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Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended March 31, 2015.

OR

 

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

for the transition period from                      to                     .

Commission file number: 001-34200

 

 

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

 

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

 

 

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

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

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

 

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

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

 

 

 


Table of Contents

PROSHARES TRUST II

Table of Contents

 

     Page  

Part I. FINANCIAL INFORMATION

  

Item 1. Condensed Financial Statements.

     1   

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

     148   

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

     178   

Item 4. Controls and Procedures.

     195   

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings.

     196   

Item 1A. Risk Factors.

     196   

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

     196   

Item 3. Defaults Upon Senior Securities.

     200   

Item 4. Mine Safety Disclosures.

     200   

Item 5. Other Information.

     200   

Item 6. Exhibits.

     201   


Table of Contents

Part I. FINANCIAL INFORMATION

 

Item 1. Condensed Financial Statements.

Index

 

Documents

  

Page

 

Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:

  

ProShares Managed Futures Strategy

     2   

ProShares VIX Short-Term Futures ETF

     7   

ProShares VIX Mid-Term Futures ETF

     12   

ProShares Short VIX Short-Term Futures ETF

     17   

ProShares Ultra VIX Short-Term Futures ETF

     22   

ProShares UltraShort Bloomberg Commodity

     27   

ProShares UltraShort Bloomberg Crude Oil

     32   

ProShares UltraShort Bloomberg Natural Gas

     37   

ProShares UltraShort Gold

     42   

ProShares UltraShort Silver

     47   

ProShares Short Euro

     52   

ProShares UltraShort Australian Dollar

     57   

ProShares UltraShort Euro

     62   

ProShares UltraShort Yen

     67   

ProShares Ultra Bloomberg Commodity

     72   

ProShares Ultra Bloomberg Crude Oil

     77   

ProShares Ultra Bloomberg Natural Gas

     82   

ProShares Ultra Gold

     87   

ProShares Ultra Silver

     92   

ProShares Ultra Australian Dollar

     97   

ProShares Ultra Euro

     102   

ProShares Ultra Yen

     107   

ProShares Trust II

     112   

Notes to Financial Statements

     116   

 

1


Table of Contents

PROSHARES MANAGED FUTURES STRATEGY

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 8,302,902      $ 6,135,185  

Segregated cash balances with brokers for futures contracts

     269,253        195,142  

Receivable on open futures contracts

     37,013        17,445  

Offering costs (Note 5)

     33,164        49,384  

Limitation by Sponsor

     11,008        9,474  
  

 

 

    

 

 

 

Total assets

  8,653,340     6,406,630  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for offering costs

  65,785     65,785  
  

 

 

    

 

 

 

Total liabilities

  65,785     65,785  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  8,587,555     6,340,845  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 8,653,340   $ 6,406,630  
  

 

 

    

 

 

 

Shares outstanding

  400,010     300,010  
  

 

 

    

 

 

 

Net asset value per share

$ 21.47   $ 21.14  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 21.50   $ 21.28  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

2


Table of Contents

PROSHARES MANAGED FUTURES STRATEGY

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

Futures Contracts Purchased††

 

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

Cocoa Futures - ICE, expires May 2015

     16      $ 431,840      $ (39,713

Cotton No. 2 Futures - ICE, expires May 2015

     8        252,400        (633

Soybean Futures - CBT, expires May 2015

     5        243,313        (3,244

US 10 YR Note Futures - CBT, expires June 2015

     10        1,289,063        (1,594
        

 

 

 
$ (45,184
        

 

 

 

