2,614,374 |
) |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT CONSUMER SERVICES SCC :: 99
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
100 :: SCC ULTRASHORT CONSUMER SERVICES :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 104.5% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
13,000,000 |
0.00%, due 12/04/14 |
$ |
12,999,966 |
|||||||
5,000,000 |
0.00%, due 12/11/14 |
4,999,944 |
|||||||||
15,000,000 |
0.00%, due 01/08/15 |
14,999,367 |
|||||||||
31,000,000 |
0.00%, due 10/15/15 |
30,971,945 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $63,972,989) |
63,971,222 |
||||||||||
Repurchase Agreements (a)(b) — 24.6% |
|||||||||||
15,061,379 |
Repurchase Agreements
with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $15,061,461 |
15,061,379 |
|||||||||
Total Repurchase Agreements (Cost $15,061,379) |
15,061,379 |
||||||||||
Total Investment
Securities (Cost $79,034,368) — 129.1% |
79,032,601 |
||||||||||
Liabilities in excess of other assets — (29.1%) |
(17,814,392 |
) |
|||||||||
Net Assets — 100.0% |
$ |
61,218,209 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $30,470,588.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(1,767 |
) |
|||||
Net unrealized depreciation |
$ |
(1,767 |
) |
||||
Federal income tax cost of investments |
$ |
79,034,368 |
Swap Agreements1
UltraShort Financials had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(7,911,053 |
) |
11/06/15 |
Bank of America, N.A. |
(0.16 |
)% |
Dow Jones
U.S. FinancialsSM Index |
$ |
(6,204,142 |
) |
$ |
6,204,142 |
$ |
— |
$ |
— |
|||||||||||||||||||
(25,240,878 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. FinancialsSM Index |
(333,070 |
) |
333,070 |
— |
— |
||||||||||||||||||||||||
(1,512,436 |
) |
11/06/15 |
Deutsche Bank AG |
0.43 |
% |
Dow Jones
U.S. FinancialsSM Index |
(482,191 |
) |
398,996 |
— |
(83,195 |
) |
|||||||||||||||||||||||
(44,654,410 |
) |
12/07/15 |
Goldman Sachs International |
(0.37 |
)% |
Dow Jones U.S. FinancialsSM Index |
(500,351 |
) |
500,351 |
— |
— |
||||||||||||||||||||||||
(6,420,825 |
) |
01/06/16 |
Morgan Stanley
& Co. International PLC |
0.09 |
% |
Dow Jones
U.S. FinancialsSM Index |
(138,994 |
) |
138,994 |
— |
— |
||||||||||||||||||||||||
(31,080,063 |
) |
11/06/15 |
Societe Generale |
(0.01 |
)% |
Dow Jones U.S. FinancialsSM Index |
(4,774,578 |
) |
4,774,578 |
— |
— |
||||||||||||||||||||||||
(5,619,224 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones
U.S. FinancialsSM Index |
(67,237 |
) |
67,237 |
— |
— |
||||||||||||||||||||||||
$ |
(122,438,889 |
) |
$ |
(12,500,563 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT FINANCIALS SKF :: 101
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 68.7% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,000,000 |
0.00%, due 10/15/15 |
$ |
1,998,190 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,998,286) |
1,998,190 |
||||||||||
Repurchase Agreements (a)(b) — 84.2% |
|||||||||||
2,445,425 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $2,445,438 |
2,445,425 |
|||||||||
Total Repurchase Agreements
(Cost $2,445,425) |
2,445,425 |
||||||||||
Total Investment Securities (Cost $4,443,711) — 152.9% |
4,443,615 |
||||||||||
Liabilities in excess of
other assets — (52.9%) |
(1,537,805 |
) |
|||||||||
Net Assets — 100.0% |
$ |
2,905,810 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $1,163,919.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(96 |
) |
|||||
Net unrealized depreciation |
$ |
(96 |
) |
||||
Federal income tax cost of investments |
$ |
4,443,711 |
Swap Agreements1
UltraShort Health Care had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(885,612 |
) |
11/06/15 |
Bank of America, N.A. |
(0.11 |
)% |
Dow Jones
U.S. Health CareSM Index |
$ |
(237,428 |
) |
|||||||||||||||||||||||||
(7,563 |
) |
11/06/15 |
Bank of America, N.A. |
0.35 |
% |
iShares® U.S. Healthcare ETF |
(1,659 |
) |
|||||||||||||||||||||||||||
(893,175 |
) |
(239,087 |
) |
$ |
— |
$ |
— |
$ |
(239,087 |
) |
|||||||||||||||||||||||||
(63,475 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Health CareSM Index |
(1,702 |
) |
— |
— |
(1,702 |
) |
|||||||||||||||||||||||
(1,628,851 |
) |
11/06/15 |
Deutsche Bank AG |
(0.02 |
)% |
Dow Jones U.S.
Health CareSM Index |
(559,588 |
) |
419,610 |
— |
(139,978 |
) |
|||||||||||||||||||||||
(505,542 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. Health CareSM Index |
(530,368 |
) |
|||||||||||||||||||||||||||
(9,535 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
0.64 |
% |
iShares®
U.S. Healthcare ETF |
(2,113 |
) |
|||||||||||||||||||||||||||
(515,077 |
) |
(532,481 |
) |
476,558 |
— |
(55,923 |
) |
||||||||||||||||||||||||||||
(197,261 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S.
Health CareSM Index |
(111,055 |
) |
9,991 |
— |
(101,064 |
) |
|||||||||||||||||||||||
(2,509,056 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. Health CareSM Index |
(73,016 |
) |
73,016 |
— |
— |
||||||||||||||||||||||||
$ |
(5,806,895 |
) |
$ |
(1,516,929 |
) |
See accompanying notes to the financial statements.
102 :: RXD ULTRASHORT HEALTH CARE :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT HEALTH CARE RXD :: 103
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 63.2% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
3,000,000 |
0.00%, due 10/15/15 |
$ |
2,997,285 |
|||||||
Total U.S. Government & Agency
Security (Cost $2,997,482) |
2,997,285 |
||||||||||
Repurchase Agreements (a)(b) — 79.2% |
|||||||||||
3,756,122 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,756,143 |
3,756,122 |
|||||||||
Total Repurchase Agreements
(Cost $3,756,122) |
3,756,122 |
||||||||||
Total Investment Securities (Cost $6,753,604) — 142.4% |
6,753,407 |
||||||||||
Liabilities in excess of
other assets — (42.4%) |
(2,011,393 |
) |
|||||||||
Net Assets — 100.0% |
$ |
4,742,014 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $2,215,943.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(197 |
) |
|||||
Net unrealized depreciation |
$ |
(197 |
) |
||||
Federal income tax cost of investments |
$ |
6,753,604 |
Swap Agreements1
UltraShort Industrials had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(395,848 |
) |
11/06/15 |
Bank of America, N.A. |
(0.11 |
)% |
Dow Jones
U.S. IndustrialsSM Index |
$ |
(74,217 |
) |
|||||||||||||||||||||||||
(15,834 |
) |
11/06/15 |
Bank of America, N.A. |
0.35 |
% |
iShares® U.S. Industrials ETF |
(1,680 |
) |
|||||||||||||||||||||||||||
(411,682 |
) |
(75,897 |
) |
$ |
— |
$ |
— |
$ |
(75,897 |
) |
|||||||||||||||||||||||||
(33,807 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. IndustrialsSM Index |
(411 |
) |
— |
— |
(411 |
) |
|||||||||||||||||||||||
(2,594,680 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Dow Jones
U.S. IndustrialsSM Index |
(737,725 |
) |
737,725 |
— |
— |
||||||||||||||||||||||||
(18,839 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. IndustrialsSM Index |
(13,633 |
) |
|||||||||||||||||||||||||||
(15,480 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.09 |
% |
iShares®
U.S. Industrials ETF |
(1,606 |
) |
|||||||||||||||||||||||||||
(34,319 |
) |
(15,239 |
) |
15,239 |
— |
— |
|||||||||||||||||||||||||||||
(6,196,380 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones
U.S. IndustrialsSM Index |
(1,147,143 |
) |
1,147,143 |
— |
— |
||||||||||||||||||||||||
(212,537 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. IndustrialsSM Index |
(9,882 |
) |
9,882 |
— |
— |
||||||||||||||||||||||||
$ |
(9,483,405 |
) |
$ |
(1,986,297 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
See accompanying notes to the financial statements.
104 :: SIJ ULTRASHORT INDUSTRIALS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT INDUSTRIALS SIJ :: 105
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 62.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
20,000,000 |
0.00%, due 05/14/15 |
$ |
19,994,080 |
|||||||
15,000,000 |
0.00%, due 10/15/15 |
14,986,425 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $34,982,045) |
34,980,505 |
||||||||||
Repurchase Agreements (a)(b) — 26.6% |
|||||||||||
14,770,253 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $14,770,334 |
14,770,253 |
|||||||||
Total Repurchase Agreements (Cost $14,770,253) |
14,770,253 |
||||||||||
Total Investment
Securities (Cost 49,752,298) — 89.4% |
49,750,758 |
||||||||||
Other assets less liabilities — 10.6% |
5,876,881 |
||||||||||
Net Assets — 100.0% |
$ |
55,627,639 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $6,230,216.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(1,540 |
) |
|||||
Net unrealized depreciation |
$ |
(1,540 |
) |
||||
Federal income tax cost of investments |
$ |
49,752,298 |
Swap Agreements1
UltraShort Oil & Gas had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(5,511,212 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
$ |
(534,971 |
) |
|||||||||||||||||||||||||
(6,365 |
) |
11/06/15 |
Bank of America, N.A. |
0.40 |
% |
iShares® U.S. Energy ETF |
452 |
||||||||||||||||||||||||||||
(5,517,577 |
) |
(534,519 |
) |
$ |
— |
$ |
534,519 |
$ |
— |
||||||||||||||||||||||||||
(359,262 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Oil & GasSM Index |
32,586 |
— |
— |
32,586 |
|||||||||||||||||||||||||
(12,856,823 |
) |
11/06/15 |
Deutsche Bank AG |
(0.02 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
198,616 |
— |
(4 |
) |
198,612 |
||||||||||||||||||||||||
(3,038,331 |
) |
12/07/15 |
Goldman Sachs International |
(0.27 |
)% |
Dow Jones U.S. Oil & GasSM Index |
275,621 |
— |
— |
275,621 |
|||||||||||||||||||||||||
(48,125,050 |
) |
11/06/15 |
Morgan Stanley &
Co. International PLC |
(0.06 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
(1,168,081 |
) |
|||||||||||||||||||||||||||
(15,832 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
0.09 |
% |
iShares® U.S. Energy ETF |
1,429 |
||||||||||||||||||||||||||||
(48,140,882 |
) |
(1,166,652 |
) |
1,166,652 |
— |
— |
|||||||||||||||||||||||||||||
(1,476,119 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S. Oil & GasSM Index |
(990,482 |
) |
— |
990,482 |
— |
||||||||||||||||||||||||
(39,925,125 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S.
Oil & GasSM Index |
3,348,825 |
(513,329 |
) |
— |
2,835,496 |
||||||||||||||||||||||||
$ |
(111,314,119 |
) |
$ |
1,163,995 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
See accompanying notes to the financial statements.
106 :: DUG ULTRASHORT OIL & GAS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT OIL & GAS DUG :: 107
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 88.8% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
30,000,000 |
0.00%, due 10/15/15 |
$ |
29,972,850 |
|||||||
Total U.S. Government & Agency
Security (Cost $29,974,913) |
29,972,850 |
||||||||||
Repurchase Agreements (a)(b) — 20.2% |
|||||||||||
6,832,821 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $6,832,858 |
6,832,821 |
|||||||||
Total Repurchase Agreements
(Cost $6,832,821) |
6,832,821 |
||||||||||
Total Investment Securities (Cost $36,807,734) — 109.0% |
36,805,671 |
||||||||||
Liabilities in excess of
other assets — (9.0%) |
(3,050,780 |
) |
|||||||||
Net Assets — 100.0% |
$ |
33,754,891 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $3,539,714.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(2,063 |
) |
|||||
Net unrealized depreciation |
$ |
(2,063 |
) |
||||
Federal income tax cost of investments |
$ |
36,807,734 |
Swap Agreements1
UltraShort Real Estate had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(10,391,944 |
) |
11/06/15 |
Bank of America, N.A. |
(0.21 |
)% |
Dow Jones U.S.
Real EstateSM Index |
$ |
(3,555,821 |
) |
|||||||||||||||||||||||||
(73,726 |
) |
11/06/15 |
Bank of America, N.A. |
0.25 |
% |
iShares® U.S. Real Estate ETF |
(15,461 |
) |
|||||||||||||||||||||||||||
(10,465,670 |
) |
(3,571,282 |
) |
$ |
299,282 |
$ |
3,272,000 |
$ |
— |
||||||||||||||||||||||||||
(616,858 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Real EstateSM Index |
(33,355 |
) |
33,355 |
— |
— |
||||||||||||||||||||||||
(955,134 |
) |
11/06/15 |
Deutsche Bank AG |
0.48 |
% |
Dow Jones U.S.
Real EstateSM Index |
(721,695 |
) |
— |
710,000 |
(11,695 |
) |
|||||||||||||||||||||||
(3,146,747 |
) |
12/07/15 |
Goldman Sachs International |
(0.27 |
)% |
Dow Jones U.S. Real EstateSM Index |
(74,049 |
) |
74,049 |
— |
— |
||||||||||||||||||||||||
(16,887,842 |
) |
01/06/16 |
Morgan Stanley
& Co. International PLC |
0.09 |
% |
Dow Jones U.S.
Real EstateSM Index |
(402,916 |
) |
|||||||||||||||||||||||||||
(63,976 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.94 |
% |
iShares® U.S. Real Estate ETF |
(13,763 |
) |
|||||||||||||||||||||||||||
(16,951,818 |
) |
(416,679 |
) |
282,738 |
81,000 |
(52,941 |
) |
||||||||||||||||||||||||||||
(25,792,141 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S. Real EstateSM Index |
(6,890,869 |
) |
1,312,869 |
5,578,000 |
— |
||||||||||||||||||||||||
(9,586,338 |
) |
12/07/15 |
UBS AG |
0.09 |
% |
Dow Jones U.S.
Real EstateSM Index |
(286,705 |
) |
235,781 |
— |
(50,924 |
) |
|||||||||||||||||||||||
$ |
(67,514,706 |
) |
$ |
(11,994,634 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are
See accompanying notes to the financial statements.
108 :: SRS ULTRASHORT REAL ESTATE :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT REAL ESTATE SRS :: 109
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 108.6% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 10/15/15 |
$ |
3,996,380 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,996,590) |
3,996,380 |
||||||||||
Repurchase Agreements (a)(b) — 87.8% |
|||||||||||
3,230,145 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,230,162 |
3,230,145 |
|||||||||
Total Repurchase Agreements
(Cost $3,230,145) |
3,230,145 |
||||||||||
Total Investment Securities (Cost $7,226,735) — 196.4% |
7,226,525 |
||||||||||
Liabilities in excess of
other assets — (96.4%) |
(3,547,705 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,678,820 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $3,366,874.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(210 |
) |
|||||
Net unrealized depreciation |
$ |
(210 |
) |
||||
Federal income tax cost of investments |
$ |
7,226,735 |
Swap Agreements1
UltraShort Semiconductors had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(3,421,604 |
) |
11/06/15 |
Bank of America, N.A. |
(0.16 |
)% |
Dow Jones U.S.
SemiconductorsSM Index |
$ |
(1,729,564 |
) |
$ |
1,720,403 |
$ |
— |
$ |
(9,161 |
) |
||||||||||||||||||
(22,958 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. SemiconductorsSM Index |
(1,618 |
) |
— |
— |
(1,618 |
) |
|||||||||||||||||||||||
(671,784 |
) |
11/06/15 |
Deutsche Bank AG |
0.08 |
% |
Dow Jones U.S.
SemiconductorsSM Index |
(397,914 |
) |
396,632 |
— |
(1,282 |
) |
|||||||||||||||||||||||
(1,259,119 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. SemiconductorsSM Index |
(667,246 |
) |
572,468 |
— |
(94,778 |
) |
|||||||||||||||||||||||
(1,608,688 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S.
SemiconductorsSM Index |
(702,320 |
) |
595,447 |
— |
(106,873 |
) |
|||||||||||||||||||||||
(373,195 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. SemiconductorsSM Index |
(26,295 |
) |
26,295 |
— |
— |
||||||||||||||||||||||||
$ |
(7,357,348 |
) |
$ |
(3,524,957 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
See accompanying notes to the financial statements.
110 :: SSG ULTRASHORT SEMICONDUCTORS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT SEMICONDUCTORS SSG :: 111
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 80.6% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,500,000 |
0.00%, due 10/15/15 |
$ |
4,495,927 |
|||||||
Total U.S. Government & Agency
Security (Cost $4,496,254) |
4,495,927 |
||||||||||
Repurchase Agreements (a)(b) — 65.4% |
|||||||||||
3,650,933 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,650,952 |
3,650,933 |
|||||||||
Total Repurchase Agreements
(Cost $3,650,933) |
3,650,933 |
||||||||||
Total Investment Securities (Cost $8,147,187) — 146.0% |
8,146,860 |
||||||||||
Liabilities in excess of
other assets — (46.0%) |
(2,566,575 |
) |
|||||||||
Net Assets — 100.0% |
$ |
5,580,285 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $2,443,731.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(327 |
) |
|||||
Net unrealized depreciation |
$ |
(327 |
) |
||||
Federal income tax cost of investments |
$ |
8,147,187 |
Swap Agreements1
UltraShort Technology had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,878,788 |
) |
11/06/15 |
Bank of America, N.A. |
(0.16 |
)% |
Dow Jones U.S.
TechnologySM Index |
$ |
(308,931 |
) |
|||||||||||||||||||||||||
(13,626 |
) |
11/06/15 |
Bank of America, N.A. |
0.30 |
% |
iShares® U.S. Technology ETF |
(2,836 |
) |
|||||||||||||||||||||||||||
(1,892,414 |
) |
(311,767 |
) |
$ |
259,759 |
$ |
— |
$ |
(52,008 |
) |
|||||||||||||||||||||||||
(362,036 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. TechnologySM Index |
(15,722 |
) |
— |
— |
(15,722 |
) |
|||||||||||||||||||||||
(526,770 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Dow Jones U.S.
TechnologySM Index |
(211,279 |
) |
146,863 |
— |
(64,416 |
) |
|||||||||||||||||||||||
(55,579 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. TechnologySM Index |
(11,734 |
) |
|||||||||||||||||||||||||||
(9,628 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.09 |
% |
iShares® U.S.
Technology ETF |
(1,988 |
) |
|||||||||||||||||||||||||||
(65,207 |
) |
(13,722 |
) |
9,991 |
— |
(3,731 |
) |
||||||||||||||||||||||||||||
(5,334,187 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S.
TechnologySM Index |
(1,839,144 |
) |
1,814,316 |
— |
(24,828 |
) |
|||||||||||||||||||||||
(2,976,772 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. TechnologySM Index |
(151,194 |
) |
151,194 |
— |
— |
||||||||||||||||||||||||
$ |
(11,157,386 |
) |
$ |
(2,542,828 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
See accompanying notes to the financial statements.