Futures Contracts Sold††

Coffee ‘C’ Futures - ICE, expires May 2015

  2   $ 99,675   $ 26,006   

Copper Futures - COMEX, expires May 2015

  4     274,000     (16,262

Copper Mini Futures - COMEX, expires May 2015

  1     34,250     775  

Corn Futures - CBT, expires May 2015

  10     188,125     8,675  

Natural Gas Futures - NYMEX, expires May 2015

  6     158,400     9,950  

Natural Gas Mini Futures - NYMEX, expires May 2015

  2     13,200     1,200  

NY Harbor ULSD Futures-NYMEX, May 2015

  2     143,472     14,330  

RBOB Gasoline Futures - NYMEX, expires May 2015

  2     148,680     7,543  

Silver Mini Futures - ICE, expires May 2015

  8     132,784     4,544  

Sugar #11 Futures - CBT, expires May 2015

  13     173,701     34,600  

Wheat Futures - CBT, expires May 2015

  9     230,288     6,700  

WTI Crude Oil Futures - NYMEX, expires May 2015

  2     95,200     11,260  

Australian Dollar Fx Currency Futures - CME, expires June 2015

  5     379,050     9,500  

British Pound Fx Currency Futures - CME, expires June 2015

  7     649,119     15,419  

Canadian Dollar Fx Currency Futures - CME, expires June 2015

  5     394,600     7,000  

Gold Mini Futures - ICE, expires June 2015

  6     228,239     694  

Euro Fx Currency Mini Futures - CME, expires June 2015

  8     537,700     15,619  

Lean Hogs Futures - CME, expires June 2015

  8     242,560     15,910  

Live Cattle Futures - CME, expires June 2015

  6     365,580     (15,290

Japanese Yen Fx Currency Futures - CME, expires June 2015

  4     417,300     850  

Swiss Franc Fx Currency Futures - CME, expires June 2015

  2     257,875     (200

US Treasury Long Bond Futures - CBT, expires June 2015

  6     983,250     (30,406
        

 

 

 
$ 128,417  
        

 

 

 

 

†† Cash collateral in the amount of $269,253 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

3


Table of Contents

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

     Three months ended
March 31, 2015
 

Investment Income

  

Interest

   $ —    

Expenses

  

Brokerage commissions

     1,334  

Offering costs

     16,221  

Limitation by Sponsor

     (1,534 )
  

 

 

 

Total expenses

  16,021  
  

 

 

 

Net investment income (loss)

  (16,021 )
  

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  119,252  

Net realized gain (loss)

  119,252  
  

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (21,094 )

Change in net unrealized appreciation/depreciation

  (21,094 )
  

 

 

 

Net realized and unrealized gain (loss)

  98,158  
  

 

 

 

Net income (loss)

$ 82,137  
  

 

 

 

Net income (loss) per weighted-average share

$ 0.22  
  

 

 

 

Weighted-average shares outstanding

  370,010  
  

 

 

 

 

* Since the Fund commenced investment operations on October 1, 2014, the Statement of Operations for the three months ended March 31, 2014 has not been provided.

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES MANAGED FUTURES STRATEGY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  6,340,845  

Addition of 200,000 shares

  4,304,676  

Redemption of 100,000 shares

  (2,140,103 )
  

 

 

 

Net addition (redemption) of 100,000 shares

  2,164,573  
  

 

 

 

Net investment income (loss)

  (16,021 )

Net realized gain (loss)

  119,252  

Change in net unrealized appreciation/depreciation

  (21,094 )
  

 

 

 

Net income (loss)

  82,137  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 8,587,555  
  

 

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

     Three months ended
March 31, 2015
 

Cash flow from operating activities

  

Net income (loss)

   $ 82,137  

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

  

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

     (74,111 )

Decrease (Increase) in receivable on futures contracts

     (19,568 )

Decrease (Increase) in Limitation by Sponsor

     (1,534 )

Change in offering cost

     16,220  
  

 

 

 

Net cash provided by (used in) operating activities

  3,144  
  

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  4,304,676  

Payment on shares redeemed

  (2,140,103 )
  

 

 

 

Net cash provided by (used in) financing activities

  2,164,573  
  

 

 

 

Net increase (decrease) in cash

  2,167,717  

Cash, beginning of period

  6,135,185  
  

 

 

 

Cash, end of period

$ 8,302,902  
  

 

 

 

 

* Since the Fund commenced investment operations on October 1, 2014, the Statement of Cash Flows for the three months ended March 31, 2014 has not been provided.

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 2,165,472      $ 1,694,791  

Segregated cash balances with brokers for futures contracts

     11,020,165        18,439,750  

Short-term U.S. government and agency obligations (Note 3) (cost $131,183,329 and $82,086,464, respectively)

     131,184,020        82,088,299  

Receivable on open futures contracts

     5,219,208        9,317,236  
  

 

 

    

 

 

 

Total assets

  149,588,865     111,540,076  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  101,356     80,751  
  

 

 

    

 

 

 

Total liabilities

  101,356     80,751  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  149,487,509     111,459,325  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 149,588,865   $ 111,540,076  
  

 

 

    

 

 

 

Shares outstanding

  8,749,812     5,324,812  
  

 

 

    

 

 

 

Net asset value per share

$ 17.08   $ 20.93  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 17.01   $ 20.99  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(88% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.036% due 04/16/15