112 :: REW ULTRASHORT TECHNOLOGY :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT TECHNOLOGY REW :: 113
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 81.9% |
|||||||||||
$ |
113,600 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $113,600 |
$ |
113,600 |
|||||||
Total Repurchase Agreements
(Cost $113,600) |
113,600 |
||||||||||
Total Investment Securities (Cost $113,600) † — 81.9% |
113,600 |
||||||||||
Other assets less liabilities — 18.1% |
25,112 |
||||||||||
Net Assets — 100.0% |
$ |
138,712 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort Telecommunications had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(56,184 |
) |
11/06/15 |
Bank of America, N.A. |
0.19 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
$ |
(52,701 |
) |
|||||||||||||||||||||||||
(6,542 |
) |
11/06/15 |
Bank of America, N.A. |
0.65 |
% |
iShares® U.S. Telecommunications ETF |
(951 |
) |
|||||||||||||||||||||||||||
(62,726 |
) |
(53,652 |
) |
$ |
— |
$ |
— |
$ |
(53,652 |
) |
|||||||||||||||||||||||||
(12,580 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(843 |
) |
— |
— |
(843 |
) |
|||||||||||||||||||||||
(3,451 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(2,862 |
) |
— |
2,862 |
— |
||||||||||||||||||||||||
(10,356 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.64 |
% |
iShares® U.S. Telecommunications ETF |
(1,080 |
) |
|||||||||||||||||||||||||||
(9,943 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(18,389 |
) |
|||||||||||||||||||||||||||
(20,299 |
) |
(19,469 |
) |
— |
18,352 |
(1,117 |
) |
||||||||||||||||||||||||||||
(137,170 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(68,728 |
) |
— |
60,202 |
(8,526 |
) |
|||||||||||||||||||||||
(41,393 |
) |
12/07/15 |
UBS AG |
0.24 |
% |
Dow Jones U.S. Select TelecommunicationsSM Index |
(1,372 |
) |
— |
1,372 |
— |
||||||||||||||||||||||||
$ |
(277,619 |
) |
$ |
(146,926 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
See accompanying notes to the financial statements.
114 :: TLL ULTRASHORT TELECOMMUNICATIONS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT TELECOMMUNICATIONS TLL :: 115
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 55.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
1,700,000 |
0.00%, due 12/11/14 |
$ |
1,699,993 |
|||||||
1,500,000 |
0.00%, due 10/15/15 |
1,498,642 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $3,198,721) |
3,198,635 |
||||||||||
Repurchase Agreements (a)(b) — 67.3% |
|||||||||||
3,910,188 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,910,209 |
3,910,188 |
|||||||||
Total Repurchase Agreements (Cost $3,910,188) |
3,910,188 |
||||||||||
Total Investment
Securities (Cost $7,108,909) — 122.3% |
7,108,823 |
||||||||||
Liabilities in excess of other assets — (22.3%) |
(1,295,971 |
) |
|||||||||
Net Assets — 100.0% |
$ |
5,812,852 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $2,101,864.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(86 |
) |
|||||
Net unrealized depreciation |
$ |
(86 |
) |
||||
Federal income tax cost of investments |
$ |
7,108,909 |
Swap Agreements1
UltraShort Utilities had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,842,876 |
) |
11/06/15 |
Bank of America, N.A. |
(0.06 |
)% |
Dow Jones U.S.
UtilitiesSM Index |
$ |
(823,321 |
) |
$ |
823,321 |
$ |
— |
$ |
— |
|||||||||||||||||||
(6,793,115 |
) |
12/07/15 |
Credit Suisse International |
(0.26 |
)% |
Dow Jones U.S. UtilitiesSM Index |
(45,384 |
) |
45,384 |
— |
— |
||||||||||||||||||||||||
(160,961 |
) |
11/06/15 |
Deutsche Bank AG |
0.28 |
% |
Dow Jones U.S.
UtilitiesSM Index |
(54,949 |
) |
54,949 |
— |
— |
||||||||||||||||||||||||
(111,975 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.14 |
% |
Dow Jones U.S. UtilitiesSM Index |
(36,969 |
) |
36,969 |
— |
— |
||||||||||||||||||||||||
(717,285 |
) |
11/06/15 |
Societe Generale |
0.09 |
% |
Dow Jones U.S.
UtilitiesSM Index |
(299,222 |
) |
69,999 |
— |
(229,223 |
) |
|||||||||||||||||||||||
(1,006,363 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S. UtilitiesSM Index |
(13,122 |
) |
13,122 |
— |
— |
||||||||||||||||||||||||
$ |
(11,632,575 |
) |
$ |
(1,272,967 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
116 :: SDP ULTRASHORT UTILITIES :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 100.7% |
|||||||||||
$ |
3,323,318 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,323,336 |
$ |
3,323,318 |
|||||||
Total Repurchase Agreements
(Cost $3,323,318) |
3,323,318 |
||||||||||
Total Investment Securities (Cost $3,323,318) † — 100.7% |
3,323,318 |
||||||||||
Liabilities in excess of
other assets — (0.7%) |
(23,818 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,299,500 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraPro Short Financials had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,690,700 |
) |
11/06/15 |
Bank of America, N.A. |
(0.16 |
)% |
Dow Jones U.S.
FinancialsSM Index |
$ |
(640,395 |
) |
|||||||||||||||||||||||||
(7,862 |
) |
11/06/15 |
Bank of America, N.A. |
0.30 |
% |
iShares® U.S. Financials ETF |
(1,074 |
) |
|||||||||||||||||||||||||||
(1,698,562 |
) |
(641,469 |
) |
$ |
— |
$ |
540,003 |
$ |
(101,466 |
) |
|||||||||||||||||||||||||
(48,541 |
) |
11/06/15 |
Deutsche Bank AG |
0.43 |
% |
Dow Jones U.S. FinancialsSM Index |
(16,218 |
) |
|||||||||||||||||||||||||||
(29,471 |
) |
11/07/16 |
Deutsche Bank AG |
0.48 |
% |
iShares® U.S.
Financials ETF |
(339 |
) |
|||||||||||||||||||||||||||
(78,012 |
) |
(16,557 |
) |
— |
16,557 |
— |
|||||||||||||||||||||||||||||
(5,797,961 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.09 |
% |
Dow Jones U.S.
FinancialsSM Index |
(1,077,355 |
) |
|||||||||||||||||||||||||||
(17,966 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
0.09 |
% |
iShares® U.S. Financials ETF |
(202 |
) |
|||||||||||||||||||||||||||
(5,815,927 |
) |
(1,077,557 |
) |
— |
968,005 |
(109,552 |
) |
||||||||||||||||||||||||||||
(1,363,628 |
) |
11/06/15 |
Societe Generale |
(0.01 |
)% |
Dow Jones U.S. FinancialsSM Index |
(166,703 |
) |
— |
— |
(166,703 |
) |
|||||||||||||||||||||||
(938,921 |
) |
12/07/15 |
UBS AG |
(0.06 |
)% |
Dow Jones U.S.
FinancialsSM Index |
(13,104 |
) |
— |
13,104 |
— |
||||||||||||||||||||||||
$ |
(9,895,050 |
) |
$ |
(1,915,390 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO SHORT FINANCIALS FINZ :: 117
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 29.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 12/04/14 |
$ |
4,999,987 |
|||||||
5,000,000 |
0.00%, due 01/08/15 |
4,999,789 |
|||||||||
55,000,000 |
0.00%, due 01/15/15 |
54,997,525 |
|||||||||
16,000,000 |
0.00%, due 04/16/15 |
15,997,280 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $80,994,883) |
80,994,581 |
||||||||||
Repurchase Agreements (a)(b) — 74.3% |
|||||||||||
201,717,109 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $201,718,212 |
201,717,109 |
|||||||||
Total Repurchase Agreements (Cost $201,717,109) |
201,717,109 |
||||||||||
Total Investment
Securities (Cost $282,711,992) — 104.1% |
282,711,690 |
||||||||||
Liabilities in excess of other assets — (4.1%) |
(11,067,458 |
) |
|||||||||
Net Assets — 100.0% |
$ |
271,644,232 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $39,089,730.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(302 |
) |
|||||
Net unrealized depreciation |
$ |
(302 |
) |
||||
Federal income tax cost of investments |
$ |
282,711,992 |
Swap Agreements1,4
Short MSCI EAFE had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(135,473,758 |
) |
11/06/15 |
Credit Suisse
International |
0.14 |
% |
iShares® MSCI
EAFE ETF |
$ |
(2,072,233 |
) |
$ |
2,072,233 |
$ |
— |
$ |
— |
|||||||||||||||||||
(23,633,310 |
) |
11/07/16 |
Deutsche Bank AG |
0.38 |
% |
iShares® MSCI EAFE ETF |
(235,055 |
) |
235,055 |
— |
— |
||||||||||||||||||||||||
(94,377,158 |
) |
11/06/15 |
Goldman Sachs
International |
(0.12 |
)% |
iShares® MSCI
EAFE ETF |
74,082 |
— |
— |
74,082 |
|||||||||||||||||||||||||
(3,060,131 |
) |
11/07/16 |
Societe Generale |
0.44 |
% |
iShares® MSCI EAFE ETF |
(56,730 |
) |
56,730 |
— |
— |
||||||||||||||||||||||||
(14,908,134 |
) |
11/06/15 |
UBS AG |
0.24 |
% |
iShares® MSCI
EAFE ETF |
(310,030 |
) |
310,030 |
— |
— |
||||||||||||||||||||||||
$ |
(271,452,491 |
) |
$ |
(2,599,966 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
118 :: EFZ SHORT MSCI EAFE :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 86.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
48,000,000 |
0.00%, due 12/04/14 |
$ |
47,999,876 |
|||||||
60,000,000 |
0.00%, due 01/08/15 |
59,997,467 |
|||||||||
60,000,000 |
0.00%, due 10/15/15 |
59,945,700 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $167,946,463) |
167,943,043 |
||||||||||
Repurchase Agreements (a)(b) — 21.4% |
|||||||||||
41,887,397 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $41,887,625 |
41,887,397 |
|||||||||
Total Repurchase Agreements
(Cost $41,887,397) |
41,887,397 |
||||||||||
Total Investment Securities (Cost $209,833,860) — 107.4% |
209,830,440 |
||||||||||
Liabilities in excess of
other assets — (7.4%) |
(14,505,035 |
) |
|||||||||
Net Assets — 100.0% |
$ |
195,325,405 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $34,967,905.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(3,420 |
) |
|||||
Net unrealized depreciation |
$ |
(3,420 |
) |
||||
Federal income tax cost of investments |
$ |
209,833,860 |
Swap Agreements1,4
Short MSCI Emerging Markets had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,785,389 |
) |
11/06/15 |
Bank of America, N.A. |
0.84 |
% |
iShares® MSCI
Emerging Markets ETF |
$ |
(581,588 |
) |
$ |
581,588 |
$ |
— |
$ |
— |
|||||||||||||||||||
(20,587,486 |
) |
11/06/15 |
Credit Suisse International |
0.44 |
% |
iShares® MSCI Emerging Markets ETF |
(1,595,682 |
) |
1,595,682 |
— |
— |
||||||||||||||||||||||||
(22,277,762 |
) |
11/06/15 |
Deutsche Bank AG |
0.98 |
% |
iShares® MSCI
Emerging Markets ETF |
386,739 |
— |
(250,002 |
) |
136,737 |
||||||||||||||||||||||||
(52,660,354 |
) |
11/06/15 |
Goldman Sachs International |
0.18 |
% |
iShares® MSCI Emerging Markets ETF |
(8,918,748 |
) |
8,918,748 |
— |
— |
||||||||||||||||||||||||
(3,777,033 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.84 |
% |
iShares® MSCI
Emerging Markets ETF |
52,867 |
— |
— |
52,867 |
|||||||||||||||||||||||||
(79,317,019 |
) |
11/07/16 |
Societe Generale |
0.59 |
% |
iShares® MSCI Emerging Markets ETF |
(1,058,654 |
) |
1,058,654 |
— |
— |
||||||||||||||||||||||||
(13,951,398 |
) |
11/06/15 |
UBS AG |
1.09 |
% |
iShares® MSCI
Emerging Markets ETF |
(1,324,961 |
) |
1,324,961 |
— |
— |
||||||||||||||||||||||||
$ |
(195,356,441 |
) |
$ |
(13,040,027 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT MSCI EMERGING MARKETS EUM :: 119
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
120 :: EUM SHORT MSCI EMERGING MARKETS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 56.3% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,500,000 |
0.00%, due 10/15/15 |
$ |
2,497,738 |
|||||||
Total U.S. Government & Agency
Security (Cost $2,497,858) |
2,497,738 |
||||||||||
Repurchase Agreements (a)(b) — 43.0% |
|||||||||||
1,908,194 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,908,203 |
1,908,194 |
|||||||||
Total Repurchase Agreements
(Cost $1,908,194) |
1,908,194 |
||||||||||
Total Investment Securities (Cost $4,406,052) — 99.3% |
4,405,932 |
||||||||||
Other assets less liabilities — 0.7% |
29,848 |
||||||||||
Net Assets — 100.0% |
$ |
4,435,780 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $278,741.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(120 |
) |
|||||
Net unrealized depreciation |
$ |
(120 |
) |
||||
Federal income tax cost of investments |
$ |
4,406,052 |
Swap Agreements1,4
Short FTSE China 50 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(454,439 |
) |
11/06/15 |
Bank of America, N.A. |
0.84 |
% |
iShares® China
Large-Cap ETF |
$ |
(17,867 |
) |
$ |
— |
$ |
— |
$ |
(17,867 |
) |
||||||||||||||||||
(1,865,002 |
) |
11/07/16 |
Deutsche Bank AG |
2.13 |
% |
iShares® China Large-Cap ETF |
(70,603 |
) |
70,603 |
— |
— |
||||||||||||||||||||||||
(1,046,398 |
) |
01/06/16 |
Goldman Sachs
International |
0.08 |
% |
iShares® China
Large-Cap ETF |
(25,148 |
) |
— |
25,148 |
— |
||||||||||||||||||||||||
(215,884 |
) |
11/06/15 |
Societe Generale |
0.84 |
% |
iShares® China Large-Cap ETF |
(34,627 |
) |
9,991 |
— |
(24,636 |
) |
|||||||||||||||||||||||
(865,454 |
) |
11/07/16 |
UBS AG |
1.59 |
% |
iShares® China
Large-Cap ETF |
(26,357 |
) |
26,357 |
— |
— |
||||||||||||||||||||||||
$ |
(4,447,177 |
) |
$ |
(174,602 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT FTSE CHINA 50 YXI :: 121
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 35.2% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
2,000,000 |
0.00%, due 10/15/15 |
$ |
1,998,190 |
|||||||
Total U.S. Government & Agency
Security (Cost $1,998,286) |
1,998,190 |
||||||||||
Repurchase Agreements (a)(b) — 66.3% |
|||||||||||
3,768,412 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,768,433 |
3,768,412 |
|||||||||
Total Repurchase Agreements
(Cost $3,768,412) |
3,768,412 |
||||||||||
Total Investment Securities (Cost $5,766,698) — 101.5% |
5,766,602 |
||||||||||
Liabilities in excess of
other assets — (1.5%) |
(84,734 |
) |
|||||||||
Net Assets — 100.0% |
$ |
5,681,868 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $1,057,019.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(96 |
) |
|||||
Net unrealized depreciation |
$ |
(96 |
) |
||||
Federal income tax cost of investments |
$ |
5,766,698 |
Swap Agreements1,4
UltraShort MSCI EAFE had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(4,162,867 |
) |
11/06/15 |
Credit Suisse
International |
0.14 |
% |
iShares® MSCI
EAFE ETF |
$ |
64,536 |
$ |
— |
$ |
— |
$ |
64,536 |
||||||||||||||||||||
(6,268,887 |
) |
11/06/15 |
Deutsche Bank AG |
0.38 |
% |
iShares® MSCI EAFE ETF |
(127,270 |
) |
69,270 |
58,000 |
— |
||||||||||||||||||||||||
(209,055 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
iShares® MSCI
EAFE ETF |
(19,364 |
) |
— |
19,364 |
— |
||||||||||||||||||||||||
(725,426 |
) |
11/06/15 |
UBS AG |
0.24 |
% |
iShares® MSCI EAFE ETF |
(76,375 |
) |
76,375 |
— |
— |
||||||||||||||||||||||||
$ |
(11,366,235 |
) |
$ |
(158,473 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
122 :: EFU ULTRASHORT MSCI EAFE :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 84.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
8,000,000 |
0.00%, due 12/04/14 |
$ |
7,999,979 |
|||||||
9,000,000 |
0.00%, due 01/15/15 |
8,999,550 |
|||||||||
20,000,000 |
0.00%, due 10/15/15 |
19,981,900 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $36,982,569) |
36,981,429 |
||||||||||
Repurchase Agreements (a)(b) — 27.2% |
|||||||||||
11,883,386 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $11,883,452 |
11,883,386 |
|||||||||
Total Repurchase Agreements
(Cost $11,883,386) |
11,883,386 |
||||||||||
Total Investment Securities (Cost $48,865,955) — 112.0% |
48,864,815 |
||||||||||
Liabilities in excess of
other assets — (12.0%) |
(5,253,509 |
) |
|||||||||
Net Assets — 100.0% |
$ |
43,611,306 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $15,352,518.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(1,140 |
) |
|||||
Net unrealized depreciation |
$ |
(1,140 |
) |
||||
Federal income tax cost of investments |
$ |
48,865,955 |
Swap Agreements1,4
UltraShort MSCI Emerging Markets had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(13,259,374 |
) |
11/06/15 |
Credit Suisse
International |
0.44 |
% |
iShares® MSCI
Emerging Markets ETF |
$ |
(1,472,407 |
) |
$ |
1,472,407 |
$ |
— |
$ |
— |
|||||||||||||||||||
(24,535,221 |
) |
11/06/15 |
Deutsche Bank AG |
0.98 |
% |
iShares® MSCI Emerging Markets ETF |
(27,141 |
) |
27,141 |
— |
— |
||||||||||||||||||||||||
(19,094,356 |
) |
11/06/15 |
Goldman Sachs
International |
0.18 |
% |
iShares® MSCI
Emerging Markets ETF |
(2,956,279 |
) |
2,956,279 |
— |
— |
||||||||||||||||||||||||
(20,732,934 |
) |
11/07/16 |
Societe Generale |
0.59 |
% |
iShares® MSCI Emerging Markets ETF |
(276,725 |
) |
276,725 |
— |
— |
||||||||||||||||||||||||
(9,432,980 |
) |
11/06/15 |
UBS AG |
1.09 |
% |
iShares® MSCI
Emerging Markets ETF |
(464,462 |
) |
464,462 |
— |
— |
||||||||||||||||||||||||
$ |
(87,054,865 |
) |
$ |
(5,197,014 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT MSCI EMERGING MARKETS EEV :: 123
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
124 :: EEV ULTRASHORT MSCI EMERGING MARKETS :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 42.7% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
8,000,000 |
0.00%, due 12/04/14 |
$ |
7,999,979 |
|||||||
1,500,000 |
0.00%, due 12/11/14 |
1,499,989 |
|||||||||
7,000,000 |
0.00%, due 10/15/15 |
6,993,665 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $16,494,059) |
16,493,633 |
||||||||||
Repurchase Agreements (a)(b) — 67.0% |
|||||||||||
25,855,677 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $25,855,818 |
25,855,677 |
|||||||||
Total Repurchase Agreements
(Cost $25,855,677) |
25,855,677 |
||||||||||
Total Investment Securities (Cost $42,349,736) — 109.7% |
42,349,310 |
||||||||||
Liabilities in excess of
other assets — (9.7%) |
(3,760,369 |
) |
|||||||||
Net Assets — 100.0% |
$ |
38,588,941 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $9,993,759.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(426 |
) |
|||||
Net unrealized depreciation |
$ |
(426 |
) |
||||
Federal income tax cost of investments |
$ |
42,349,736 |
Swap Agreements1,4
UltraShort FTSE Europe had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(9,567,756 |
) |
11/06/15 |
Credit Suisse
International |
2.34 |
% |
Vanguard® FTSE
Europe ETF Shares |
$ |
(1,128,768 |
) |
$ |
1,128,768 |
$ |
— |
$ |
— |
|||||||||||||||||||
(19,720,783 |
) |
11/06/15 |
Deutsche Bank AG |
2.73 |
% |
Vanguard® FTSE Europe ETF Shares |
(1,750,069 |
) |
1,750,069 |
— |
— |
||||||||||||||||||||||||
(4,807,319 |
) |
11/06/15 |
Goldman Sachs
International |
0.68 |
% |
Vanguard® FTSE
Europe ETF Shares |
(346,131 |
) |
346,131 |
— |
— |
||||||||||||||||||||||||
(20,182,915 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
2.59 |
% |
Vanguard® FTSE Europe ETF Shares |
(713,323 |
) |
713,323 |
— |
— |
||||||||||||||||||||||||
(7,027,106 |
) |
11/07/16 |
Societe Generale |
0.84 |
% |
Vanguard® FTSE
Europe ETF Shares |
(230,863 |
) |
156,863 |
74,000 |
— |
||||||||||||||||||||||||
(16,136,500 |
) |
11/07/16 |
UBS AG |
0.34 |
% |
Vanguard® FTSE Europe ETF Shares |
(461,693 |
) |
— |
461,693 |
— |
||||||||||||||||||||||||
$ |
(77,442,379 |
) |
$ |
(4,630,847 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT FTSE EUROPE EPV :: 125
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
126 :: EPV ULTRASHORT FTSE EUROPE :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 64.4% |
|||||||||||
$ |
1,469,010 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,469,017 |
$ |
1,469,010 |
|||||||
Total Repurchase Agreements
(Cost $1,469,010) |
1,469,010 |
||||||||||
Total Investment Securities (Cost $1,469,010) † — 64.4% |
1,469,010 |
||||||||||
Other assets less liabilities — 35.6% |
810,668 |
||||||||||
Net Assets — 100.0% |
$ |
2,279,678 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,4
UltraShort MSCI Pacific ex-Japan had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,654,972 |
) |
11/06/15 |
Credit Suisse
International |
0.59 |
% |
iShares® MSCI
Pacific ex Japan ETF |
$ |
2,875 |
$ |
— |
$ |
— |
$ |
2,875 |
||||||||||||||||||||
(1,554,801 |
) |
11/07/16 |
Deutsche Bank AG |
0.63 |
% |
iShares® MSCI Pacific ex Japan ETF |
33,717 |
— |
— |
33,717 |
|||||||||||||||||||||||||
(418,376 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.24 |
% |
iShares® MSCI
Pacific ex Japan ETF |
(23,365 |
) |
— |
23,365 |
— |
||||||||||||||||||||||||
(229,856 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
iShares® MSCI Pacific ex Japan ETF |
(4,133 |
) |
— |
4,133 |
— |
||||||||||||||||||||||||
(707,622 |
) |
11/07/16 |
UBS AG |
0.59 |
% |
iShares® MSCI
Pacific ex Japan ETF |
11,070 |
— |
— |
11,070 |
|||||||||||||||||||||||||
$ |
(4,565,627 |
) |
$ |
20,164 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT MSCI PACIFIC EX-JAPAN JPX :: 127
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 61.6% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
4,000,000 |
0.00%, due 12/11/14 |
$ |
3,999,966 |
|||||||
5,292,000 |
0.00%, due 02/12/15 |
5,292,000 |
|||||||||
6,000,000 |
0.00%, due 10/15/15 |
5,994,570 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $15,286,631) |
15,286,536 |
||||||||||
Repurchase Agreements (a)(b) — 18.5% |
|||||||||||
4,585,189 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $4,585,215 |
4,585,189 |
|||||||||
Total Repurchase Agreements
(Cost $4,585,189) |
4,585,189 |
||||||||||
Total Investment Securities (Cost $19,871,820) — 80.1% |
19,871,725 |
||||||||||
Other assets less liabilities — 19.9% |
4,936,959 |
||||||||||
Net Assets — 100.0% |
$ |
24,808,684 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $8,983,303.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
247 |
|||||
Aggregate gross unrealized depreciation |
(342 |
) |
|||||
Net unrealized depreciation |
$ |
(95 |
) |
||||
Federal income tax cost of investments |
$ |
19,871,820 |
Swap Agreements1,4
UltraShort MSCI Brazil Capped had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(3,331,931 |
) |
11/06/15 |
Bank of America, N.A. |
0.29 |
% |
iShares® MSCI Brazil
Capped ETF |
$ |
326,528 |
$ |
(326,528 |
) |
$ |
— |
$ |
— |
|||||||||||||||||||
(18,200,853 |
) |
11/06/15 |
Credit Suisse International |
0.24 |
% |
iShares® MSCI Brazil Capped ETF |
(634,075 |
) |
634,075 |
— |
— |
||||||||||||||||||||||||
(13,712,958 |
) |
11/07/16 |
Deutsche Bank AG |
0.33 |
% |
iShares® MSCI Brazil
Capped ETF |
53,661 |
— |
— |
53,661 |
|||||||||||||||||||||||||
(3,601,586 |
) |
12/07/15 |
Morgan Stanley & Co. International PLC |
0.29 |
% |
iShares® MSCI Brazil Capped ETF |
(403,063 |
) |
403,063 |
— |
— |
||||||||||||||||||||||||
(1,908,461 |
) |
11/06/15 |
Societe Generale |
0.84 |
% |
iShares® MSCI Brazil
Capped ETF |
312,128 |
— |
(270,000 |
) |
42,128 |
||||||||||||||||||||||||
(8,931,656 |
) |
11/06/15 |
UBS AG |
0.34 |
% |
iShares® MSCI Brazil Capped ETF |
(1,080,989 |
) |
1,080,989 |
— |
— |
||||||||||||||||||||||||
$ |
(49,687,445 |
) |
$ |
(1,425,810 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
128 :: BZQ ULTRASHORT MSCI BRAZIL CAPPED :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 118.7% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
21,000,000 |
0.00%, due 01/08/15 |
$ |
20,999,113 |
|||||||
10,000,000 |
0.00%, due 01/29/15 |
9,999,689 |
|||||||||
10,000,000 |
0.00%, due 05/21/15 |
9,996,910 |
|||||||||
40,000,000 |
0.00%, due 09/17/15 |
39,967,760 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $80,974,154) |
80,963,472 |
||||||||||
Repurchase Agreements (a)(b) — 19.0% |
|||||||||||
12,923,685 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $12,923,756 |
12,923,685 |
|||||||||
Total Repurchase Agreements (Cost $12,923,685) |
12,923,685 |
||||||||||
Total Investment
Securities (Cost $93,897,839) — 137.7% |
93,887,157 |
||||||||||
Liabilities in excess of other assets — (37.7%) |
(25,697,799 |
) |
|||||||||
Net Assets — 100.0% |
$ |
68,189,358 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $39,343,839.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(10,682 |
) |
|||||
Net unrealized depreciation |
$ |
(10,682 |
) |
||||
Federal income tax cost of investments |
$ |
93,897,839 |
Swap Agreements1,4
UltraShort FTSE China 50 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(9,682,897 |
) |
11/06/15 |
Bank of America, N.A. |
0.84 |
% |
iShares® China
Large-Cap ETF |
$ |
(629,891 |
) |
$ |
629,891 |
$ |
— |
$ |
— |
|||||||||||||||||||
(3,855,772 |
) |
11/06/15 |
Credit Suisse International |
2.84 |
% |
iShares® China Large-Cap ETF |
(63,741 |
) |
63,741 |
— |
— |
||||||||||||||||||||||||
(10,275,351 |
) |
11/07/16 |
Deutsche Bank AG |
2.13 |
% |
iShares® China
Large-Cap ETF |
(478,644 |
) |
478,644 |
— |
— |
||||||||||||||||||||||||
(45,758,476 |
) |
11/06/15 |
Goldman Sachs International |
0.08 |
% |
iShares® China Large-Cap ETF |
(14,786,058 |
) |
14,786,058 |
— |
— |
||||||||||||||||||||||||
(9,033,598 |
) |
11/07/16 |
Morgan Stanley & Co. International PLC |
0.84 |
% |
iShares® China
Large-Cap ETF |
(239,230 |
) |
232,230 |
7,000 |
— |
||||||||||||||||||||||||
(33,365,023 |
) |
11/06/15 |
Societe Generale |
0.84 |
% |
iShares® China Large-Cap ETF |
(6,533,403 |
) |
6,533,403 |
— |
— |
||||||||||||||||||||||||
(24,772,365 |
) |
11/06/15 |
UBS AG |
1.59 |
% |
iShares® China
Large-Cap ETF |
(2,875,014 |
) |
2,875,014 |
— |
— |
||||||||||||||||||||||||
$ |
(136,743,482 |
) |
$ |
(25,605,981 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT FTSE CHINA 50 FXP :: 129
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
130 :: FXP ULTRASHORT FTSE CHINA 50 :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security — 24.0% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
3,000,000 |
0.00%, due 10/15/15 |
$ |
2,997,285 |
|||||||
Total U.S. Government & Agency
Security (Cost $2,997,509) |
2,997,285 |
||||||||||
Repurchase Agreements (a) — 59.2% |
|||||||||||
7,390,497 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $7,390,538 |
7,390,497 |
|||||||||
Total Repurchase Agreements
(Cost $7,390,497) |
7,390,497 |
||||||||||
Total Investment Securities (Cost $10,388,006) — 83.2% |
10,387,782 |
||||||||||
Other assets less liabilities — 16.8% |
2,095,149 |
||||||||||
Net Assets — 100.0% |
$ |
12,482,931 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(224 |
) |
|||||
Net unrealized depreciation |
$ |
(224 |
) |
||||
Federal income tax cost of investments |
$ |
10,388,006 |
Swap Agreements1,4
UltraShort MSCI Japan had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,500,429 |
) |
11/06/15 |
Bank of America, N.A. |
2.09 |
% |
iShares® MSCI
Japan ETF |
$ |
(12,211 |
) |
$ |
— |
$ |
— |
$ |
(12,211 |
) |
||||||||||||||||||
(4,369,575 |
) |
11/06/15 |
Credit Suisse International |
0.59 |
% |
iShares® MSCI Japan ETF |
(18,383 |
) |
— |
18,383 |
— |
||||||||||||||||||||||||
(10,891,780 |
) |
11/06/15 |
Deutsche Bank AG |
0.18 |
% |
iShares® MSCI
Japan ETF |
(560,889 |
) |
— |
560,889 |
— |
||||||||||||||||||||||||
(1,340,715 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
1.84 |
% |
iShares® MSCI Japan ETF |
(5,657 |
) |
— |
5,657 |
— |
||||||||||||||||||||||||
(4,535,659 |
) |
11/06/15 |
Societe Generale |
0.44 |
% |
iShares® MSCI
Japan ETF |
(22,269 |
) |
— |
22,269 |
— |
||||||||||||||||||||||||
(2,260,224 |
) |
11/06/15 |
UBS AG |
1.34 |
% |
iShares® MSCI Japan ETF |
(106,590 |
) |
— |
106,590 |
— |
||||||||||||||||||||||||
$ |
(24,898,382 |
) |
$ |
(725,999 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT MSCI JAPAN EWV :: 131
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 66.8% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
700,000 |
0.00%, due 10/15/15 |
$ |
699,366 |
|||||||
Total U.S. Government & Agency
Security (Cost $699,417) |
699,366 |
||||||||||
Repurchase Agreements (a)(b) — 58.1% |
|||||||||||
608,634 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $608,636 |
608,634 |
|||||||||
Total Repurchase Agreements
(Cost $608,634) |
608,634 |
||||||||||
Total Investment Securities (Cost $1,308,051) — 124.9% |
1,308,000 |
||||||||||
Liabilities in excess of
other assets — (24.9%) |
(260,415 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,047,585 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $213,802.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(51 |
) |
|||||
Net unrealized depreciation |
$ |
(51 |
) |
||||
Federal income tax cost of investments |
$ |
1,308,051 |
Swap Agreements1,4
UltraShort MSCI Mexico Capped IMI had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(240,094 |
) |
11/06/15 |
Credit Suisse
International |
1.34 |
% |
iShares® MSCI
Mexico Capped ETF |
$ |
(1,150 |
) |
$ |
— |
$ |
— |
$ |
(1,150 |
) |
||||||||||||||||||
(604,034 |
) |
04/06/15 |
Deutsche Bank AG |
1.18 |
% |
iShares® MSCI Mexico Capped ETF |
(134,351 |
) |
134,351 |
— |
— |
||||||||||||||||||||||||
(1,254,785 |
) |
11/06/15 |
Societe Generale |
0.84 |
% |
iShares® MSCI
Mexico Capped ETF |
(104,211 |
) |
30,971 |
— |
(73,240 |
) |
|||||||||||||||||||||||
$ |
(2,098,913 |
) |
$ |
(239,712 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation of these swap transactions as of close of business New York time, one or more financial products traded on a U.S. exchange are used as the reference entity as a surrogate for the respective underlying index for the purposes of both daily valuation calculation as well as final settlement of the swap.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
132 :: SMK ULTRASHORT MSCI MEXICO CAPPED IMI :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 56.8% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
17,000,000 |
0.00%, due 12/04/14 |
$ |
16,999,972 |
|||||||
9,000,000 |
0.00%, due 12/18/14 |
8,999,919 |
|||||||||
10,000,000 |
0.00%, due 10/15/15 |
9,991,610 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $35,991,499) |
35,991,501 |
||||||||||
Repurchase Agreements (a)(b) — 47.7% |
|||||||||||
30,295,274 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $30,295,441 |
30,295,274 |
|||||||||
Total Repurchase Agreements
(Cost $30,295,274) |
30,295,274 |
||||||||||
Total Investment Securities (Cost $66,286,773) — 104.5% |
66,286,775 |
||||||||||
Liabilities in excess of
other assets — (4.5%) |
(2,827,945 |
) |
|||||||||
Net Assets — 100.0% |
$ |
63,458,830 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $3,137,695.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
2 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
2 |
|||||
Federal income tax cost of investments |
$ |
66,286,773 |
Futures Contracts Sold
Short 7-10 Year Treasury had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
8 |
03/20/15 |
$ |
1,016,375 |
$ |
(1,191 |
) |
Cash collateral in the amount of $10,560 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
Swap Agreements1
Short 7-10 Year Treasury had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(16,257,625 |
) |
11/06/15 |
Bank of America, N.A. |
0.40 |
% |
Barclays U.S.
7-10 Year Treasury Bond Index |
$ |
(569,292 |
) |
$ |
569,292 |
$ |
— |
$ |
— |
|||||||||||||||||||
(46,460,244 |
) |
11/06/15 |
Citibank, N.A. |
0.44 |
% |
Barclays U.S. 7-10 Year Treasury Bond Index |
(2,406,104 |
) |
2,180,104 |
226,000 |
— |
||||||||||||||||||||||||
$ |
(62,717,869 |
) |
$ |
(2,975,396 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT 7-10 YEAR TREASURY TBX :: 133
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 77.3% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
50,000,000 |
0.00%, due 12/04/14 |
$ |
49,999,938 |
|||||||
20,000,000 |
0.00%, due 01/08/15 |
19,999,156 |
|||||||||
130,000,000 |
0.00%, due 01/22/15 |
129,990,517 |
|||||||||
80,000,000 |
0.00%, due 01/29/15 |
79,998,296 |
|||||||||
20,000,000 |
0.00%, due 02/05/15 |
19,999,819 |
|||||||||
270,000,000 |
0.00%, due 09/17/15 |
269,798,850 |
|||||||||
455,000,000 |
0.00%, due 10/15/15 |
454,618,255 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $1,024,423,396) |
1,024,404,831 |
||||||||||
Repurchase Agreements (a)(b) — 29.0% |
|||||||||||
383,749,996 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $383,752,096 |
383,749,996 |
|||||||||
Total Repurchase Agreements
(Cost $383,749,996) |
383,749,996 |
||||||||||
Total Investment Securities (Cost $1,408,173,392) — 106.3% |
1,408,154,827 |
||||||||||
Liabilities in excess of
other assets — (6.3%) |
(83,495,313 |
) |
|||||||||
Net Assets — 100.0% |
$ |
1,324,659,514 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $71,030,184.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
6,893 |
|||||
Aggregate gross unrealized depreciation |
(25,458 |
) |
|||||
Net unrealized depreciation |
$ |
(18,565 |
) |
||||
Federal income tax cost of investments |
$ |
1,408,173,392 |
Futures Contracts Sold
Short 20+ Year Treasury had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
20 |
03/20/15 |
$ |
2,852,500 |
$ |
(1,464 |
) |
Cash collateral in the amount of $42,900 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
Swap Agreements1
Short 20+ Year Treasury had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(182,792,140 |
) |
11/06/15 |
Citibank, N.A. |
0.44 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
$ |
(31,537,401 |
) |
$ |
31,537,401 |
$ |
— |
$ |
— |
|||||||||||||||||||
(313,514,642 |
) |
11/06/15 |
Deutsche Bank AG |
0.54 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(12,240,895 |
) |
7,995,341 |
— |
(4,245,554 |
) |
|||||||||||||||||||||||
(324,801,724 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.42 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
(10,927,316 |
) |
10,927,316 |
— |
— |
||||||||||||||||||||||||
(502,295,350 |
) |
11/06/15 |
Societe Generale |
0.34 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(16,876,488 |
) |
16,876,488 |
— |
— |
||||||||||||||||||||||||
$ |
(1,323,403,856 |
) |
$ |
(71,582,100 |
) |
See accompanying notes to the financial statements.
134 :: TBF SHORT 20+ YEAR TREASURY :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT 20+ YEAR TREASURY TBF :: 135
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 43.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
5,000,000 |
0.00%, due 01/08/15 |
$ |
4,999,789 |
|||||||
25,000,000 |
0.00%, due 10/15/15 |
24,977,375 |
|||||||||
Total U.S. Government &
Agency Securities (Cost $29,978,810) |
29,977,164 |
||||||||||
Repurchase Agreements (a)(b) — 81.3% |
|||||||||||
56,681,049 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $56,681,359 |
56,681,049 |
|||||||||
Total Repurchase Agreements (Cost $56,681,049) |
56,681,049 |
||||||||||
Total Investment
Securities (Cost $86,659,859) — 124.3% |
86,658,213 |
||||||||||
Liabilities in excess of other assets — (24.3%) |
(16,917,914 |
) |
|||||||||
Net Assets — 100.0% |
$ |
69,740,299 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $9,604,600.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
— |
|||||
Aggregate gross unrealized depreciation |
(1,646 |
) |
|||||
Net unrealized depreciation |
$ |
(1,646 |
) |
||||
Federal income tax cost of investments |
$ |
86,659,859 |
Swap Agreements1,4
Short High Yield had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(18,948,954 |
) |
02/06/15 |
Citibank, N.A. |
1.49 |
% |
iShares® iBoxx $
High Yield Corporate Bond ETF |
$ |
(1,001,422 |
) |
$ |
378,422 |
$ |
623,000 |
$ |
— |
|||||||||||||||||||
(22,610,827 |
) |
12/07/15 |
Credit Suisse International |
1.84 |
% |
iShares® iBoxx $ High Yield Corporate Bond ETF |
(1,271,339 |
) |
1,271,339 |
— |
— |
||||||||||||||||||||||||
(28,163,613 |
) |
11/07/16 |
Goldman Sachs
International |
1.53 |
% |
iShares® iBoxx $
High Yield Corporate Bond ETF |
20,670 |
— |
— |
20,670 |
|||||||||||||||||||||||||
$ |
(69,723,394 |
) |
$ |
(2,252,091 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
136 :: SJB SHORT HIGH YIELD :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 101.3% |
|||||||||||
$ |
2,910,658 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $2,910,673 |
$ |
2,910,658 |
|||||||
Total Repurchase Agreements
(Cost $2,910,658) |
2,910,658 |
||||||||||
Total Investment Securities (Cost $2,910,658) † — 101.3% |
2,910,658 |
||||||||||
Liabilities in excess of
other assets — (1.3%) |
(37,209 |
) |
|||||||||
Net Assets — 100.0% |
$ |
2,873,449 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1,4
Short Investment Grade Corporate had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)5 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(1,226,835 |
) |
12/08/14 |
Citibank, N.A. |
1.09 |
% |
iShares® iBoxx $
Investment Grade Corporate Bond ETF |
$ |
(134,806 |
) |
$ |
— |
$ |
39,001 |
$ |
(95,805 |
) |
||||||||||||||||||
(395,973 |
) |
12/07/15 |
Credit Suisse International |
1.34 |
% |
iShares® iBoxx $ Investment Grade Corporate Bond ETF |
(116,099 |
) |
— |
— |
(116,099 |
) |
|||||||||||||||||||||||
(1,250,044 |
) |
11/07/16 |
Goldman Sachs
International |
1.38 |
% |
iShares® iBoxx $
Investment Grade Corporate Bond ETF |
(30,082 |
) |
— |
30,082 |
— |
||||||||||||||||||||||||
$ |
(2,872,852 |
) |
$ |
(280,987 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 In order to facilitate the daily valuation and final settlement of these swap transactions as of the time the Fund calculates its NAV, which differs from the time the Fund's underlying index is calculated, one or more exchange-traded financial products are used as the reference entity, as a surrogate for the respective underlying index.