   $ 5,181,000      $ 5,180,968  

0.026% due 04/30/15

     3,973,000        3,972,856  

0.061% due 05/14/15

     4,724,000        4,723,859  

0.017% due 05/21/15

     9,229,000        9,228,680  

0.049% due 05/28/15

     18,620,000        18,619,116  

0.046% due 06/04/15

     105,000        104,996  

0.013% due 06/11/15

     3,645,000        3,644,856  

0.016% due 06/18/15

     7,018,000        7,017,772  

0.021% due 06/25/15†

     8,833,000        8,832,792  

0.024% due 07/02/15

     12,954,000        12,953,006  

0.039% due 07/09/15

     3,121,000        3,120,828  

0.036% due 07/16/15

     11,521,000        11,519,812  

0.043% due 07/23/15

     10,365,000        10,363,861  

0.035% due 07/30/15

     907,000        906,879  

0.057% due 08/06/15†

     7,920,000        7,918,463  

0.050% due 08/13/15†

     23,080,000        23,075,276  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $131,183,329)

$ 131,184,020  
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires April 2015

     4,166      $ 67,801,650      $ (5,816,262

VIX Futures - CBOE, expires May 2015

     4,594        81,888,050        710,151  
        

 

 

 
$ (5,106,111
        

 

 

 

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $11,020,165 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 9,907     $ 23,668  
  

 

 

   

 

 

 

Expenses

Management fee

  243,400     377,465  

Brokerage commissions

  40,979     —     
  

 

 

   

 

 

 

Total expenses

  284,379     377,465  
  

 

 

   

 

 

 

Net investment income (loss)

  (274,472 )   (353,797 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (8,978,330 )   15,779,707  

Short-term U.S. government and agency obligations

  2,154     6,606  
  

 

 

   

 

 

 

Net realized gain (loss)

  (8,976,176 )   15,786,313  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (11,370,731 )   11,625,721  

Short-term U.S. government and agency obligations

  (1,144 )   (4,584 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (11,371,875 )   11,621,137  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (20,348,051 )   27,407,450  
  

 

 

   

 

 

 

Net income (loss)

$ (20,622,523 ) $ 27,053,653  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (3.51 ) $ 4.41  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  5,878,423     6,135,368  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  111,459,325  

Addition of 4,575,000 shares

  84,542,261  

Redemption of 1,150,000 shares

  (25,891,554 )
  

 

 

 

Net addition (redemption) of 3,425,000 shares

  58,650,707  
  

 

 

 

Net investment income (loss)

  (274,472 )

Net realized gain (loss)

  (8,976,176 )

Change in net unrealized appreciation/depreciation

  (11,371,875 )
  

 

 

 

Net income (loss)

  (20,622,523 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 149,487,509  
  

 

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (20,622,523 )   $ 27,053,653  

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

    

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

     7,419,585       39,131,350  

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

     (49,096,865 )     113,480,989  

Change in unrealized appreciation/depreciation on investments

     1,144       4,584  

Decrease (Increase) in receivable on futures contracts

     4,098,028       3,179,017  

Increase (Decrease) in management fee payable

     20,605       (122,678 )

Increase (Decrease) in payable on futures contracts

     —         3,088,786  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (58,180,026 )   185,815,701  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  84,542,261     42,065,649  

Payment on shares redeemed

  (25,891,554 )   (230,347,582 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  58,650,707     (188,281,933 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  470,681     (2,466,232 )

Cash, beginning of period

  1,694,791     4,333,752  
  

 

 

   

 

 

 

Cash, end of period

$ 2,165,472   $ 1,867,520  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 1,303,894      $ 1,634,082  

Segregated cash balances with brokers for futures contracts

     2,134,050        1,906,950  

Short-term U.S. government and agency obligations (Note 3) (cost $27,674,827 and $24,104,754, respectively)

     27,675,412        24,105,906  

Receivable on open futures contracts

     321,319        1,783,328  
  

 

 

    

 

 

 

Total assets

  31,434,675     29,430,266  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  3,034,067     7,947,955  

Management fee payable

  21,578     22,736  
  

 

 

    

 

 

 

Total liabilities

  3,055,645     7,970,691  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  28,379,030     21,459,575  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 31,434,675   $ 29,430,266  
  

 

 

    

 

 

 

Shares outstanding

  462,404     337,404  
  

 

 

    

 

 

 

Net asset value per share

$ 61.37   $ 63.60  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 61.09   $ 63.89  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(98% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.043% due 04/16/15

   $ 5,374,000      $ 5,373,967  

0.036% due 04/30/15

     1,593,000        1,592,942  

0.031% due 05/21/15

     5,405,000        5,404,813  

0.071% due 05/28/15

     851,000        850,960  

0.087% due 06/11/15

     3,675,000        3,674,855  

0.015% due 06/18/15

     1,773,000        1,772,942  

0.030% due 07/02/15

     1,020,000        1,019,922  

0.036% due 07/16/15

     6,167,000        6,166,364  

0.045% due 08/06/15†

     1,819,000        1,818,647  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $27,674,827)

$ 27,675,412  
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires July 2015

     235      $ 4,388,625      $ (167,050

VIX Futures - CBOE, expires August 2015

     497        9,380,875        (449,540

VIX Futures - CBOE, expires September 2015

     497        9,529,975        57,125  

VIX Futures - CBOE, expires October 2015

     261        5,082,975        59,075  
        

 

 

 
$ (500,390
        

 

 

 

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $2,134,050 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 2,714     $ 5,328  
  

 

 

   

 

 

 

Expenses

Management fee

  58,236     115,336  

Brokerage commissions

  8,037     —    
  

 

 

   

 

 

 

Total expenses

  66,273     115,336  
  

 

 

   

 

 

 

Net investment income (loss)

  (63,559 )   (110,008 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  126,671     (5,397,902 )

Short-term U.S. government and agency obligations

  1,238     483  
  

 

 

   

 

 

 

Net realized gain (loss)

  127,909     (5,397,419 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (761,055 )   2,889,479  

Short-term U.S. government and agency obligations

  (567 )   468  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (761,622 )   2,889,947  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (633,713 )   (2,507,472 )
  

 

 

   

 

 

 

Net income (loss)

$ (697,272 ) $ (2,617,480 )
  

 

 

   

 

 

 

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

$ (1.59 ) $ (3.64 )
  

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

  437,682     718,126  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  21,459,575  

Addition of 200,000 shares

  12,344,563  

Redemption of 75,000 shares

  (4,727,836 )
  

 

 

 

Net addition (redemption) of 125,000 shares

  7,616,727  
  

 

 

 

Net investment income (loss)

  (63,559 )

Net realized gain (loss)

  127,909  

Change in net unrealized appreciation/depreciation

  (761,622 )
  

 

 

 

Net income (loss)

  (697,272 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 28,379,030  
  

 

 

 

.

 

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (697,272 )   $ (2,617,480 )

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

    

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

     (227,100 )     (675,210 )

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

     (3,570,073 )     (2,655,070 )

Change in unrealized appreciation/depreciation on investments

     567       (468 )

Decrease (Increase) in receivable on futures contracts

     1,462,009       100,734  

Increase (Decrease) in management fee payable

     (1,158 )     (3,141 )

Increase (Decrease) in payable on futures contracts

     —          1,009,664  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (3,033,027 )   (4,840,971 )
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  12,344,563     21,263,524  

Payment on shares redeemed

  (9,641,724 )   (17,309,533 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  2,702,839     3,953,991  
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (330,188 )   (886,980 )

Cash, beginning of period

  1,634,082     1,906,397  
  

 

 

   

 

 

 

Cash, end of period

$ 1,303,894   $ 1,019,417  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 4,143,193      $ 9,122,219  

Segregated cash balances with brokers for futures contracts

     55,500,260        85,244,950  

Short-term U.S. government and agency obligations (Note 3) (cost $222,916,842 and $446,972,637, respectively)

     222,919,943        446,975,220  
  

 

 

    

 

 

 

Total assets

  282,563,396     541,342,389  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  —       3,358,781  

Payable on open futures contracts

  1,425,781     31,020,019  

Management fee payable

  286,643     407,465  
  

 

 

    

 

 

 

Total liabilities

  1,712,424     34,786,265  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  280,850,972     506,556,124  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 282,563,396   $ 541,342,389  
  

 

 

    

 

 

 

Shares outstanding

  4,150,040     8,250,040  
  

 

 

    

 

 

 

Net asset value per share

$ 67.67   $ 61.40  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 68.04   $ 61.16  
  

 

 

    

 

 

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(79% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.043% due 04/16/15

   $ 6,920,000      $ 6,919,957  

0.044% due 05/14/15

     12,864,000        12,863,615  

0.032% due 05/21/15

     12,226,000        12,225,576  

0.073% due 05/28/15

     3,786,000        3,785,820  

0.061% due 06/04/15

     13,984,000        13,983,502  

0.017% due 06/11/15

     4,401,000        4,400,827  

0.015% due 06/18/15

     19,284,000        19,283,373  

0.041% due 06/25/15†

     25,966,000        25,965,387  

0.022% due 07/02/15†

     43,634,000        43,630,653  

0.057% due 07/09/15†

     16,047,000        16,046,118  

0.028% due 07/16/15

     21,796,000        21,793,753  

0.047% due 07/23/15

     4,213,000        4,212,537  

0.030% due 07/30/15

     20,999,000        20,996,201  

0.061% due 08/06/15†

     6,164,000        6,162,804  

0.045% due 08/13/15†

     10,652,000        10,649,820  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $222,916,842)

$ 222,919,943  
     

 

 

 

Futures Contracts Sold††

 