5 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: SHORT INVESTMENT GRADE CORPORATE IGS :: 137
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 97.4% |
|||||||||||
$ |
3,618,417 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $3,618,436 |
$ |
3,618,417 |
|||||||
Total Repurchase
Agreements (Cost $3,618,417) |
3,618,417 |
||||||||||
Total Investment Securities (Cost $3,618,417) † — 97.4% |
3,618,417 |
||||||||||
Other assets less liabilities — 2.6% |
96,604 |
||||||||||
Net Assets — 100.0% |
$ |
3,715,021 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Swap Agreements1
UltraShort 3-7 Year Treasury had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,190,737 |
) |
11/06/15 |
Bank of America, N.A. |
0.40 |
% |
Barclays U.S.
3-7 Year Treasury Bond Index |
$ |
(40,995 |
) |
$ |
— |
$ |
40,995 |
$ |
— |
|||||||||||||||||||
(3,770,688 |
) |
05/06/15 |
Citibank, N.A. |
0.56 |
% |
Barclays U.S. 3-7 Year Treasury Bond Index |
(91,178 |
) |
— |
69,808 |
(21,370 |
) |
|||||||||||||||||||||||
(1,471,723 |
) |
02/06/15 |
Deutsche Bank AG |
0.24 |
% |
Barclays U.S.
3-7 Year Treasury Bond Index |
(37,820 |
) |
— |
37,820 |
— |
||||||||||||||||||||||||
$ |
(7,433,148 |
) |
$ |
(169,993 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
138 :: TBZ ULTRASHORT 3-7 YEAR TREASURY :: NOVEMBER 31, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 43.9% |
|||||||||||
U.S. Treasury Bills |
|
||||||||||
$ |
70,000,000 |
0.00%, due 12/04/14 |
$ |
69,999,917 |
|||||||
40,000,000 |
0.00%, due 01/08/15 |
39,998,311 |
|||||||||
15,000,000 |
0.00%, due 10/15/15 |
14,987,415 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $124,985,640) |
124,985,643 |
||||||||||
Repurchase Agreements (a)(b) — 62.4% |
|||||||||||
177,472,349 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $177,473,320 |
177,472,349 |
|||||||||
Total Repurchase
Agreements (Cost $177,472,349) |
177,472,349 |
||||||||||
Total Investment Securities (Cost $302,457,989) — 106.3% |
302,457,992 |
||||||||||
Liabilities in excess of
other assets — (6.3%) |
(18,040,174 |
) |
|||||||||
Net Assets — 100.0% |
$ |
284,417,818 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $22,352,246.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
3 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
3 |
|||||
Federal income tax cost of investments |
$ |
302,457,989 |
Futures Contracts Sold
UltraShort 7-10 Year Treasury had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. 10 Year Treasury Note Futures Contracts |
34 |
03/20/15 |
$ |
4,319,594 |
$ |
(6,380 |
) |
Cash collateral in the amount of $44,880 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT 7-10 YEAR TREASURY PST :: 139
Swap Agreements1
UltraShort 7-10 Year Treasury had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(192,144,757 |
) |
11/06/15 |
Citibank, N.A. |
0.44 |
% |
Barclays U.S.
7-10 Year Treasury Bond Index |
$ |
(9,227,606 |
) |
$ |
9,227,606 |
$ |
— |
$ |
— |
|||||||||||||||||||
(56,446,883 |
) |
02/06/15 |
Deutsche Bank AG |
0.49 |
% |
Barclays U.S. 7-10 Year Treasury Bond Index |
(3,516,908 |
) |
3,516,810 |
98 |
— |
||||||||||||||||||||||||
(205,792,874 |
) |
11/06/15 |
Goldman
Sachs International |
0.49 |
% |
Barclays
U.S. 7-10 Year Treasury Bond Index |
(3,245,440 |
) |
3,245,440 |
— |
— |
||||||||||||||||||||||||
(111,271,299 |
) |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.49 |
% |
Barclays U.S. 7-10 Year Treasury Bond Index |
(1,754,795 |
) |
1,337,655 |
— |
(417,140 |
) |
|||||||||||||||||||||||
$ |
(565,655,813 |
) |
$ |
(17,744,749 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
140 :: PST ULTRASHORT 7-10 YEAR TREASURY :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 63.0% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
125,000,000 |
0.00%, due 12/04/14 |
$ |
124,999,634 |
|||||||
150,000,000 |
0.00%, due 12/11/14 |
149,998,653 |
|||||||||
65,000,000 |
0.00%, due 12/18/14 |
64,999,079 |
|||||||||
725,000,000 |
0.00%, due 01/08/15 |
724,969,943 |
|||||||||
109,000,000 |
0.00%, due 01/15/15 |
108,996,730 |
|||||||||
100,000,000 |
0.00%, due 01/22/15 |
99,998,411 |
|||||||||
75,000,000 |
0.00%, due 02/26/15 |
74,999,100 |
|||||||||
160,000,000 |
0.00%, due 04/16/15 |
159,975,840 |
|||||||||
150,000,000 |
0.00%, due 04/30/15 |
149,971,801 |
|||||||||
305,000,000 |
0.00%, due 05/14/15 |
304,916,735 |
|||||||||
240,000,000 |
0.00%, due 10/15/15 |
239,798,640 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $2,203,623,234) |
2,203,624,566 |
||||||||||
Repurchase Agreements (a)(b) — 51.1% |
|||||||||||
1,788,492,340 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $1,788,502,126 |
1,788,492,340 |
|||||||||
Total Repurchase
Agreements (Cost $1,788,492,340) |
1,788,492,340 |
||||||||||
Total Investment Securities (Cost $3,992,115,574) — 114.1% |
3,992,116,906 |
||||||||||
Liabilities in excess of
other assets — (14.1%) |
(493,662,301 |
) |
|||||||||
Net Assets — 100.0% |
$ |
3,498,454,605 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $479,375,102.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
4,950 |
|||||
Aggregate gross unrealized depreciation |
(3,618 |
) |
|||||
Net unrealized appreciation |
$ |
1,332 |
|||||
Federal income tax cost of investments |
$ |
3,992,115,574 |
Futures Contracts Sold
UltraShort 20+ Year Treasury had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
8 |
03/20/15 |
$ |
1,141,000 |
$ |
(5,760 |
) |
Cash collateral in the amount of $17,160 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT 20+ YEAR TREASURY TBT :: 141
Swap Agreements1
UltraShort 20+ Year Treasury had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(2,409,864,529 |
) |
11/06/15 |
Bank of America, N.A. |
0.40 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
$ |
(237,674,474 |
) |
$ |
237,671,474 |
$ |
3,000 |
$ |
— |
|||||||||||||||||||
(61,318,218 |
) |
11/06/15 |
Citibank, N.A. |
0.44 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(53,571,629 |
) |
53,571,629 |
— |
— |
||||||||||||||||||||||||
(1,240,146,011 |
) |
11/06/15 |
Deutsche Bank AG |
0.44 |
% |
Barclays
U.S. 20+ Year Treasury Bond Index |
(41,740,592 |
) |
26,449,797 |
2,300,000 |
(12,990,795 |
) |
|||||||||||||||||||||||
(109,514,694 |
) |
11/06/15 |
Goldman Sachs International |
0.49 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(3,689,259 |
) |
3,689,259 |
— |
— |
||||||||||||||||||||||||
(1,009,180,060 |
) |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.42 |
% |
Barclays
U.S. 20+ Year Treasury Bond Index |
(46,583,607 |
) |
46,583,607 |
— |
— |
||||||||||||||||||||||||
(2,176,974,571 |
) |
11/06/15 |
Societe Generale |
0.34 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(73,120,034 |
) |
73,120,034 |
— |
— |
||||||||||||||||||||||||
$ |
(7,006,998,083 |
) |
$ |
(456,379,595 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
142 :: TBT ULTRASHORT 20+ YEAR TREASURY :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Security (a) — 32.7% |
|||||||||||
U.S. Treasury Bill |
|||||||||||
$ |
4,000,000 |
0.00%, due 10/15/15 |
$ |
3,996,644 |
|||||||
Total U.S. Government & Agency
Security (Cost $3,996,590) |
3,996,644 |
||||||||||
Repurchase Agreements (a)(b) — 68.0% |
|||||||||||
8,285,955 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $8,286,000 |
8,285,955 |
|||||||||
Total Repurchase
Agreements (Cost $8,285,955) |
8,285,955 |
||||||||||
Total Investment Securities (Cost $12,282,545) — 100.7% |
12,282,599 |
||||||||||
Liabilities in excess of
other assets — (0.7%) |
(91,169 |
) |
|||||||||
Net Assets — 100.0% |
$ |
12,191,430 |
(a) All or a portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $413,616.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
54 |
|||||
Aggregate gross unrealized depreciation |
— |
||||||
Net unrealized appreciation |
$ |
54 |
|||||
Federal income tax cost of investments |
$ |
12,282,545 |
Swap Agreements1
UltraShort TIPS had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Depreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(8,172,662 |
) |
01/06/15 |
Citibank, N.A. |
(0.06 |
)% |
Barclays
U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
$ |
(135,736 |
) |
$ |
— |
$ |
131,664 |
$ |
(4,072 |
) |
||||||||||||||||||
(16,239,485 |
) |
11/06/15 |
Goldman Sachs International |
(0.11 |
)% |
Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series L) |
(55,939 |
) |
55,939 |
— |
— |
||||||||||||||||||||||||
$ |
(24,412,147 |
) |
$ |
(191,675 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRASHORT TIPS TPS :: 143
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a) — 99.7% |
|||||||||||
$ |
101,341,113 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $101,341,668 |
$ |
101,341,113 |
|||||||
Total Repurchase
Agreements (Cost $101,341,113) |
101,341,113 |
||||||||||
Total Investment Securities (Cost $101,341,113) † — 99.7% |
101,341,113 |
||||||||||
Other assets less liabilities — 0.3% |
335,118 |
||||||||||
Net Assets — 100.0% |
$ |
101,676,231 |
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
† Tax basis equals book cost.
Futures Contracts Sold
UltraPro Short 20+ Year Treasury had the following open short futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Depreciation |
||||||||||||||||
U.S. Long Bond Futures Contracts |
16 |
03/20/15 |
$ |
2,282,000 |
$ |
(740 |
) |
Cash collateral in the amount of $34,320 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
Swap Agreements1
UltraPro Short 20+ Year Treasury had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
(116,141,121 |
) |
11/06/15 |
Bank of America, N.A. |
0.40 |
% |
Barclays U.S.
20+ Year Treasury Bond Index |
$ |
(11,273,912 |
) |
$ |
— |
$ |
11,270,055 |
$ |
(3,857 |
) |
||||||||||||||||||
(103,466,758 |
) |
11/06/15 |
Citibank, N.A. |
0.44 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(13,692,553 |
) |
— |
13,692,553 |
— |
||||||||||||||||||||||||
(3,540,729 |
) |
01/06/15 |
Morgan Stanley
& Co. International PLC |
0.42 |
% |
Barclays
U.S. 20+ Year Treasury Bond Index |
(4,844,645 |
) |
— |
4,511,300 |
(333,345 |
) |
|||||||||||||||||||||||
(80,666,675 |
) |
05/06/15 |
Societe Generale |
0.34 |
% |
Barclays U.S. 20+ Year Treasury Bond Index |
(17,103,831 |
) |
— |
17,103,831 |
— |
||||||||||||||||||||||||
$ |
(303,815,283 |
) |
$ |
(46,914,941 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
144 :: TTT ULTRAPRO SHORT 20+ YEAR TREASURY :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks — 80.1% |
|||||||||||||||
234 |
3M Co. (Industrials) |
0.4 |
% |
$ |
37,461 |
||||||||||
569 |
AbbVie, Inc. (Health Care) |
0.4 |
% |
39,375 |
|||||||||||
711 |
Altria Group, Inc. (Consumer Staples) |
0.3 |
% |
35,735 |
|||||||||||
134 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.5 |
% |
45,378 |
|||||||||||
271 |
Amgen, Inc. (Health Care) |
0.5 |
% |
44,799 |
|||||||||||
2,158 |
Apple, Inc. (Information
Technology) |
2.5 |
% |
256,651 |
|||||||||||
1,858 |
AT&T, Inc. (Telecommunication Services) |
0.6 |
% |
65,736 |
|||||||||||
3,763 |
Bank of America Corp.
(Financials) |
0.6 |
% |
64,122 |
|||||||||||
655 |
Berkshire Hathaway, Inc., Class B* (Financials) |
1.0 |
% |
97,392 |
|||||||||||
261 |
Boeing Co. (The) (Industrials) |
0.3 |
% |
35,068 |
|||||||||||
593 |
Bristol-Myers Squibb Co. (Health Care) |
0.3 |
% |
35,017 |
|||||||||||
287 |
Celgene Corp.* (Health Care) |
0.3 |
% |
32,629 |
|||||||||||
681 |
Chevron Corp. (Energy) |
0.7 |
% |
74,140 |
|||||||||||
1,833 |
Cisco Systems, Inc.
(Information Technology) |
0.5 |
% |
50,664 |
|||||||||||
1,087 |
Citigroup, Inc. (Financials) |
0.6 |
% |
58,665 |
|||||||||||
1,421 |
Coca-Cola Co. (The)
(Consumer Staples) |
0.6 |
% |
63,703 |
|||||||||||
927 |
Comcast Corp., Class A (Consumer Discretionary) |
0.5 |
% |
52,876 |
|||||||||||
418 |
CVS Health Corp.
(Consumer Staples) |
0.4 |
% |
38,188 |
|||||||||||
1,537 |
Exxon Mobil Corp. (Energy) |
1.4 |
% |
139,160 |
|||||||||||
707 |
Facebook, Inc., Class A*
(Information Technology) |
0.5 |
% |
54,934 |
|||||||||||
3,589 |
General Electric Co. (Industrials) |
1.0 |
% |
95,073 |
|||||||||||
550 |
Gilead Sciences, Inc.*
(Health Care) |
0.5 |
% |
55,176 |
|||||||||||
160 |
Goldman Sachs Group, Inc. (The) (Financials) |
0.3 |
% |
30,146 |
|||||||||||
100 |
Google, Inc., Class A*
(Information Technology) |
0.5 |
% |
54,908 |
|||||||||||
102 |
Google, Inc., Class C* (Information Technology) |
0.5 |
% |
55,267 |
|||||||||||
489 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.5 |
% |
48,607 |
|||||||||||
1,781 |
Intel Corp. (Information Technology) |
0.7 |
% |
66,342 |
|||||||||||
339 |
International Business
Machines Corp. (Information Technology) |
0.5 |
% |
54,976 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (continued) |
|||||||||||||||
1,012 |
Johnson & Johnson (Health Care) |
1.1 |
% |
$ |
109,549 |
||||||||||
1,354 |
JPMorgan Chase & Co.
(Financials) |
0.8 |
% |
81,457 |
|||||||||||
360 |
MasterCard, Inc., Class A (Information Technology) |
0.3 |
% |
31,424 |
|||||||||||
354 |
McDonald's Corp.
(Consumer Discretionary) |
0.3 |
% |
34,271 |
|||||||||||
1,046 |
Merck & Co., Inc. (Health Care) |
0.6 |
% |
63,178 |
|||||||||||
2,956 |
Microsoft Corp.
(Information Technology) |
1.4 |
% |
141,326 |
|||||||||||
1,175 |
Oracle Corp. (Information Technology) |
0.5 |
% |
49,832 |
|||||||||||
543 |
PepsiCo, Inc.
(Consumer Staples) |
0.5 |
% |
54,354 |
|||||||||||
2,283 |
Pfizer, Inc. (Health Care) |
0.7 |
% |
71,115 |
|||||||||||
563 |
Philip Morris
International, Inc. (Consumer Staples) |
0.5 |
% |
48,942 |
|||||||||||
968 |
Procter & Gamble Co. (The) (Consumer Staples) |
0.9 |
% |
87,536 |
|||||||||||
604 |
QUALCOMM, Inc.
(Information Technology) |
0.4 |
% |
44,032 |
|||||||||||
465 |
Schlumberger Ltd. (Energy) |
0.4 |
% |
39,967 |
|||||||||||
324 |
Union Pacific Corp.
(Industrials) |
0.4 |
% |
37,833 |
|||||||||||
328 |
United Technologies Corp. (Industrials) |
0.4 |
% |
36,106 |
|||||||||||
351 |
UnitedHealth Group, Inc.
(Health Care) |
0.3 |
% |
34,619 |
|||||||||||
1,482 |
Verizon Communications, Inc. (Telecommunication Services) |
0.7 |
% |
74,974 |
|||||||||||
179 |
Visa, Inc., Class A
(Information Technology) |
0.5 |
% |
46,216 |
|||||||||||
570 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.5 |
% |
49,898 |
|||||||||||
620 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.6 |
% |
57,356 |
|||||||||||
1,709 |
Wells Fargo & Co. (Financials) |
0.9 |
% |
93,106 |
|||||||||||
115,607 |
Other Common Stocks |
50.0 |
% |
5,098,796 |
|||||||||||
Total Common Stocks (Cost $7,809,896) |
8,168,075 |
||||||||||||||
Master Limited Partnership — 0.0% ‡ |
|||||||||||||||
44 |
Lazard Ltd., Class A |
0.0 |
% |
2,267 |
|||||||||||
Total Master Limited
Partnership (Cost $2,191) |
2,267 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA RUSSELL3000 UWC :: 145
No. of Rights |
Value |
||||||||||||||
Rights — 0.0% ‡ |
|||||||||||||||
1 |
Furiex Pharmaceuticals, Inc., at $30.00*^ |
0.0 |
% |
$ |
10 |
||||||||||
7 |
Leap Wireless
International, Inc.*^ |
0.0 |
% |
17 |
|||||||||||
1 |
Omthera Pharmaceuticals, Inc., at $4.70*^ |
0.0 |
% |
— |
|||||||||||
Total Rights
(Cost $—) |
27 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a) — 5.9% |
|||||||||||||||
$ |
597,893 |
Repurchase Agreements with
various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $597,895 |
597,893 |
||||||||||||
Total Repurchase Agreements (Cost $597,893) |
597,893 |
||||||||||||||
Total Investment Securities
(Cost $8,409,980) — 86.0% |
8,768,262 |
||||||||||||||
Other assets less liabilities — 14.0% |
1,432,903 |
||||||||||||||
Net Assets — 100.0% |
$ |
10,201,165 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2014, the value of these securities amounted to $27 or 0.00% of net assets. On January 22, 2015, the value of these securities amounted to $0 for purposes of computing the liquidating distribution paid to shareholders.
‡ Amount represents less than 0.05%.