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

VIX Futures - CBOE, expires April 2015

     7,729      $ 125,789,475      $ 8,591,734  

VIX Futures - CBOE, expires May 2015

     8,675        154,631,875        (1,599,750
        

 

 

 
$ 6,991,984  
        

 

 

 

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $55,500,260 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 29,929     $ 24,205  
  

 

 

   

 

 

 

Expenses

Management fee

  1,039,580     503,918  

Brokerage commissions

  482,841     291,326  
  

 

 

   

 

 

 

Total expenses

  1,522,421     795,244  
  

 

 

   

 

 

 

Net investment income (loss)

  (1,492,492 )   (771,039 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  23,811,285     2,731,436  

Short-term U.S. government and agency obligations

  23,269     2,814  
  

 

 

   

 

 

 

Net realized gain (loss)

  23,834,554     2,734,250  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  23,344,133     (33,756 )

Short-term U.S. government and agency obligations

  518     1,509  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  23,344,651     (32,247 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  47,179,205     2,702,003  
  

 

 

   

 

 

 

Net income (loss)

$ 45,686,713   $ 1,930,964  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 6.08   $ 0.55  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  7,510,596     3,491,151  
  

 

 

   

 

 

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  506,556,124  

Addition of 2,150,000 shares

  118,885,967  

Redemption of 6,250,000 shares

  (390,277,832 )
  

 

 

 

Net addition (redemption) of (4,100,000) shares

  (271,391,865 )
  

 

 

 

Net investment income (loss)

  (1,492,492 )

Net realized gain (loss)

  23,834,554  

Change in net unrealized appreciation/depreciation

  23,344,651  
  

 

 

 

Net income (loss)

  45,686,713  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 280,850,972  
  

 

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 45,686,713     $ 1,930,964  

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

    

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

     29,744,690       (11,354,850 )

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

     224,055,795       (63,929,582 )

Change in unrealized appreciation/depreciation on investments

     (518 )     (1,509 )

Decrease (Increase) in receivable on futures contracts

     —         (5,880,498 )

Increase (Decrease) in management fee payable

     (120,822 )     64,588  

Increase (Decrease) in payable on futures contracts

     (29,594,238 )     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  269,771,620     (79,170,887 )
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  118,885,967     162,438,045  

Payment on shares redeemed

  (393,636,613 )   (80,333,451 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (274,750,646 )   82,104,594  
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (4,979,026 )   2,933,707  

Cash, beginning of period

  9,122,219     2,153,370  
  

 

 

   

 

 

 

Cash, end of period

$ 4,143,193   $ 5,087,077  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 5,478,753      $ 3,737,292  

Segregated cash balances with brokers for futures contracts

     73,653,370        116,907,700  

Short-term U.S. government and agency obligations (Note 3) (cost $569,902,127 and $182,641,263, respectively)

     569,900,064        182,639,188  

Receivable from capital shares sold

     7,900,647        12,549,248  

Receivable on open futures contracts

     37,350,672        42,531,441  
  

 

 

    

 

 

 

Total assets

  694,283,506     358,364,869  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  —       6,272,056  

Management fee payable

  563,422     302,860  
  

 

 

    

 

 

 

Total liabilities

  563,422     6,574,916  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  693,720,084     351,789,953  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 694,283,506   $ 358,364,869  
  

 

 

    

 

 

 

Shares outstanding

  45,670,099     14,020,099  
  

 

 

    

 

 

 

Net asset value per share

$ 15.19   $ 25.09  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 15.05   $ 25.15  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(82% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.036% due 04/16/15

   $ 212,000      $ 211,999  

0.001% due 04/30/15

     29,754,000        29,752,923  

0.061% due 05/14/15

     3,104,000        3,103,907  

0.012% due 05/21/15

     13,489,000        13,488,532  

0.018% due 05/28/15

     75,945,000        75,941,393  

0.046% due 06/04/15

     27,212,000        27,211,031  

0.010% due 06/11/15

     10,230,000        10,229,597  

0.013% due 06/18/15

     8,550,000        8,549,722  

0.021% due 06/25/15

     76,304,000        76,302,199  

0.015% due 07/02/15†

     8,100,000        8,099,379  

0.040% due 07/09/15†

     73,985,000        73,980,931  

0.027% due 07/16/15†

     46,270,000        46,265,229  

0.037% due 07/23/15

     15,294,000        15,292,319  

0.031% due 07/30/15†

     46,862,000        46,855,753  

0.046% due 08/06/15†

     66,459,000        66,446,107  

0.048% due 08/13/15†

     68,183,000        68,169,043  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $569,902,127)

$ 569,900,064  
     

 

 

 

 