(a) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
530,541 |
|||||
Aggregate gross unrealized depreciation |
(174,506 |
) |
|||||
Net unrealized appreciation |
$ |
356,035 |
|||||
Federal income tax cost of investments |
$ |
8,412,227 |
Swap Agreements1
Ultra Russell3000 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
1,046,227 |
11/06/15 |
Bank of America, N.A. |
0.46 |
% |
Russell 3000® Index |
$ |
106,450 |
$ |
— |
$ |
— |
$ |
106,450 |
|||||||||||||||||||||
1,923,323 |
02/06/15 |
Citibank, N.A. |
0.32 |
% |
Russell 3000® Index |
254,033 |
(254,033 |
) |
— |
— |
|||||||||||||||||||||||||
77,113 |
12/08/14 |
Credit
Suisse International |
0.36 |
% |
Russell 3000® Index |
1,359 |
— |
— |
1,359 |
||||||||||||||||||||||||||
6,742,765 |
11/06/15 |
Deutsche Bank AG |
0.12 |
% |
Russell 3000® Index |
498,744 |
— |
(498,744 |
) |
— |
|||||||||||||||||||||||||
87,032 |
11/06/15 |
Morgan Stanley
& Co. International PLC |
0.06 |
% |
iShares® Russell 3000 ETF |
24,719 |
|||||||||||||||||||||||||||||
544,557 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.26 |
% |
Russell 3000® Index |
98,537 |
|||||||||||||||||||||||||||||
631,589 |
123,256 |
(123,256 |
) |
— |
— |
||||||||||||||||||||||||||||||
1,611,349 |
11/06/15 |
Societe Generale |
0.50 |
% |
Russell 3000® Index |
244,984 |
— |
(244,984 |
) |
— |
|||||||||||||||||||||||||
200,892 |
01/06/15 |
UBS AG |
0.51 |
% |
Russell 3000® Index |
27,233 |
— |
— |
27,233 |
||||||||||||||||||||||||||
$ |
12,233,258 |
$ |
1,256,059 |
See accompanying notes to the financial statements.
146 :: UWC ULTRA RUSSELL3000 :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Ultra Russell3000 invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
10.2 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Energy |
5.9 |
% |
|||||
Financials |
14.1 |
% |
|||||
Health Care |
11.3 |
% |
|||||
Industrials |
9.1 |
% |
|||||
Information Technology |
15.4 |
% |
|||||
Materials |
3.0 |
% |
|||||
Telecommunication Services |
1.7 |
% |
|||||
Utilities |
2.5 |
% |
|||||
Other1 |
19.9 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA RUSSELL3000 UWC :: 147
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 83.2% |
|||||||||||||||
71,696 |
3M Co. (Industrials) |
0.5 |
% |
$ |
11,477,813 |
||||||||||
176,116 |
AbbVie, Inc. (Health Care) |
0.5 |
% |
12,187,227 |
|||||||||||
219,462 |
Altria Group, Inc. (Consumer Staples) |
0.4 |
% |
11,030,160 |
|||||||||||
41,921 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.6 |
% |
14,196,127 |
|||||||||||
99,587 |
American Express Co. (Financials) |
0.4 |
% |
9,203,830 |
|||||||||||
84,048 |
Amgen, Inc. (Health Care) |
0.6 |
% |
13,893,975 |
|||||||||||
662,477 |
Apple, Inc. (Information Technology) |
3.2 |
% |
78,788,390 |
|||||||||||
573,814 |
AT&T, Inc.
(Telecommunication Services) |
0.8 |
% |
20,301,540 |
|||||||||||
1,163,545 |
Bank of America Corp. (Financials) |
0.8 |
% |
19,826,807 |
|||||||||||
201,711 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
1.2 |
% |
29,992,409 |
|||||||||||
74,152 |
Boeing Co. (The) (Industrials) |
0.4 |
% |
9,963,063 |
|||||||||||
183,442 |
Bristol-Myers Squibb Co.
(Health Care) |
0.4 |
% |
10,832,250 |
|||||||||||
88,463 |
Celgene Corp.* (Health Care) |
0.4 |
% |
10,057,358 |
|||||||||||
210,110 |
Chevron Corp. (Energy) |
0.9 |
% |
22,874,676 |
|||||||||||
564,210 |
Cisco Systems, Inc. (Information Technology) |
0.6 |
% |
15,594,764 |
|||||||||||
335,456 |
Citigroup, Inc. (Financials) |
0.7 |
% |
18,104,560 |
|||||||||||
436,759 |
Coca-Cola Co. (The) (Consumer Staples) |
0.8 |
% |
19,579,906 |
|||||||||||
286,365 |
Comcast Corp., Class A
(Consumer Discretionary) |
0.7 |
% |
16,334,260 |
|||||||||||
128,143 |
CVS Health Corp. (Consumer Staples) |
0.5 |
% |
11,707,144 |
|||||||||||
471,831 |
Exxon Mobil Corp. (Energy) |
1.7 |
% |
42,719,579 |
|||||||||||
230,517 |
Facebook, Inc., Class A* (Information Technology) |
0.7 |
% |
17,911,171 |
|||||||||||
1,110,218 |
General Electric Co.
(Industrials) |
1.2 |
% |
29,409,675 |
|||||||||||
167,261 |
Gilead Sciences, Inc.* (Health Care) |
0.7 |
% |
16,779,624 |
|||||||||||
31,434 |
Google, Inc., Class A*
(Information Technology) |
0.7 |
% |
17,259,781 |
|||||||||||
31,432 |
Google, Inc., Class C* (Information Technology) |
0.7 |
% |
17,030,801 |
|||||||||||
148,922 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.6 |
% |
14,802,847 |
|||||||||||
547,812 |
Intel Corp. (Information Technology) |
0.8 |
% |
20,405,997 |
|||||||||||
102,654 |
International Business
Machines Corp. (Information Technology) |
0.7 |
% |
16,647,399 |
|||||||||||
312,055 |
Johnson & Johnson (Health Care) |
1.4 |
% |
33,779,954 |
|||||||||||
416,173 |
JPMorgan Chase & Co.
(Financials) |
1.0 |
% |
25,036,968 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
108,907 |
MasterCard, Inc., Class A (Information Technology) |
0.4 |
% |
$ |
9,506,492 |
||||||||||
108,647 |
McDonald's Corp.
(Consumer Discretionary) |
0.4 |
% |
10,518,116 |
|||||||||||
319,175 |
Merck & Co., Inc. (Health Care) |
0.8 |
% |
19,278,170 |
|||||||||||
911,712 |
Microsoft Corp.
(Information Technology) |
1.8 |
% |
43,588,951 |
|||||||||||
359,831 |
Oracle Corp. (Information Technology) |
0.6 |
% |
15,260,433 |
|||||||||||
166,721 |
PepsiCo, Inc.
(Consumer Staples) |
0.7 |
% |
16,688,772 |
|||||||||||
701,595 |
Pfizer, Inc. (Health Care) |
0.9 |
% |
21,854,684 |
|||||||||||
172,845 |
Philip Morris
International, Inc. (Consumer Staples) |
0.6 |
% |
15,025,416 |
|||||||||||
299,593 |
Procter & Gamble Co. (The) (Consumer Staples) |
1.1 |
% |
27,092,195 |
|||||||||||
185,446 |
QUALCOMM, Inc.
(Information Technology) |
0.6 |
% |
13,519,013 |
|||||||||||
143,446 |
Schlumberger Ltd. (Energy) |
0.5 |
% |
12,329,184 |
|||||||||||
99,297 |
Union Pacific Corp.
(Industrials) |
0.5 |
% |
11,594,911 |
|||||||||||
94,135 |
United Technologies Corp. (Industrials) |
0.4 |
% |
10,362,381 |
|||||||||||
107,507 |
UnitedHealth Group, Inc.
(Health Care) |
0.4 |
% |
10,603,415 |
|||||||||||
458,656 |
Verizon Communications, Inc. (Telecommunication Services) |
1.0 |
% |
23,203,407 |
|||||||||||
54,469 |
Visa, Inc., Class A
(Information Technology) |
0.6 |
% |
14,063,351 |
|||||||||||
174,715 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.6 |
% |
15,294,551 |
|||||||||||
174,736 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.7 |
% |
16,164,827 |
|||||||||||
525,635 |
Wells Fargo & Co. (Financials) |
1.2 |
% |
28,636,595 |
|||||||||||
18,605,974 |
Other Common Stocks |
44.8 |
% |
1,094,404,616 |
|||||||||||
Total Common Stocks (Cost $1,954,423,457) |
2,036,719,535 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities (a) — 3.8% |
|||||||||||||||
U.S. Treasury Bills |
|||||||||||||||
$ |
7,000,000 |
0.00%, due 12/11/14 |
6,999,944 |
||||||||||||
61,973,000 |
0.00%, due 01/15/15 |
61,969,205 |
|||||||||||||
24,115,000 |
0.00%, due 09/17/15 |
24,095,563 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $ 93,069,094) |
93,064,712 |
See accompanying notes to the financial statements.
148 :: SSO ULTRA S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||
Repurchase Agreements (a)(b) — 6.6% |
|||||||||||
$ |
160,333,230 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $160,334,107 |
$ |
160,333,230 |
|||||||
Total Repurchase Agreements
(Cost $160,333,230) |
160,333,230 |
||||||||||
Total Investment Securities (Cost $2,207,825,781) — 93.6% |
2,290,117,477 |
||||||||||
Other assets less liabilities — 6.4% |
155,400,260 |
||||||||||
Net Assets — 100.0% |
$ |
2,445,517,737 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $218,044,556.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
140,568,611 |
|||||
Aggregate gross unrealized depreciation |
(63,821,154 |
) |
|||||
Net unrealized appreciation |
$ |
76,747,457 |
|||||
Federal income tax cost of investments |
$ |
2,213,370,020 |
Futures Contracts Purchased
Ultra S&P500® had the following open long futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
4,485 |
12/19/14 |
$ |
463,524,750 |
$ |
19,673,643 |
Cash collateral in the amount of $22,694,100 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA S&P500® SSO :: 149
Swap Agreements1
Ultra S&P500® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
48,329,579 |
11/06/15 |
Bank of America, N.A. |
0.56 |
% |
S&P 500® Index |
$ |
5,300,852 |
$ |
(5,300,852 |
) |
$ |
— |
$ |
— |
||||||||||||||||||||
164,743,931 |
12/07/15 |
Citibank, N.A. |
0.47 |
% |
S&P 500® Index |
3,006,559 |
(3,006,559 |
) |
— |
— |
|||||||||||||||||||||||||
391,279,494 |
01/06/15 |
Credit Suisse
International |
0.46 |
% |
S&P 500® Index |
29,243,171 |
(29,073,876 |
) |
(169,295 |
) |
— |
||||||||||||||||||||||||
231,490,633 |
11/06/15 |
Deutsche Bank AG |
0.20 |
% |
SPDR® S&P 500® ETF Trust |
13,556,045 |
|||||||||||||||||||||||||||||
739,139,656 |
11/06/15 |
Deutsche Bank AG |
0.32 |
% |
S&P 500® Index |
38,714,840 |
|||||||||||||||||||||||||||||
970,630,289 |
52,270,885 |
— |
(52,270,885 |
) |
— |
||||||||||||||||||||||||||||||
81,679,377 |
12/07/15 |
Goldman Sachs
International |
0.52 |
% |
S&P 500® Index |
1,544,243 |
|||||||||||||||||||||||||||||
268,244,932 |
01/06/15 |
Goldman Sachs International |
0.43 |
% |
SPDR® S&P 500® ETF Trust |
12,402,287 |
|||||||||||||||||||||||||||||
349,924,309 |
13,946,530 |
(13,946,530 |
) |
— |
— |
||||||||||||||||||||||||||||||
155,229,717 |
01/06/15 |
Morgan Stanley & Co. International PLC |
0.46 |
% |
S&P 500® Index |
12,307,122 |
(12,307,122 |
) |
— |
— |
|||||||||||||||||||||||||
163,219,437 |
01/06/15 |
Societe Generale |
0.46 |
% |
S&P 500® Index |
16,248,814 |
— |
(16,248,814 |
) |
— |
|||||||||||||||||||||||||
146,745,664 |
12/07/15 |
UBS AG |
0.51 |
% |
S&P 500® Index |
2,775,847 |
(2,775,847 |
) |
— |
— |
|||||||||||||||||||||||||
$ |
2,390,102,420 |
$ |
135,099,780 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Ultra S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
9.9 |
% |
|||||
Consumer Staples |
8.2 |
% |
|||||
Energy |
7.0 |
% |
|||||
Financials |
13.6 |
% |
|||||
Health Care |
11.9 |
% |
|||||
Industrials |
8.7 |
% |
|||||
Information Technology |
16.6 |
% |
|||||
Materials |
2.7 |
% |
|||||
Telecommunication Services |
2.0 |
% |
|||||
Utilities |
2.6 |
% |
|||||
Other1 |
16.8 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
150 :: SSO ULTRA S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Value |
||||||||||
Common Stocks (a) — 73.4% |
|||||||||||
Consumer Discretionary — 12.9% |
|||||||||||
76,072 |
Amazon.com, Inc.* |
$ |
25,761,022 |
||||||||
33,252 |
Bed Bath & Beyond, Inc.* |
2,439,699 |
|||||||||
17,889 |
Charter Communications,
Inc., Class A* |
3,035,763 |
|||||||||
353,922 |
Comcast Corp., Class A |
20,187,711 |
|||||||||
82,690 |
DIRECTV* |
7,252,740 |
|||||||||
24,426 |
Discovery Communications, Inc., Class A* |
852,467 |
|||||||||
24,819 |
Discovery Communications,
Inc., Class C* |
844,094 |
|||||||||
36,588 |
DISH Network Corp., Class A* |
2,905,453 |
|||||||||
33,855 |
Dollar Tree, Inc.* |
2,314,328 |
|||||||||
18,833 |
Expedia, Inc. |
1,640,543 |
|||||||||
31,713 |
Garmin Ltd. |
1,817,155 |
|||||||||
3 |
Liberty Broadband Corp., Class A* |
165 |
|||||||||
3 |
Liberty Broadband Corp., Class C* |
136 |
|||||||||
35,385 |
Liberty Global PLC, Class A* |
1,839,666 |
|||||||||
74,530 |
Liberty Interactive Corp., Class A* |
2,172,550 |
|||||||||
17,199 |
Liberty Media Corp.* |
632,407 |
|||||||||
37,650 |
Liberty Media Corp., Class C* |
1,375,355 |
|||||||||
10,597 |
Liberty Ventures* |
388,274 |
|||||||||
47,842 |
Marriott International, Inc., Class A |
3,769,471 |
|||||||||
55,625 |
Mattel, Inc. |
1,754,969 |
|||||||||
9,894 |
Netflix, Inc.* |
3,429,161 |
|||||||||
17,085 |
O'Reilly Automotive, Inc.* |
3,122,113 |
|||||||||
8,635 |
Priceline Group, Inc. (The)* |
10,018,241 |
|||||||||
34,839 |
Ross Stores, Inc. |
3,187,072 |
|||||||||
933,858 |
Sirius XM Holdings, Inc.* |
3,389,905 |
|||||||||
106,066 |
Staples, Inc. |
1,491,288 |
|||||||||
123,683 |
Starbucks Corp. |
10,044,296 |
|||||||||
20,520 |
Tesla Motors, Inc.* |
5,017,550 |
|||||||||
22,668 |
Tractor Supply Co. |
1,743,849 |
|||||||||
21,401 |
TripAdvisor, Inc.* |
1,576,184 |
|||||||||
229,113 |
Twenty-First Century Fox,
Inc., Class A |
8,431,358 |
|||||||||
61,260 |
Viacom, Inc., Class B |
4,633,094 |
|||||||||
16,686 |
Wynn Resorts Ltd. |
2,980,286 |
|||||||||
140,048,365 |
|||||||||||
Consumer Staples — 3.4% |
|||||||||||
72,164 |
Costco Wholesale Corp. |
10,255,948 |
|||||||||
26,743 |
Keurig Green Mountain, Inc. |
3,801,250 |
|||||||||
97,796 |
Kraft Foods Group, Inc. |
5,884,385 |
|||||||||
277,577 |
Mondelez International,
Inc., Class A |
10,881,019 |
|||||||||
27,526 |
Monster Beverage Corp.* |
3,087,041 |
|||||||||
59,478 |
Whole Foods Market, Inc. |
2,916,206 |
|||||||||
36,825,849 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Health Care — 11.0% |
|||||||||||
32,570 |
Alexion Pharmaceuticals, Inc.* |
$ |
6,347,893 |
||||||||
125,068 |
Amgen, Inc. |
20,674,991 |
|||||||||
38,881 |
Biogen Idec, Inc.* |
11,963,295 |
|||||||||
34,151 |
Catamaran Corp.* |
1,739,652 |
|||||||||
131,637 |
Celgene Corp.* |
14,965,810 |
|||||||||
56,154 |
Cerner Corp.* |
3,616,317 |
|||||||||
122,737 |
Express Scripts Holding Co.* |
10,205,581 |
|||||||||
248,893 |
Gilead Sciences, Inc.* |
24,968,946 |
|||||||||
13,968 |
Henry Schein, Inc.* |
1,916,410 |
|||||||||
22,953 |
Illumina, Inc.* |
4,381,498 |
|||||||||
5,919 |
Intuitive Surgical, Inc.* |
3,064,681 |
|||||||||
61,585 |
Mylan, Inc.* |
3,609,497 |
|||||||||
16,315 |
Regeneron Pharmaceuticals, Inc.* |
6,788,835 |
|||||||||
39,200 |
Vertex Pharmaceuticals, Inc.* |
4,620,896 |
|||||||||
118,864,302 |
|||||||||||
Industrials — 1.2% |
|||||||||||
24,229 |
C.H. Robinson Worldwide, Inc. |
1,786,646 |
|||||||||
32,124 |
Expeditors International of Washington, Inc. |
1,504,046 |
|||||||||
48,863 |
Fastenal Co. |
2,208,608 |
|||||||||
58,412 |
PACCAR, Inc. |
3,914,772 |
|||||||||
13,965 |
Stericycle, Inc.* |
1,800,368 |
|||||||||
27,410 |
Verisk Analytics, Inc., Class A* |
1,698,872 |
|||||||||
12,913,312 |
|||||||||||
Information Technology — 44.1% |
|||||||||||
118,132 |
Activision Blizzard, Inc. |
2,557,558 |
|||||||||
81,891 |
Adobe Systems, Inc.* |
6,033,729 |
|||||||||
29,335 |
Akamai Technologies, Inc.* |
1,895,334 |
|||||||||
50,873 |
Altera Corp. |
1,913,842 |
|||||||||
51,734 |
Analog Devices, Inc. |
2,826,746 |
|||||||||
985,886 |
Apple, Inc. |
117,251,422 |
|||||||||
200,606 |
Applied Materials, Inc. |
4,824,574 |
|||||||||
37,518 |
Autodesk, Inc.* |
2,326,116 |
|||||||||
79,182 |
Automatic Data Processing, Inc. |
6,781,146 |
|||||||||
41,445 |
Avago Technologies Ltd. |
3,870,963 |
|||||||||
45,577 |
Baidu, Inc. (ADR)* |
11,171,378 |
|||||||||
89,079 |
Broadcom Corp., Class A |
3,841,977 |
|||||||||
73,278 |
CA, Inc. |
2,282,610 |
|||||||||
31,413 |
Check Point Software Technologies Ltd.* |
2,428,539 |
|||||||||
843,437 |
Cisco Systems, Inc. |
23,312,599 |
|||||||||
27,080 |
Citrix Systems, Inc.* |
1,795,675 |
|||||||||
100,093 |
Cognizant Technology
Solutions Corp., Class A* |
5,404,021 |
|||||||||
204,362 |
eBay, Inc.* |
11,215,387 |
|||||||||
9,035 |
Equinix, Inc. |
2,052,481 |
|||||||||
12,197 |
F5 Networks, Inc.* |
1,575,730 |
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA QQQ® QLD :: 151
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
368,604 |
Facebook, Inc., Class A* |
$ |
28,640,531 |
||||||||
41,032 |
Fiserv, Inc.* |
2,933,378 |
|||||||||
46,653 |
Google, Inc., Class A* |
25,616,229 |
|||||||||
55,686 |
Google, Inc., Class C* |
30,172,345 |
|||||||||
815,169 |
Intel Corp. |
30,365,045 |
|||||||||
46,742 |
Intuit, Inc. |
4,387,672 |
|||||||||
27,227 |
KLA-Tencor Corp. |
1,890,643 |
|||||||||
39,270 |
Linear Technology Corp. |
1,807,598 |
|||||||||
46,750 |
Maxim Integrated Products, Inc. |
1,382,398 |
|||||||||
176,308 |
Micron Technology, Inc.* |
6,338,273 |
|||||||||
1,356,668 |
Microsoft Corp. |
64,862,297 |
|||||||||
52,565 |
NetApp, Inc. |
2,236,641 |
|||||||||
89,225 |
NVIDIA Corp. |
1,871,048 |
|||||||||
39,296 |
NXP Semiconductor N.V.* |
3,057,622 |
|||||||||
59,783 |
Paychex, Inc. |
2,834,312 |
|||||||||
275,952 |
QUALCOMM, Inc. |
20,116,901 |
|||||||||
36,919 |
SanDisk Corp. |
3,819,640 |
|||||||||
53,810 |
Seagate Technology PLC |
3,557,379 |
|||||||||
113,683 |
Symantec Corp. |
2,965,989 |
|||||||||
175,770 |
Texas Instruments, Inc. |
9,565,403 |
|||||||||
38,530 |
Western Digital Corp. |
3,978,993 |
|||||||||
44,204 |
Xilinx, Inc. |
2,008,630 |
|||||||||
163,759 |
Yahoo!, Inc.* |
8,472,891 |
|||||||||
478,243,685 |
|||||||||||
Materials — 0.2% |
|||||||||||
19,588 |
Sigma-Aldrich Corp. |
2,675,721 |
|||||||||
Telecommunication Services — 0.6% |
|||||||||||
21,241 |
SBA Communications Corp.,
Class A* |
2,584,392 |
|||||||||
272,013 |
VimpelCom Ltd. (ADR) |
1,428,068 |
|||||||||
82,521 |
Vodafone Group PLC (ADR) |
3,016,143 |
|||||||||
7,028,603 |
|||||||||||
Total Common
Stocks (Cost $714,574,370) |
796,599,837 |
Principal Amount |
Value |
||||||||||
U.S. Government &
Agency Securities (a) — 1.9% |
|||||||||||
U.S. Treasury Bills |
|||||||||||
$ |
6,000,000 |
0.00%, due 12/11/14 |
$ |
5,999,942 |
|||||||
5,000,000 |
0.00%, due 12/18/14 |
4,999,929 |
|||||||||
10,000,000 |
0.00%, due 01/29/15 |
9,999,688 |
|||||||||
Total U.S. Government & Agency
Securities (Cost $20,999,559) |
20,999,559 |
||||||||||
Repurchase Agreements (a)(b) — 5.6% |
|||||||||||
60,348,134 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $60,348,463 |
60,348,134 |
|||||||||
Total Repurchase Agreements
(Cost $60,348,134) |
60,348,134 |
||||||||||
Total Investment Securities (Cost $795,922,063) — 80.9% |
877,947,530 |
||||||||||
Other assets less liabilities — 19.1% |
207,671,623 |
||||||||||
Net Assets — 100.0% |
$ |
1,085,619,153 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $73,825,678.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
ADR American Depositary Receipt
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
94,068,660 |
|||||
Aggregate gross unrealized depreciation |
(12,659,976 |
) |
|||||
Net unrealized appreciation |
$ |
81,408,684 |
|||||
Federal income tax cost of investments |
$ |
796,538,846 |
Futures Contracts Purchased
Ultra QQQ® had the following open long futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional Amount
at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini NASDAQ-100 Futures Contracts |
2,129 |
12/19/14 |
$ |
184,722,685 |
$ |
9,040,632 |
Cash collateral in the amount of $8,430,840 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
152 :: QLD ULTRA QQQ® :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Swap Agreements1
Ultra QQQ® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
126,949,164 |
11/06/15 |
Bank of America, N.A. |
0.61 |
% |
NASDAQ-100 Index |
$ |
7,163,715 |
$ |
(6,777,748 |
) |
$ |
— |
$ |
385,967 |
||||||||||||||||||||
169,821,845 |
02/06/15 |
Citibank, N.A. |
0.47 |
% |
NASDAQ-100 Index® |
23,229,441 |
(23,229,441 |
) |
— |
— |
|||||||||||||||||||||||||
129,418,329 |
11/06/15 |
Credit Suisse
International |
0.46 |
% |
NASDAQ-100 Index® |
27,715,674 |
(27,635,099 |
) |
(80,575 |
) |
— |
||||||||||||||||||||||||
86,415,411 |
11/06/15 |
Deutsche Bank AG |
0.27 |
% |
PowerShares QQQ TrustSM, Series 1 |
16,309,726 |
|||||||||||||||||||||||||||||
414,019,599 |
11/06/15 |
Deutsche Bank AG |
0.47 |
% |
NASDAQ-100 Index® |
73,637,520 |
|||||||||||||||||||||||||||||
500,435,010 |
89,947,246 |
— |
(87,650,001 |
) |
2,297,245 |
||||||||||||||||||||||||||||||
46,480,179 |
12/07/15 |
Goldman Sachs
International |
0.62 |
% |
NASDAQ-100 Index® |
1,806,217 |
|||||||||||||||||||||||||||||
56,557,606 |
12/07/15 |
Goldman Sachs International |
0.42 |
% |
PowerShares QQQ TrustSM, Series 1 |
2,291,329 |
|||||||||||||||||||||||||||||
103,037,785 |
4,097,546 |
(3,702,095 |
) |
— |
395,451 |
||||||||||||||||||||||||||||||
2,641,198 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.61 |
% |
NASDAQ-100 Index® |
1,853,463 |
|||||||||||||||||||||||||||||
102,682,315 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.56 |
% |
PowerShares
QQQ TrustSM, Series 1 |
17,828,904 |
|||||||||||||||||||||||||||||
105,323,513 |
19,682,367 |
(18,692,907 |
) |
— |
989,460 |
||||||||||||||||||||||||||||||
46,209,076 |
11/06/15 |
Societe Generale |
0.51 |
% |
NASDAQ-100 Index® |
15,861,456 |
— |
(15,861,456 |
) |
— |
|||||||||||||||||||||||||
8,837,744 |
01/06/15 |
UBS AG |
0.51 |
% |
NASDAQ-100 Index® |
7,244,580 |
(7,244,580 |
) |
— |
— |
|||||||||||||||||||||||||
$ |
1,190,032,466 |
$ |
194,942,025 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA QQQ® QLD :: 153
Shares |
Value |
||||||||||
Common Stocks (a) — 83.3% |
|||||||||||
Consumer Discretionary — 11.6% |
|||||||||||
108,457 |
Home Depot, Inc. (The) |
$ |
10,780,626 |
||||||||
108,457 |
McDonald's Corp. |
10,499,722 |
|||||||||
108,457 |
NIKE, Inc., Class B |
10,768,696 |
|||||||||
108,457 |
Walt Disney Co. (The) |
10,033,357 |
|||||||||
42,082,401 |
|||||||||||
Consumer Staples — 6.7% |
|||||||||||
108,457 |
Coca-Cola Co. (The) |
4,862,127 |
|||||||||
108,457 |
Procter & Gamble Co. (The) |
9,807,767 |
|||||||||
108,457 |
Wal-Mart Stores, Inc. |
9,494,326 |
|||||||||
24,164,220 |
|||||||||||
Energy — 6.0% |
|||||||||||
108,457 |
Chevron Corp. |
11,807,713 |
|||||||||
108,457 |
Exxon Mobil Corp. |
9,819,697 |
|||||||||
21,627,410 |
|||||||||||
Financials — 13.4% |
|||||||||||
108,457 |
American Express Co. |
10,023,596 |
|||||||||
108,457 |
Goldman Sachs Group, Inc. (The) |
20,434,383 |
|||||||||
108,457 |
JPMorgan Chase & Co. |
6,524,773 |
|||||||||
108,457 |
Travelers Cos., Inc. (The) |
11,328,334 |
|||||||||
48,311,086 |
|||||||||||
Health Care — 9.0% |
|||||||||||
108,457 |
Johnson & Johnson |
11,740,470 |
|||||||||
108,457 |
Merck & Co., Inc. |
6,550,803 |
|||||||||
108,457 |
Pfizer, Inc. |
3,378,436 |
|||||||||
108,457 |
UnitedHealth Group, Inc. |
10,697,114 |
|||||||||
32,366,823 |
|||||||||||
Industrials — 15.9% |
|||||||||||
108,457 |
3M Co. |
17,362,881 |
|||||||||
108,457 |
Boeing Co. (The) |
14,572,282 |
|||||||||
108,457 |
Caterpillar, Inc. |
10,910,774 |
|||||||||
108,457 |
General Electric Co. |
2,873,026 |
|||||||||
108,457 |
United Technologies Corp. |
11,938,947 |
|||||||||
57,657,910 |
|||||||||||
Information Technology — 16.0% |
|||||||||||
108,457 |
Cisco Systems, Inc. |
2,997,751 |
|||||||||
108,457 |
Intel Corp. |
4,040,023 |
|||||||||
108,457 |
International Business
Machines Corp. |
17,588,472 |
|||||||||
108,457 |
Microsoft Corp. |
5,185,329 |
|||||||||
108,457 |
Visa, Inc., Class A |
28,002,513 |
|||||||||
57,814,088 |
Shares |
Value |
||||||||||
Common Stocks (a) (continued) |
|||||||||||
Materials — 2.1% |
|||||||||||
108,457 |
E.I. du Pont de Nemours & Co. |
$ |
7,743,830 |
||||||||
Telecommunication Services — 2.6% |
|||||||||||
108,457 |
AT&T, Inc. |
3,837,209 |
|||||||||
108,457 |
Verizon Communications, Inc. |
5,486,839 |
|||||||||
9,324,048 |
|||||||||||
Total Common Stocks (Cost $271,843,539) |
301,091,816 |
||||||||||
Principal Amount |
|||||||||||
Repurchase Agreements (a)(b) — 6.5% |
|||||||||||
$ |
23,394,248 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $23,394,375 |
23,394,248 |
||||||||
Total Repurchase Agreements
(Cost $23,394,248) |
23,394,248 |
||||||||||
Total Investment Securities (Cost $295,237,787) — 89.8% |
324,486,064 |
||||||||||
Other assets less liabilities — 10.2% |
36,862,948 |
||||||||||
Net Assets — 100.0% |
$ |
361,349,012 |
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $48,631,973.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
34,266,184 |
|||||
Aggregate gross unrealized depreciation |
(5,017,907 |
) |
|||||
Net unrealized appreciation |
$ |
29,248,277 |
|||||
Federal income tax cost of investments |
$ |
295,237,787 |
See accompanying notes to the financial statements.
154 :: DDM ULTRA DOW30SM :: NOVEMBER 30, 2014 (UNAUDITED) :: SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Futures Contracts Purchased
Ultra Dow30SM had the following open long futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Dow Jones Industrial Average Futures Contracts |
586 |
12/19/14 |
$ |
52,203,810 |
$ |
2,219,905 |
Cash collateral in the amount of $2,513,940 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
Swap Agreements1
Ultra Dow30SM had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
6,600,639 |
11/06/15 |
Bank of America, N.A. |
0.61 |
% |
Dow Jones Industrial
AverageSM Index |
$ |
375,593 |
$ |
(271,464 |
) |
$ |
— |
$ |
104,129 |
||||||||||||||||||||
9,607,799 |
02/06/15 |
Citibank, N.A. |
0.47 |
% |
Dow Jones Industrial AverageSM Index |
1,249,387 |
(1,190,532 |
) |
— |
58,855 |
|||||||||||||||||||||||||
121,605,462 |
11/06/15 |
Credit Suisse
International |
0.46 |
% |
Dow Jones Industrial
AverageSM Index |
14,198,335 |
(14,119,200 |
) |
(79,135 |
) |
— |
||||||||||||||||||||||||
80,264,733 |
11/06/15 |
Deutsche Bank AG |
0.22 |
% |
Dow Jones Industrial AverageSM Index |
8,862,956 |
|||||||||||||||||||||||||||||
80,796,506 |
12/07/15 |
Deutsche Bank AG |
0.17 |
% |
SPDR® Dow Jones
Industrial AverageSM ETF Trust |
2,339,219 |
|||||||||||||||||||||||||||||
161,061,239 |
11,202,175 |
— |
(10,900,001 |
) |
302,174 |
||||||||||||||||||||||||||||||
16,073,014 |
12/07/15 |
Goldman Sachs
International |
0.72 |
% |
Dow Jones Industrial
AverageSM Index |
280,208 |
(271,585 |
) |
— |
8,623 |
|||||||||||||||||||||||||
13,569,074 |
11/06/15 |
Societe Generale |
0.51 |
% |
Dow Jones Industrial AverageSM Index |
1,821,993 |
— |
(1,821,993 |
) |
— |
|||||||||||||||||||||||||
40,917,879 |
01/06/15 |
UBS AG |
0.51 |
% |
Dow Jones Industrial
AverageSM Index |
4,460,631 |
(4,460,631 |
) |
— |
— |
|||||||||||||||||||||||||
$ |
369,435,106 |
$ |
33,588,322 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
PROSHARES TRUST SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA DOW30SM DDM :: 155
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 90.6% |
|||||||||||||||
13,230 |
Advance Auto Parts, Inc. (Consumer Discretionary) |
0.6 |
% |
$ |
1,945,868 |
||||||||||
24,444 |
Alaska Air Group, Inc.
(Industrials) |
0.4 |
% |
1,442,929 |
|||||||||||
2,963 |
Alleghany Corp.* (Financials) |
0.4 |
% |
1,352,728 |
|||||||||||
20,106 |
Alliant Energy Corp.
(Utilities) |
0.4 |
% |
1,264,064 |
|||||||||||
16,675 |
ANSYS, Inc.* (Information Technology) |
0.4 |
% |
1,392,696 |
|||||||||||
28,807 |
Arthur J. Gallagher &
Co. (Financials) |
0.4 |
% |
1,381,296 |
|||||||||||
12,995 |
Ashland, Inc. (Materials) |
0.5 |
% |
1,482,080 |
|||||||||||
19,076 |
B/E Aerospace, Inc.*
(Industrials) |
0.5 |
% |
1,485,448 |
|||||||||||
15,512 |
Camden Property Trust (REIT) (Financials) |
0.4 |
% |
1,189,460 |
|||||||||||
24,219 |
Church & Dwight Co.,
Inc. (Consumer Staples) |
0.6 |
% |
1,857,839 |
|||||||||||
8,748 |
Cooper Cos., Inc. (The) (Health Care) |
0.5 |
% |
1,477,537 |
|||||||||||
61,823 |
Duke Realty Corp. (REIT)
(Financials) |
0.4 |
% |
1,201,839 |
|||||||||||
27,806 |
Endo International PLC* (Health Care) |
0.6 |
% |
2,034,565 |
|||||||||||
11,195 |
Energizer Holdings, Inc.
(Consumer Staples) |
0.4 |
% |
1,455,574 |
|||||||||||
9,918 |
Equinix, Inc. (Information Technology) |
0.7 |
% |
2,253,072 |
|||||||||||
8,245 |
Everest Re Group Ltd.
(Financials) |
0.4 |
% |
1,446,091 |
|||||||||||
19,967 |
Extra Space Storage, Inc. (REIT) (Financials) |
0.4 |
% |
1,183,444 |
|||||||||||
12,269 |
Federal Realty Investment
Trust (REIT) (Financials) |
0.5 |
% |
1,627,605 |
|||||||||||
26,033 |
Foot Locker, Inc. (Consumer Discretionary) |
0.5 |
% |
1,491,431 |
|||||||||||
28,716 |
Fortune Brands Home &
Security, Inc. (Industrials) |
0.4 |
% |
1,289,923 |
|||||||||||
16,108 |
Gartner, Inc.* (Information Technology) |
0.4 |
% |
1,376,912 |
|||||||||||
18,059 |
Hanesbrands, Inc.
(Consumer Discretionary) |
0.6 |
% |
2,089,788 |
|||||||||||
15,371 |
Henry Schein, Inc.* (Health Care) |
0.6 |
% |
2,108,901 |
|||||||||||
35,981 |
HollyFrontier Corp.
(Energy) |
0.4 |
% |
1,468,744 |
|||||||||||
8,650 |
IDEXX Laboratories, Inc.* (Health Care) |
0.4 |
% |
1,291,878 |
|||||||||||
16,686 |
J.B. Hunt Transport
Services, Inc. (Industrials) |
0.4 |
% |
1,377,096 |
|||||||||||
32,402 |
Jarden Corp.* (Consumer Discretionary) |
0.4 |
% |
1,430,526 |
|||||||||||
54,700 |
LKQ Corp.* (Consumer
Discretionary) |
0.5 |
% |
1,589,035 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
18,163 |
MEDNAX, Inc.* (Health Care) |
0.4 |
% |
$ |
1,188,950 |
||||||||||
5,235 |
Mettler-Toledo
International, Inc.* (Health Care) |
0.5 |
% |
1,535,216 |
|||||||||||
80,195 |
New York Community Bancorp, Inc. (Financials) |
0.4 |
% |
1,274,299 |
|||||||||||
19,567 |
Oceaneering International,
Inc. (Energy) |
0.4 |
% |
1,227,047 |
|||||||||||
36,093 |
OGE Energy Corp. (Utilities) |
0.4 |
% |
1,288,159 |
|||||||||||
17,735 |
Omnicare, Inc. (Health Care) |
0.4 |
% |
1,247,125 |
|||||||||||
17,828 |
Packaging Corp. of America (Materials) |
0.4 |
% |
1,324,264 |
|||||||||||
10,989 |
Polaris Industries, Inc.
(Consumer Discretionary) |
0.5 |
% |
1,722,086 |
|||||||||||
22,772 |
Raymond James Financial, Inc. (Financials) |
0.4 |
% |
1,282,064 |
|||||||||||
40,339 |
Realty Income Corp. (REIT)
(Financials) |
0.6 |
% |
1,874,150 |
|||||||||||
25,391 |
ResMed, Inc. (Health Care) |
0.4 |
% |
1,350,801 |
|||||||||||
25,940 |
Rock-Tenn Co., Class A
(Materials) |
0.5 |
% |
1,473,651 |
|||||||||||
11,538 |
Salix Pharmaceuticals Ltd.* (Health Care) |
0.4 |
% |
1,184,837 |
|||||||||||
14,541 |
Signet Jewelers Ltd.
(Consumer Discretionary) |
0.6 |
% |
1,904,289 |
|||||||||||
34,342 |
Skyworks Solutions, Inc. (Information Technology) |
0.7 |
% |
2,317,055 |
|||||||||||
17,327 |
SL Green Realty Corp.
(REIT) (Financials) |
0.6 |
% |
2,012,358 |
|||||||||||
28,233 |
Synopsys, Inc.* (Information Technology) |
0.4 |
% |
1,225,030 |
|||||||||||
12,733 |
Towers Watson & Co.,
Class A (Industrials) |
0.4 |
% |
1,438,320 |
|||||||||||
47,099 |
Trimble Navigation Ltd.* (Information Technology) |
0.4 |
% |
1,324,659 |
|||||||||||
45,597 |
UDR, Inc. (REIT) (Financials) |
0.4 |
% |
1,403,476 |
|||||||||||
17,446 |
Wabtec Corp. (Industrials) |
0.5 |
% |
1,543,797 |
|||||||||||
6,211,847 |
Other Common Stocks |
67.8 |
% |
220,255,480 |
|||||||||||
Total Common Stocks (Cost $295,501,583) |
294,385,482 |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government &
Agency Securities (a) — 5.3% |
|||||||||||||||
U.S. Treasury Bills |
|||||||||||||||
$ |
8,000,000 |
0.00%, due 01/15/15 |
7,999,550 |
||||||||||||
9,183,000 |
0.00%, due 09/17/15 |
9,175,599 |
|||||||||||||
Total U.S. Government &
Agency Securities (Cost $ 17,176,816) |
17,175,149 |
See accompanying notes to the financial statements.