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

VIX Futures - CBOE, expires April 2015

     38,547      $ 627,352,425      $ (55,127,903

VIX Futures - CBOE, expires May 2015

     42,693        761,002,725        6,202,210  
        

 

 

 
$ (48,925,693
        

 

 

 

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $73,653,370 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 32,459     $ 21,276  
  

 

 

   

 

 

 

Expenses

Management fee

  1,178,762     586,132  

Brokerage commissions

  903,310     519,447  
  

 

 

   

 

 

 

Total expenses

  2,082,072     1,105,579  
  

 

 

   

 

 

 

Net investment income (loss)

  (2,049,613 )   (1,084,303 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (135,093,226 )   (3,546,304 )

Short-term U.S. government and agency obligations

  4,072     (914 )
  

 

 

   

 

 

 

Net realized gain (loss)

  (135,089,154 )   (3,547,218 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (88,510,946 )   (5,691,916 )

Short-term U.S. government and agency obligations

  12     2,542  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (88,510,934 )   (5,689,374 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (223,600,088 )   (9,236,592 )
  

 

 

   

 

 

 

Net income (loss)

$ (225,649,701 ) $ (10,320,895 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (8.93 ) $ (2.53 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  25,266,210     3,714,601  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  351,789,953  

Addition of 48,150,000 shares

  966,149,726  

Redemption of 16,500,000 shares

  (398,569,894 )
  

 

 

 

Net addition (redemption) of 31,650,000 shares

  567,579,832  
  

 

 

 

Net investment income (loss)

  (2,049,613 )

Net realized gain (loss)

  (135,089,154 )

Change in net unrealized appreciation/depreciation

  (88,510,934 )
  

 

 

 

Net income (loss)

  (225,649,701 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 693,720,084  
  

 

 

 

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (225,649,701 )   $ (10,320,895 )

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

    

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

     43,254,330       (26,944,250 )

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

     (387,260,864 )     (64,317,479 )

Change in unrealized appreciation/depreciation on investments

     (12 )     (2,542 )

Decrease (Increase) in receivable on futures contracts

     5,180,769       —    

Increase (Decrease) in management fee payable

     260,562       44,327  

Increase (Decrease) in payable on futures contracts

     —         21,168,707  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (564,214,916 )   (80,372,132 )
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  970,798,327     302,055,786  

Payment on shares redeemed

  (404,841,950 )   (220,376,697 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  565,956,377     81,679,089  
  

 

 

   

 

 

 

Net increase (decrease) in cash

  1,741,461     1,306,957  

Cash, beginning of period

  3,737,292     2,240,977  
  

 

 

   

 

 

 

Cash, end of period

$ 5,478,753   $ 3,547,934  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 555,463      $ 467,766  

Short-term U.S. government and agency obligations (Note 3) (cost $4,990,615 and $4,233,396, respectively)

     4,990,827        4,233,548  

Unrealized appreciation on swap agreements

     276,625        567,259  
  

 

 

    

 

 

 

Total assets

  5,822,915     5,268,573  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  4,552     3,867  
  

 

 

    

 

 

 

Total liabilities

  4,552     3,867  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  5,818,363     5,264,706  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 5,822,915   $ 5,268,573  
  

 

 

    

 

 

 

Shares outstanding

  59,997     59,997  
  

 

 

    

 

 

 

Net asset value per share

$ 96.98   $ 87.75  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 98.25   $ 87.44  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(86% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.039% due 04/16/15†

   $ 2,131,000      $ 2,130,987  

0.087% due 06/11/15†

     877,000        876,965  

0.016% due 06/18/15

     607,000        606,980  

0.050% due 07/09/15†

     828,000        827,955  

0.038% due 07/23/15†

     548,000        547,940  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $4,990,615)

$ 4,990,827  
     

 

 

 

Swap Agreements^

 

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

Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index

     0.25     04/07/15       $ (4,602,773   $ 118,941  

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index

     0.25        04/07/15         (4,537,347     113,070  

Swap agreement with UBS AG based on Bloomberg Commodity Index

     0.60        04/07/15         (2,475,856     44,614  
         

 

 

 
$ 276,625  
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

 

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 528     $ 308  
  

 

 

   

 

 

 

Expenses

Management fee

  12,846     8,299  
  

 

 

   

 

 

 

Total expenses

  12,846     8,299  
  

 

 

   

 

 

 

Net investment income (loss)

  (12,318 )   (7,991 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Swap agreements

  856,549     (635,695 )

Net realized gain (loss)

  856,549     (635,695 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Swap agreements

  (290,634 )   129,934  

Short-term U.S. government and agency obligations

  60     55  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (290,574 )   129,989  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  565,975     (505,706 )
  

 

 

   

 

 

 

Net income (loss)