156 :: MVV ULTRA MIDCAP400 :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 11.8% |
|||||||||||||||
$ |
38,365,978 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $38,366,189 |
$ |
38,365,978 |
|||||||||||
Total Repurchase Agreements
(Cost $38,365,978) |
38,365,978 |
||||||||||||||
Total Investment Securities (Cost $351,044,377) — 107.7% |
349,926,609 |
||||||||||||||
Liabilities in excess of
other assets — (7.7%) |
(24,915,280 |
) |
|||||||||||||
Net Assets — 100.0% |
$ |
325,011,329 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $99,417,495.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
8,511,005 |
|||||
Aggregate gross unrealized depreciation |
(10,565,466 |
) |
|||||
Net unrealized depreciation |
$ |
(2,054,461 |
) |
||||
Federal income tax cost of investments |
$ |
351,981,070 |
Futures Contracts Purchased
Ultra MidCap400 had the following open long futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P MidCap 400 Futures Contracts |
335 |
12/19/14 |
$ |
48,293,600 |
$ |
948,389 |
Cash collateral in the amount of $2,468,950 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA MIDCAP400 MVV :: 157
Swap Agreements1
Ultra MidCap400 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
49,316,550 |
11/06/15 |
Bank of America, N.A. |
0.31 |
% |
S&P MidCap 400®
Index |
$ |
(33,201,737 |
) |
$ |
18,025,062 |
$ |
15,176,675 |
$ |
— |
||||||||||||||||||||
56,094,299 |
01/06/15 |
Citibank, N.A. |
0.32 |
% |
S&P MidCap 400® Index |
(21,020,738 |
) |
20,832,861 |
187,877 |
— |
|||||||||||||||||||||||||
25,323,891 |
11/06/15 |
Credit Suisse
International |
0.36 |
% |
S&P MidCap 400®
Index |
(6,006,310 |
) |
5,947,045 |
59,265 |
— |
|||||||||||||||||||||||||
26,288,208 |
11/06/15 |
Deutsche Bank AG |
0.12 |
% |
SPDR® S&P MidCap 400® ETF Trust |
(15,725,842 |
) |
||||||||||||||||||||||||||||
79,462,093 |
11/06/15 |
Deutsche Bank AG |
0.22 |
% |
S&P MidCap 400®
Index |
(36,986,429 |
) |
||||||||||||||||||||||||||||
105,750,301 |
(52,712,271 |
) |
— |
52,712,271 |
— |
||||||||||||||||||||||||||||||
3,391,997 |
12/07/15 |
Goldman Sachs
International |
0.52 |
% |
S&P MidCap 400®
Index |
34,730 |
|||||||||||||||||||||||||||||
14,712,679 |
12/07/15 |
Goldman Sachs International |
0.27 |
% |
SPDR® S&P MidCap 400® ETF Trust |
141,544 |
|||||||||||||||||||||||||||||
18,104,676 |
176,274 |
(176,274 |
) |
— |
— |
||||||||||||||||||||||||||||||
27,842,925 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.36 |
% |
S&P MidCap 400® Index |
2,552,993 |
(2,552,993 |
) |
— |
— |
|||||||||||||||||||||||||
14,452,513 |
11/06/15 |
Societe Generale |
0.54 |
% |
S&P MidCap 400®
Index |
3,608,559 |
— |
(3,608,559 |
) |
— |
|||||||||||||||||||||||||
10,434,791 |
01/06/15 |
UBS AG |
0.46 |
% |
S&P MidCap 400® Index |
(282,976 |
) |
267,814 |
15,162 |
— |
|||||||||||||||||||||||||
$ |
307,319,946 |
$ |
(106,886,206 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
158 :: MVV ULTRA MIDCAP400 :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Ultra MidCap400 invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
12.6 |
% |
|||||
Consumer Staples |
2.9 |
% |
|||||
Energy |
4.0 |
% |
|||||
Financials |
20.8 |
% |
|||||
Health Care |
9.1 |
% |
|||||
Industrials |
14.0 |
% |
|||||
Information Technology |
16.2 |
% |
|||||
Materials |
6.6 |
% |
|||||
Telecommunication Services |
0.1 |
% |
|||||
Utilities |
4.3 |
% |
|||||
Other1 |
9.4 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA MIDCAP400 MVV :: 159
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 87.7% |
|||||||||||||||
11,301 |
Aspen Technology, Inc.* (Information Technology) |
0.2 |
% |
$ |
426,500 |
||||||||||
11,382 |
Brunswick Corp. (Consumer
Discretionary) |
0.2 |
% |
565,458 |
|||||||||||
8,558 |
Cepheid, Inc.* (Health Care) |
0.2 |
% |
471,375 |
|||||||||||
6,189 |
CLARCOR, Inc. (Industrials) |
0.1 |
% |
407,793 |
|||||||||||
26,741 |
CNO Financial Group, Inc. (Financials) |
0.2 |
% |
463,689 |
|||||||||||
10,659 |
Cognex Corp.* (Information
Technology) |
0.2 |
% |
433,928 |
|||||||||||
19,892 |
CubeSmart (REIT) (Financials) |
0.2 |
% |
428,474 |
|||||||||||
5,915 |
Curtiss-Wright Corp.
(Industrials) |
0.2 |
% |
419,373 |
|||||||||||
20,794 |
Dana Holding Corp. (Consumer Discretionary) |
0.2 |
% |
440,833 |
|||||||||||
9,196 |
DexCom, Inc.* (Health Care) |
0.2 |
% |
473,226 |
|||||||||||
15,083 |
Dynegy, Inc.* (Utilities) |
0.2 |
% |
500,001 |
|||||||||||
3,905 |
Esterline Technologies
Corp.* (Industrials) |
0.2 |
% |
464,031 |
|||||||||||
5,187 |
FEI Co. (Information Technology) |
0.2 |
% |
444,215 |
|||||||||||
13,114 |
First American Financial
Corp. (Financials) |
0.2 |
% |
419,779 |
|||||||||||
40,131 |
Graphic Packaging Holding Co.* (Materials) |
0.2 |
% |
499,631 |
|||||||||||
8,340 |
Guidewire Software, Inc.*
(Information Technology) |
0.2 |
% |
420,920 |
|||||||||||
10,814 |
HealthSouth Corp. (Health Care) |
0.2 |
% |
444,780 |
|||||||||||
8,162 |
HEICO Corp. (Industrials) |
0.2 |
% |
432,668 |
|||||||||||
11,062 |
Highwoods Properties, Inc. (REIT) (Financials) |
0.2 |
% |
477,436 |
|||||||||||
43,968 |
Investors Bancorp, Inc.
(Financials) |
0.2 |
% |
475,294 |
|||||||||||
14,432 |
Isis Pharmaceuticals, Inc.* (Health Care) |
0.3 |
% |
747,433 |
|||||||||||
30,515 |
JetBlue Airways Corp.*
(Industrials) |
0.2 |
% |
446,434 |
|||||||||||
12,773 |
LaSalle Hotel Properties (REIT) (Financials) |
0.2 |
% |
515,646 |
|||||||||||
8,310 |
MAXIMUS, Inc. (Information
Technology) |
0.2 |
% |
435,361 |
|||||||||||
13,051 |
NPS Pharmaceuticals, Inc.* (Health Care) |
0.2 |
% |
433,032 |
|||||||||||
65,638 |
Office Depot, Inc.*
(Consumer Discretionary) |
0.2 |
% |
435,180 |
|||||||||||
4,377 |
Pacira Pharmaceuticals, Inc.* (Health Care) |
0.1 |
% |
411,132 |
|||||||||||
6,981 |
PAREXEL International
Corp.* (Health Care) |
0.1 |
% |
408,458 |
|||||||||||
11,553 |
PolyOne Corp. (Materials) |
0.2 |
% |
430,927 |
|||||||||||
8,559 |
Prosperity Bancshares, Inc.
(Financials) |
0.2 |
% |
480,845 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
2,850 |
Puma Biotechnology, Inc.* (Health Care) |
0.3 |
% |
$ |
647,007 |
||||||||||
35,124 |
RF Micro Devices, Inc.*
(Information Technology) |
0.2 |
% |
513,162 |
|||||||||||
16,068 |
RLJ Lodging Trust (REIT) (Financials) |
0.2 |
% |
529,119 |
|||||||||||
8,361 |
SS&C Technologies
Holdings, Inc. (Information Technology) |
0.2 |
% |
422,649 |
|||||||||||
7,253 |
STERIS Corp. (Health Care) |
0.2 |
% |
462,379 |
|||||||||||
30,350 |
Strategic Hotels &
Resorts, Inc. (REIT)* (Financials) |
0.1 |
% |
403,048 |
|||||||||||
25,216 |
Sunstone Hotel Investors, Inc. (REIT) (Financials) |
0.1 |
% |
403,708 |
|||||||||||
8,621 |
Team Health Holdings, Inc.*
(Health Care) |
0.2 |
% |
492,776 |
|||||||||||
4,606 |
Teledyne Technologies, Inc.* (Industrials) |
0.2 |
% |
492,427 |
|||||||||||
7,473 |
Tenneco, Inc.* (Consumer
Discretionary) |
0.1 |
% |
406,158 |
|||||||||||
5,163 |
TreeHouse Foods, Inc.* (Consumer Staples) |
0.2 |
% |
417,945 |
|||||||||||
21,030 |
TriQuint Semiconductor,
Inc.* (Information Technology) |
0.2 |
% |
512,501 |
|||||||||||
4,052 |
Tyler Technologies, Inc.* (Information Technology) |
0.2 |
% |
439,966 |
|||||||||||
3,480 |
Ultimate Software Group,
Inc. (The)* (Information Technology) |
0.2 |
% |
512,395 |
|||||||||||
6,091 |
United Natural Foods, Inc.* (Consumer Staples) |
0.2 |
% |
457,982 |
|||||||||||
7,342 |
Verint Systems, Inc.*
(Information Technology) |
0.2 |
% |
441,915 |
|||||||||||
8,674 |
West Pharmaceutical Services, Inc. (Health Care) |
0.2 |
% |
451,135 |
|||||||||||
4,756 |
WEX, Inc.* (Information
Technology) |
0.2 |
% |
537,808 |
|||||||||||
8,139 |
Woodward, Inc. (Industrials) |
0.2 |
% |
420,624 |
|||||||||||
9,836,248 |
Other Common Stocks |
78.3 |
% |
188,106,733 |
|||||||||||
Total Common Stocks (Cost $212,677,720) |
210,925,289 |
||||||||||||||
No. of Rights |
|||||||||||||||
Rights — 0.1% |
|||||||||||||||
4,361 |
Furiex Pharmaceuticals, Inc., at $30.00*^ |
0.0 |
% |
42,607 |
|||||||||||
49,993 |
Leap Wireless
International, Inc.*^ |
0.1 |
% |
125,983 |
|||||||||||
3,327 |
Omthera Pharmaceuticals, Inc., at $4.70*^ |
0.0 |
% |
— |
|||||||||||
Total Rights
(Cost $—) |
168,590 |
See accompanying notes to the financial statements.
160 :: UWM ULTRA RUSSELL2000 :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
No. of Warrants |
Percentage of Net Assets |
Value |
|||||||||||||
Warrants — 0.0% ‡ |
|||||||||||||||
9,763 |
Magnum Hunter Resources Corp., expiring 04/15/16 at $8.50*^ |
0.0 |
% |
$ |
— |
||||||||||
Total Warrants
(Cost $—) |
— |
||||||||||||||
Principal Amount |
|||||||||||||||
U.S. Government & Agency Securities (a) — 17.9% |
|||||||||||||||
U.S. Treasury Bills |
|||||||||||||||
$ |
20,000,000 |
0.00%, due 12/11/14 |
19,999,666 |
||||||||||||
23,000,000 |
0.00%, due 12/18/14 |
22,999,778 |
|||||||||||||
Total U.S. Government & Agency
Securities (Cost $ 42,999,444) |
42,999,444 |
||||||||||||||
Repurchase Agreements (a)(b) — 26.6% |
|||||||||||||||
63,985,279 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $63,985,629 |
63,985,279 |
|||||||||||||
Total Repurchase Agreements
(Cost $63,985,279) |
63,985,279 |
||||||||||||||
Total Investment Securities (Cost $319,662,443) — 132.3% |
318,078,602 |
||||||||||||||
Liabilities in excess of
other assets — (32.3%) |
(77,697,999 |
) |
|||||||||||||
Net Assets — 100.0% |
$ |
240,380,603 |
* Non-income producing security.
^ Security fair valued in accordance with procedures adopted by the Board of Trustees. At November 30, 2014, the value of these securities amounted to $168,590 or 0.07% of net assets.
‡ Amount represents less than 0.05%.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $131,761,206.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
11,401,464 |
|||||
Aggregate gross unrealized depreciation |
(27,698,909 |
) |
|||||
Net unrealized depreciation |
$ |
(16,297,445 |
) |
||||
Federal income tax cost of investments |
$ |
334,376,047 |
Futures Contracts Purchased
Ultra Russell2000 had the following open long futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional
Amount at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini Russell 2000 Futures Contracts |
113 |
12/19/14 |
$ |
13,248,120 |
$ |
1,096,865 |
Cash collateral in the amount of $633,930 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA RUSSELL2000 UWM :: 161
Swap Agreements1
Ultra Russell2000 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
45,747,675 |
11/06/15 |
Bank of America, N.A. |
(0.02 |
)% |
Russell 2000® Index |
$ |
(37,462,910 |
) |
$ |
37,273,314 |
$ |
189,596 |
$ |
— |
||||||||||||||||||||
68,490,989 |
11/06/15 |
Citibank, N.A. |
(0.08 |
)% |
Russell 2000® Index |
(33,662,143 |
) |
33,640,794 |
21,349 |
— |
|||||||||||||||||||||||||
1,733,375 |
11/06/15 |
Credit Suisse
International |
(0.09 |
)% |
Russell 2000® Index |
726,238 |
(722,607 |
) |
(2,138 |
) |
1,493 |
||||||||||||||||||||||||
390,852 |
11/06/15 |
Deutsche Bank AG |
(0.28 |
)% |
iShares® Russell 2000 ETF |
620,640 |
|||||||||||||||||||||||||||||
19,324,493 |
11/06/15 |
Deutsche Bank AG |
(0.08 |
)% |
Russell 2000® Index |
(1,308,077 |
) |
||||||||||||||||||||||||||||
19,715,345 |
(687,437 |
) |
675,285 |
12,152 |
— |
||||||||||||||||||||||||||||||
40,398,552 |
01/06/16 |
Goldman Sachs
International |
(0.28 |
)% |
Russell 2000® Index |
(3,528,067 |
) |
3,528,067 |
— |
— |
|||||||||||||||||||||||||
2,425,243 |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.34 |
)% |
iShares® Russell 2000 ETF |
589,971 |
|||||||||||||||||||||||||||||
23,897,153 |
11/06/15 |
Morgan Stanley & Co. International PLC |
(0.04 |
)% |
Russell 2000® Index |
(104,084 |
) |
||||||||||||||||||||||||||||
26,322,396 |
485,887 |
(485,887 |
) |
— |
— |
||||||||||||||||||||||||||||||
12,683,905 |
11/06/15 |
Societe Generale |
0.16 |
% |
Russell 2000® Index |
(7,284,668 |
) |
7,259,985 |
24,683 |
— |
|||||||||||||||||||||||||
41,493,189 |
11/06/15 |
UBS AG |
0.01 |
% |
Russell 2000® Index |
2,781,942 |
(2,781,942 |
) |
— |
— |
|||||||||||||||||||||||||
$ |
256,585,426 |
$ |
(78,631,158 |
) |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
Ultra Russell2000 invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
12.1 |
% |
|||||
Consumer Staples |
2.8 |
% |
|||||
Energy |
3.3 |
% |
|||||
Financials |
21.2 |
% |
|||||
Health Care |
12.6 |
% |
|||||
Industrials |
12.1 |
% |
|||||
Information Technology |
15.8 |
% |
|||||
Materials |
4.1 |
% |
|||||
Telecommunication Services |
0.8 |
% |
|||||
Utilities |
3.0 |
% |
|||||
Other1 |
12.2 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
162 :: UWM ULTRA RUSSELL2000 :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 72.0% |
|||||||||||||||
1,845 |
Akorn, Inc.* (Health Care) |
0.3 |
% |
$ |
73,929 |
||||||||||
1,234 |
Amsurg Corp.* (Health Care) |
0.3 |
% |
63,637 |
|||||||||||
698 |
Anixter International, Inc. (Information Technology) |
0.2 |
% |
60,656 |
|||||||||||
1,657 |
Bank of the Ozarks, Inc.
(Financials) |
0.2 |
% |
59,983 |
|||||||||||
228 |
Boston Beer Co., Inc. (The), Class A* (Consumer Staples) |
0.2 |
% |
59,957 |
|||||||||||
486 |
Buffalo Wild Wings, Inc.*
(Consumer Discretionary) |
0.3 |
% |
82,722 |
|||||||||||
973 |
Casey's General Stores, Inc. (Consumer Staples) |
0.3 |
% |
81,460 |
|||||||||||
5,280 |
Cousins Properties, Inc.
(REIT) (Financials) |
0.3 |
% |
64,627 |
|||||||||||
612 |
Cracker Barrel Old Country Store, Inc. (Consumer Discretionary) |
0.3 |
% |
78,342 |
|||||||||||
1,237 |
Curtiss-Wright Corp.
(Industrials) |
0.4 |
% |
87,703 |
|||||||||||
4,227 |
Darling Ingredients, Inc.* (Consumer Staples) |
0.3 |
% |
78,622 |
|||||||||||
5,024 |
DiamondRock Hospitality
Co. (REIT) (Financials) |
0.3 |
% |
75,008 |
|||||||||||
1,721 |
EMCOR Group, Inc. (Industrials) |
0.3 |
% |
74,605 |
|||||||||||
1,195 |
EnerSys (Industrials) |
0.3 |
% |
72,572 |
|||||||||||
1,455 |
EPR Properties (REIT) (Financials) |
0.3 |
% |
81,465 |
|||||||||||
1,865 |
Geo Group, Inc. (The)
(REIT) (Financials) |
0.3 |
% |
75,141 |
|||||||||||
2,502 |
Healthcare Realty Trust, Inc. (REIT) (Financials) |
0.3 |
% |
66,078 |
|||||||||||
1,164 |
j2 Global, Inc.
(Information Technology) |
0.3 |
% |
65,813 |
|||||||||||
1,002 |
Jack in the Box, Inc. (Consumer Discretionary) |
0.3 |
% |
74,649 |
|||||||||||
2,167 |
KapStone Paper and
Packaging Corp.* (Materials) |
0.3 |
% |
64,728 |
|||||||||||
1,928 |
Manhattan Associates, Inc.* (Information Technology) |
0.3 |
% |
76,272 |
|||||||||||
963 |
MarketAxess Holdings, Inc.
(Financials) |
0.3 |
% |
63,144 |
|||||||||||
1,720 |
MAXIMUS, Inc. (Information Technology) |
0.4 |
% |
90,111 |
|||||||||||
4,449 |
Medical Properties Trust,
Inc. (REIT) (Financials) |
0.2 |
% |
61,663 |
|||||||||||
2,449 |
Microsemi Corp.* (Information Technology) |
0.3 |
% |
66,613 |
|||||||||||
1,043 |
Moog, Inc., Class A*
(Industrials) |
0.3 |
% |
75,910 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
1,084 |
New Jersey Resources Corp. (Utilities) |
0.3 |
% |
$ |
62,763 |
||||||||||
1,178 |
NorthWestern Corp.