$ 553,657   $ (513,697 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 9.23   $ (8.56 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  59,997     59,997  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  5,264,706  

Net investment income (loss)

  (12,318 )

Net realized gain (loss)

  856,549  

Change in net unrealized appreciation/depreciation

  (290,574 )
  

 

 

 

Net income (loss)

  553,657  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 5,818,363  
  

 

 

 

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015, AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 553,657     $ (513,697 )

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

    

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

     (757,219 )     967,212  

Change in unrealized appreciation/depreciation on investments

     290,574       (129,989 )

Increase (Decrease) in management fee payable

     685       (394 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  87,697     323,132  
  

 

 

   

 

 

 

Cash flow from financing activities

Net increase (decrease) in cash

  87,697     323,132  

Cash, beginning of period

  467,766     374,245  
  

 

 

   

 

 

 

Cash, end of period

$ 555,463   $ 697,377  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 6,869,907      $ 994,268  

Segregated cash balances with brokers for futures contracts

     20,594,295        12,292,665  

Short-term U.S. government and agency obligations (Note 3) (cost $319,738,023 and $131,592,367, respectively)

     319,733,997        131,594,608  

Unrealized appreciation on swap agreements

     26,857,473        27,018,077  

Receivable on open futures contracts

     4,822,119        1,293,531  
  

 

 

    

 

 

 

Total assets

  378,877,791     173,193,149  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  8,302,977     3,854,654  

Management fee payable

  237,809     128,385  
  

 

 

    

 

 

 

Total liabilities

  8,540,786     3,983,039  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  370,337,005     169,210,110  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 378,877,791   $ 173,193,149  
  

 

 

    

 

 

 

Shares outstanding

  4,269,944     2,169,944  
  

 

 

    

 

 

 

Net asset value per share

$ 86.73   $ 77.98  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 87.14   $ 76.52  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(86% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.041% due 04/16/15

   $ 8,635,000      $ 8,634,946  

0.026% due 04/30/15

     29,818,000        29,816,921  

0.064% due 05/14/15†

     6,795,000        6,794,797  

0.023% due 05/21/15†

     7,636,000        7,635,735  

0.020% due 05/28/15

     40,758,000        40,756,064  

0.069% due 06/04/15

     6,555,000        6,554,767  

0.013% due 06/11/15†

     39,293,000        39,291,452  

0.002% due 06/18/15†

     31,032,000        31,030,991  

0.015% due 06/25/15†

     12,887,000        12,886,696  

0.023% due 07/02/15†

     54,556,000        54,551,815  

0.029% due 07/16/15†

     13,419,000        13,417,616  

0.037% due 07/23/15†

     16,787,000        16,785,155  

0.035% due 07/30/15†

     6,214,000        6,213,172  

0.050% due 08/06/15†

     14,741,000        14,738,140  

0.044% due 08/13/15†

     30,632,000        30,625,730  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $319,738,023)

$ 319,733,997  
     

 

 

 

Futures Contracts Sold††

 

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

Crude Oil - NYMEX, expires May 2015

     6,624      $ 315,302,400      $ 17,406,261  

Swap Agreements^

 

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

Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex

     0.25     04/07/15       $ (137,750,775   $ 9,502,897  

Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex

     0.25        04/07/15         (126,651,917     7,090,832  

Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex

     0.25        04/07/15         (35,138,342     2,850,353  

Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex

     0.25        04/07/15         (125,826,188     7,413,391  
         

 

 

 
$ 26,857,473  
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
†† Cash collateral in the amount of $ 20,594,295 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

 

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 20,512     $ 36,973  
  

 

 

   

 

 

 

Expenses

Management fee

  603,835     623,553  

Brokerage commissions

  44,285     12,693  
  

 

 

   

 

 

 

Total expenses

  648,120     636,246  
  

 

 

   

 

 

 

Net investment income (loss)

  (627,608 )   (599,273 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  18,106,720     (2,911,251 )

Swap agreements

  26,543,152     (9,366,750 )

Short-term U.S. government and agency obligations

  7,884     5,289  
  

 

 

   

 

 

 

Net realized gain (loss)

  44,657,756     (12,272,712 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  1,599,658     (5,031,541 )

Swap agreements

  (160,604 )   1,639,969  

Short-term U.S. government and agency obligations

  (6,267 )   (1,878 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  1,432,787     (3,393,450 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  46,090,543     (15,666,162 )
  

 

 

   

 

 

 

Net income (loss)

$ 45,462,935   $ (16,265,435 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 14.65   $ (1.87 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  3,103,833     8,687,722  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  169,210,110  

Addition of 4,600,000 shares

  372,664,934  

Redemption of 2,500,000 shares

  (217,000,974 )
  