(Utilities) |
0.3 |
% |
62,705 |
|||||||||||
1,405 |
PAREXEL International Corp.* (Health Care) |
0.3 |
% |
82,207 |
|||||||||||
2,011 |
Piedmont Natural Gas Co.,
Inc. (Utilities) |
0.3 |
% |
75,372 |
|||||||||||
1,131 |
Pool Corp. (Consumer Discretionary) |
0.3 |
% |
67,193 |
|||||||||||
1,397 |
Post Properties, Inc.
(REIT) (Financials) |
0.3 |
% |
81,836 |
|||||||||||
1,286 |
PRA Group, Inc.* (Financials) |
0.3 |
% |
75,257 |
|||||||||||
1,498 |
ProAssurance Corp.
(Financials) |
0.3 |
% |
67,545 |
|||||||||||
1,039 |
Skechers U.S.A., Inc., Class A* (Consumer Discretionary) |
0.3 |
% |
63,805 |
|||||||||||
1,194 |
Southwest Gas Corp.
(Utilities) |
0.3 |
% |
69,121 |
|||||||||||
854 |
Sovran Self Storage, Inc. (REIT) (Financials) |
0.3 |
% |
72,607 |
|||||||||||
1,687 |
Stifel Financial Corp.*
(Financials) |
0.3 |
% |
81,870 |
|||||||||||
4,819 |
Susquehanna Bancshares, Inc. (Financials) |
0.3 |
% |
63,466 |
|||||||||||
943 |
Synaptics, Inc.*
(Information Technology) |
0.2 |
% |
59,400 |
|||||||||||
964 |
Teledyne Technologies, Inc.* (Industrials) |
0.4 |
% |
103,061 |
|||||||||||
1,171 |
Texas Capital Bancshares,
Inc.* (Financials) |
0.3 |
% |
64,557 |
|||||||||||
1,429 |
Toro Co. (The) (Industrials) |
0.4 |
% |
93,857 |
|||||||||||
1,080 |
TreeHouse Foods, Inc.*
(Consumer Staples) |
0.4 |
% |
87,426 |
|||||||||||
4,489 |
TriQuint Semiconductor, Inc.* (Information Technology) |
0.4 |
% |
109,397 |
|||||||||||
843 |
Tyler Technologies, Inc.*
(Information Technology) |
0.4 |
% |
91,533 |
|||||||||||
1,103 |
ViaSat, Inc.* (Information Technology) |
0.3 |
% |
73,129 |
|||||||||||
1,814 |
West Pharmaceutical
Services, Inc. (Health Care) |
0.4 |
% |
94,346 |
|||||||||||
2,605 |
Wolverine World Wide, Inc. (Consumer Discretionary) |
0.3 |
% |
79,479 |
|||||||||||
554,240 |
Other Common Stocks |
57.0 |
% |
13,922,998 |
|||||||||||
Total Common Stocks (Cost $18,755,559) |
17,580,340 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA SMALLCAP600 SAA :: 163
Principal Amount |
Value |
||||||||||||||
Repurchase Agreements (a)(b) — 9.6% |
|||||||||||||||
$ |
2,345,600 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $2,345,612 |
$ |
2,345,600 |
|||||||||||
Total Repurchase Agreements
(Cost $2,345,600) |
2,345,600 |
||||||||||||||
Total Investment Securities (Cost $21,101,159) — 81.6% |
19,925,940 |
||||||||||||||
Other assets less liabilities — 18.4% |
4,482,493 |
||||||||||||||
Net Assets — 100.0% |
$ |
24,408,433 |
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $1,907,539.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
REIT Real Estate Investment Trust
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
652,174 |
|||||
Aggregate gross unrealized depreciation |
(1,913,239 |
) |
|||||
Net unrealized depreciation |
$ |
(1,261,065 |
) |
||||
Federal income tax cost of investments |
$ |
21,187,005 |
Swap Agreements1
Ultra SmallCap600 had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation/ (Depreciation)2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
19,353,122 |
01/06/16 |
Bank of America, N.A. |
0.41 |
% |
S&P SmallCap
600® Index |
$ |
1,533,368 |
$ |
(1,533,368 |
) |
$ |
— |
$ |
— |
||||||||||||||||||||
2,907,613 |
11/06/15 |
Citibank, N.A. |
0.12 |
% |
S&P SmallCap 600® Index |
614,528 |
(590,943 |
) |
— |
23,585 |
|||||||||||||||||||||||||
3,445,078 |
11/06/15 |
Credit Suisse
International |
(0.04 |
)% |
S&P SmallCap
600® Index |
216,565 |
(216,565 |
) |
— |
— |
|||||||||||||||||||||||||
135,633 |
01/06/16 |
Deutsche Bank AG |
(0.08 |
)% |
iShares® Core S&P Small-Cap ETF |
7,762 |
|||||||||||||||||||||||||||||
1,651,790 |
11/06/15 |
Deutsche Bank AG |
(0.08 |
)% |
S&P SmallCap
600® Index |
(16,271 |
) |
||||||||||||||||||||||||||||
1,787,423 |
(8,509 |
) |
7,949 |
560 |
— |
||||||||||||||||||||||||||||||
2,454,053 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.31 |
% |
S&P SmallCap
600® Index |
707,917 |
(707,917 |
) |
— |
— |
|||||||||||||||||||||||||
1,289,672 |
11/06/15 |
Societe Generale |
0.56 |
% |
S&P SmallCap 600® Index |
1,505,461 |
— |
(1,505,461 |
) |
— |
|||||||||||||||||||||||||
$ |
31,236,961 |
$ |
4,569,330 |
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
See accompanying notes to the financial statements.
164 :: SAA ULTRA SMALLCAP600 :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
Ultra SmallCap600 invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
10.7 |
% |
|||||
Consumer Staples |
2.8 |
% |
|||||
Energy |
2.4 |
% |
|||||
Financials |
16.5 |
% |
|||||
Health Care |
8.0 |
% |
|||||
Industrials |
11.8 |
% |
|||||
Information Technology |
12.5 |
% |
|||||
Materials |
4.2 |
% |
|||||
Telecommunication Services |
0.5 |
% |
|||||
Utilities |
2.6 |
% |
|||||
Other1 |
28.0 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRA SMALLCAP600 SAA :: 165
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) — 70.0% |
|||||||||||||||
23,917 |
3M Co. (Industrials) |
0.4 |
% |
$ |
3,828,873 |
||||||||||
58,750 |
AbbVie, Inc. (Health Care) |
0.4 |
% |
4,065,500 |
|||||||||||
73,210 |
Altria Group, Inc. (Consumer Staples) |
0.4 |
% |
3,679,535 |
|||||||||||
13,984 |
Amazon.com, Inc.*
(Consumer Discretionary) |
0.5 |
% |
4,735,542 |
|||||||||||
33,221 |
American Express Co. (Financials) |
0.3 |
% |
3,070,285 |
|||||||||||
28,037 |
Amgen, Inc. (Health Care) |
0.5 |
% |
4,634,796 |
|||||||||||
220,995 |
Apple, Inc. (Information Technology) |
2.7 |
% |
26,282,936 |
|||||||||||
191,418 |
AT&T, Inc.
(Telecommunication Services) |
0.7 |
% |
6,772,369 |
|||||||||||
388,146 |
Bank of America Corp. (Financials) |
0.7 |
% |
6,614,008 |
|||||||||||
67,289 |
Berkshire Hathaway, Inc.,
Class B* (Financials) |
1.0 |
% |
10,005,201 |
|||||||||||
24,736 |
Boeing Co. (The) (Industrials) |
0.3 |
% |
3,323,529 |
|||||||||||
61,194 |
Bristol-Myers Squibb Co.
(Health Care) |
0.4 |
% |
3,613,506 |
|||||||||||
29,510 |
Celgene Corp.* (Health Care) |
0.3 |
% |
3,354,992 |
|||||||||||
70,091 |
Chevron Corp. (Energy) |
0.8 |
% |
7,630,807 |
|||||||||||
188,214 |
Cisco Systems, Inc. (Information Technology) |
0.5 |
% |
5,202,235 |
|||||||||||
111,904 |
Citigroup, Inc. (Financials) |
0.6 |
% |
6,039,459 |
|||||||||||
145,698 |
Coca-Cola Co. (The) (Consumer Staples) |
0.7 |
% |
6,531,641 |
|||||||||||
95,528 |
Comcast Corp., Class A
(Consumer Discretionary) |
0.6 |
% |
5,448,917 |
|||||||||||
42,747 |
CVS Health Corp. (Consumer Staples) |
0.4 |
% |
3,905,366 |
|||||||||||
157,397 |
Exxon Mobil Corp. (Energy) |
1.5 |
% |
14,250,724 |
|||||||||||
76,898 |
Facebook, Inc., Class A* (Information Technology) |
0.6 |
% |
5,974,975 |
|||||||||||
370,356 |
General Electric Co.
(Industrials) |
1.0 |
% |
9,810,730 |
|||||||||||
55,796 |
Gilead Sciences, Inc.* (Health Care) |
0.6 |
% |
5,597,455 |
|||||||||||
10,486 |
Google, Inc., Class A*
(Information Technology) |
0.6 |
% |
5,757,653 |
|||||||||||
10,485 |
Google, Inc., Class C* (Information Technology) |
0.6 |
% |
5,681,088 |
|||||||||||
49,679 |
Home Depot, Inc. (The)
(Consumer Discretionary) |
0.5 |
% |
4,938,093 |
|||||||||||
182,744 |
Intel Corp. (Information Technology) |
0.7 |
% |
6,807,214 |
|||||||||||
34,244 |
International Business
Machines Corp. (Information Technology) |
0.6 |
% |
5,553,349 |
|||||||||||
104,098 |
Johnson & Johnson (Health Care) |
1.2 |
% |
11,268,608 |
|||||||||||
138,831 |
JPMorgan Chase & Co.
(Financials) |
0.9 |
% |
8,352,073 |
Shares |
Percentage of Net Assets |
Value |
|||||||||||||
Common Stocks (a) (continued) |
|||||||||||||||
36,330 |
MasterCard, Inc., Class A (Information Technology) |
0.3 |
% |
$ |
3,171,246 |
||||||||||
36,243 |
McDonald's Corp.
(Consumer Discretionary) |
0.3 |
% |
3,508,685 |
|||||||||||
106,473 |
Merck & Co., Inc. (Health Care) |
0.7 |
% |
6,430,969 |
|||||||||||
304,137 |
Microsoft Corp.
(Information Technology) |
1.5 |
% |
14,540,790 |
|||||||||||
120,035 |
Oracle Corp. (Information Technology) |
0.5 |
% |
5,090,684 |
|||||||||||
55,616 |
PepsiCo, Inc. (Consumer
Staples) |
0.6 |
% |
5,567,162 |
|||||||||||
234,044 |
Pfizer, Inc. (Health Care) |
0.8 |
% |
7,290,471 |
|||||||||||
57,659 |
Philip Morris
International, Inc. (Consumer Staples) |
0.5 |
% |
5,012,297 |
|||||||||||
99,941 |
Procter & Gamble Co. (The) (Consumer Staples) |
0.9 |
% |
9,037,665 |
|||||||||||
61,863 |
QUALCOMM, Inc.
(Information Technology) |
0.4 |
% |
4,509,813 |
|||||||||||
47,852 |
Schlumberger Ltd. (Energy) |
0.4 |
% |
4,112,879 |
|||||||||||
33,125 |
Union Pacific Corp.
(Industrials) |
0.4 |
% |
3,868,006 |
|||||||||||
31,402 |
United Technologies Corp. (Industrials) |
0.3 |
% |
3,456,732 |
|||||||||||
35,863 |
UnitedHealth Group, Inc.
(Health Care) |
0.4 |
% |
3,537,168 |
|||||||||||
153,003 |
Verizon Communications, Inc. (Telecommunication Services) |
0.8 |
% |
7,740,422 |
|||||||||||
18,170 |
Visa, Inc., Class A
(Information Technology) |
0.5 |
% |
4,691,312 |
|||||||||||
58,283 |
Wal-Mart Stores, Inc. (Consumer Staples) |
0.5 |
% |
5,102,094 |
|||||||||||
58,290 |
Walt Disney Co. (The)
(Consumer Discretionary) |
0.6 |
% |
5,392,408 |
|||||||||||
175,346 |
Wells Fargo & Co. (Financials) |
1.0 |
% |
9,552,850 |
|||||||||||
6,206,756 |
Other Common Stocks |
37.6 |
% |
365,081,201 |
|||||||||||
Total Common Stocks (Cost $670,609,355) |
679,426,313 |
||||||||||||||
Principal Amount |
|||||||||||||||
Repurchase Agreements (a)(b) — 12.9% |
|||||||||||||||
$ |
124,865,819 |
Repurchase Agreements with various counterparties, rates 0.05% - 0.10%, dated 11/28/14, due 12/01/14, total to be received $124,866,503 |
124,865,819 |
||||||||||||
Total Repurchase Agreements
(Cost $124,865,819) |
124,865,819 |
||||||||||||||
Total Investment Securities (Cost $795,475,174) — 82.9% |
804,292,132 |
||||||||||||||
Other assets less liabilities — 17.1% |
165,632,727 |
||||||||||||||
Net Assets — 100.0% |
$ |
969,924,859 |
See accompanying notes to the financial statements.
166 :: UPRO ULTRAPRO S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST
* Non-income producing security.
(a) A portion of these securities were held in a segregated account for the benefit of swap counterparties in the event of default. At November 30, 2014, the aggregate value of segregated securities was $264,552,626.
(b) The Fund invests in Repurchase Agreements jointly with other funds in the Trust. See "Repurchase Agreements" under Note 2 in the Notes to Financial Statements to view the details of each individual agreement and counterparty as well as a description of the securities subjected to repurchase.
As of November 30, 2014, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation |
$ |
27,946,252 |
|||||
Aggregate gross unrealized depreciation |
(19,353,084 |
) |
|||||
Net unrealized appreciation |
$ |
8,593,168 |
|||||
Federal income tax cost of investments |
$ |
795,698,964 |
Futures Contracts Purchased
UltraPro S&P500® had the following open long futures contracts as of November 30, 2014:
Number of Contracts |
Expiration Date |
Notional Amount
at Value |
Unrealized Appreciation |
||||||||||||||||
E-Mini S&P 500 Futures Contracts |
1,211 |
12/19/14 |
$ |
125,156,850 |
$ |
3,172,146 |
Cash collateral in the amount of $6,127,660 was pledged to cover margin requirements for open futures contracts as of November 30, 2014.
Swap Agreements1
UltraPro S&P500® had the following open swap agreements as of November 30, 2014:
Notional Amount at Value |
Termination Date |
Counterparty |
Rate Paid (Received)4 |
Fund Receives |
Unrealized Appreciation2 |
Financial Instruments for the Benefit of (the Fund)/the Counterparty |
Cash Collateral for the Benefit of (the Fund)/the Counterparty |
Net Amount3 |
|||||||||||||||||||||||||||
$ |
10,396,939 |
11/06/15 |
Bank of America, N.A. |
0.41 |
% |
SPDR® S&P 500®
ETF Trust |
$ |
10,005,648 |
|||||||||||||||||||||||||||
68,304,677 |
11/06/15 |
Bank of America, N.A. |
0.56 |
% |
S&P 500® Index |
26,356,049 |
|||||||||||||||||||||||||||||
78,701,616 |
36,361,697 |
$ |
(36,361,697 |
) |
$ |
— |
$ |
— |
|||||||||||||||||||||||||||
713,631,159 |
11/06/15 |
Citibank, N.A. |
0.47 |
% |
S&P 500® Index |
14,238,266 |
(14,238,266 |
) |
— |
— |
|||||||||||||||||||||||||
94,550,391 |
11/06/15 |
Credit Suisse
International |
0.46 |
% |
S&P 500® Index |
34,969,778 |
(34,914,267 |
) |
(55,511 |
) |
— |
||||||||||||||||||||||||
4,466,629 |
01/06/15 |
Deutsche Bank AG |
0.20 |
% |
SPDR® S&P 500® ETF Trust |
358,050 |
|||||||||||||||||||||||||||||
106,561,780 |
11/06/15 |
Deutsche Bank AG |
0.32 |
% |
S&P 500® Index |
35,273,901 |
|||||||||||||||||||||||||||||
111,028,409 |
35,631,951 |
— |
(35,631,951 |
) |
— |
||||||||||||||||||||||||||||||
7,798,825 |
12/07/15 |
Goldman Sachs
International |
0.43 |
% |
SPDR® S&P 500®
ETF Trust |
2,452,812 |
|||||||||||||||||||||||||||||
49,659,467 |
12/07/15 |
Goldman Sachs International |
0.52 |
% |
S&P 500® Index |
2,168,506 |
|||||||||||||||||||||||||||||
57,458,292 |
4,621,318 |
(4,621,318 |
) |
— |
— |
||||||||||||||||||||||||||||||
4,250,572 |
11/06/15 |
Morgan Stanley & Co. International PLC |
0.46 |
% |
SPDR® S&P 500® ETF Trust |
3,913,904 |
|||||||||||||||||||||||||||||
450,255,103 |
01/06/16 |
Morgan Stanley & Co. International PLC |
0.46 |
% |
S&P 500® Index |
35,423,094 |
|||||||||||||||||||||||||||||
454,505,675 |
39,336,998 |
(39,336,998 |
) |
— |
— |
||||||||||||||||||||||||||||||
398,424,748 |
11/06/15 |
Societe Generale |
0.46 |
% |
S&P 500® Index |
25,194,835 |
— |
(25,194,835 |
) |
— |
|||||||||||||||||||||||||
197,034,108 |
01/06/15 |
UBS AG |
0.51 |
% |
S&P 500® Index |
19,401,431 |
(19,401,431 |
) |
— |
— |
|||||||||||||||||||||||||
$ |
2,105,334,398 |
$ |
209,756,274 |
See accompanying notes to the financial statements.
PROSHARES TRUST SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS :: NOVEMBER 30, 2014 (UNAUDITED) :: ULTRAPRO S&P500® UPRO :: 167
1 The Fund's Swap Agreements are not accounted for as hedging instruments under ASC 815.
2 The Fund discloses amounts due to the Fund from the counterparty (unrealized appreciation on swap agreements) at period end as an asset on its Statements of Assets and Liabilities. Amounts due to the counterparty from the Fund (unrealized depreciation on swap agreements) are disclosed as a liability on its Statements of Assets and Liabilities. The Fund presents these amounts on a gross basis and does not offset or "net" these amounts on its Statements of Assets and Liabilities.
3 Represents the "uncollateralized" amount due from or (to) the counterparty at period end. These amounts could be due to timing differences between the movement of collateral in relation to market movements, or due to agreement provisions allowing minimum "thresholds" that would need to be exceeded prior to the movement of collateral. To the extent that a net amount is due from a counterparty, the Fund would be exposed to the counterparty by such amount and could suffer losses or delays in recovery of that amount in the event of a counterparty default.
4 Reflects the floating financing rate, as of November 30, 2014, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
UltraPro S&P500® invested, as a percentage of net assets, in the following industries, as of November 30, 2014:
Consumer Discretionary |
8.4 |
% |
|||||
Consumer Staples |
6.9 |
% |
|||||
Energy |
5.9 |
% |
|||||
Financials |
11.4 |
% |
|||||
Health Care |
10.0 |
% |
|||||
Industrials |
7.3 |
% |
|||||
Information Technology |
14.0 |
% |
|||||
Materials |
2.2 |
% |
|||||
Telecommunication Services |
1.7 |
% |
|||||
Utilities |
2.2 |
% |
|||||
Other1 |
30.0 |
% |
|||||
100.0 |
% |
1 Includes any non-equity securities and net other assets (liabilities).
See accompanying notes to the financial statements.
168 :: UPRO ULTRAPRO S&P500® :: NOVEMBER 30, 2014 (UNAUDITED) :: SUMMARY SCHEDULE OF PORTFOLIO INVESTMENTS PROSHARES TRUST