 

 

 

Net addition (redemption) of 2,100,000 shares

  155,663,960  
  

 

 

 

Net investment income (loss)

  (627,608 )

Net realized gain (loss)

  44,657,756  

Change in net unrealized appreciation/depreciation

  1,432,787  
  

 

 

 

Net income (loss)

  45,462,935  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 370,337,005  
  

 

 

 

 

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015, AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 45,462,935     $ (16,265,435 )

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

    

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

     (8,301,630 )     (1,750,925 )

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

     (188,145,656 )     (40,675,851 )

Change in unrealized appreciation/depreciation on investments

     166,871       (1,638,091 )

Decrease (Increase) in receivable on futures contracts

     (3,528,588 )     1,158,118  

Increase (Decrease) in management fee payable

     109,424       58,766  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (154,236,644 )   (59,113,418 )
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  372,664,934     214,164,184  

Payment on shares redeemed

  (212,552,651 )   (152,942,823 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  160,112,283     61,221,361  
  

 

 

   

 

 

 

Net increase (decrease) in cash

  5,875,639     2,107,943  

Cash, beginning of period

  994,268     1,872,915  
  

 

 

   

 

 

 

Cash, end of period

$ 6,869,907   $ 3,980,858  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 258,382      $ 696,743  

Segregated cash balances with brokers for futures contracts

     1,708,036        4,405,830  

Short-term U.S. government and agency obligations (Note 3) (cost $8,979,490 and $8,672,527, respectively)

     8,979,498        8,672,710  

Receivable on open futures contracts

     —          923,531  
  

 

 

    

 

 

 

Total assets

  10,945,916     14,698,814  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts

  5,985     —    

Management fee payable

  8,361     10,250  
  

 

 

    

 

 

 

Total liabilities

  14,346     10,250  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  10,931,570     14,688,564  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 10,945,916   $ 14,698,814  
  

 

 

    

 

 

 

Shares outstanding

  124,952     174,952  
  

 

 

    

 

 

 

Net asset value per share

$ 87.49   $ 83.96  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 87.54   $ 82.03  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(82% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.042% due 04/16/15

   $ 613,000      $ 612,996  

0.056% due 04/30/15

     790,000        789,971  

0.061% due 05/14/15

     2,097,000        2,096,937  

0.044% due 05/21/15

     469,000        468,984  

0.022% due 06/04/15

     659,000        658,977  

0.016% due 06/18/15

     1,095,000        1,094,964  

0.015% due 06/25/15

     225,000        224,995  

0.015% due 07/02/15†

     2,297,000        2,296,824  

0.045% due 08/13/15†

     735,000        734,850  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $8,979,490)

$ 8,979,498  
     

 

 

 

Futures Contracts Sold††

 

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

Natural Gas - NYMEX, expires May 2015

     828      $ 21,859,200      $ 859,740  

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $1,708,036 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 985     $ 6,683  
  

 

 

   

 

 

 

Expenses

Management fee

  28,373     131,806  

Brokerage commissions

  14,199     30,462  
  

 

 

   

 

 

 

Total expenses

  42,572     162,268  
  

 

 

   

 

 

 

Net investment income (loss)

  (41,587 )   (155,585 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  5,179,268     (9,215,034 )

Short-term U.S. government and agency obligations

  448     2,052  
  

 

 

   

 

 

 

Net realized gain (loss)

  5,179,716     (9,212,982 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (3,081,725 )   3,437,020  

Short-term U.S. government and agency obligations

  (175 )   2,243  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (3,081,900 )   3,439,263  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  2,097,816     (5,773,719 )
  

 

 

   

 

 

 

Net income (loss)

$ 2,056,229   $ (5,929,304 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 13.56   $ (4.67 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  151,618     1,270,507  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  14,688,564  

Addition of 150,000 shares

  10,858,377  

Redemption of 200,000 shares

  (16,671,600 )
  

 

 

 

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

  (5,813,223 )
  

 

 

 

Net investment income (loss)

  (41,587 )

Net realized gain (loss)

  5,179,716  

Change in net unrealized appreciation/depreciation

  (3,081,900 )
  

 

 

 

Net income (loss)

  2,056,229  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 10,931,570  
  

 

 

 

 

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 2,056,229     $ (5,929,304 )

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

    

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

     2,697,794       (8,719,700 )

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

     (306,963 )     (38,476,294 )

Change in unrealized appreciation/depreciation on investments

     175       (2,243 )

Decrease (Increase) in receivable on futures contracts

     923,531       (1,231,947 )

Increase (Decrease) in management fee payable

     (1,889 )     54,169  

Increase (Decrease) in payable on futures contracts

     5,985       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  5,374,862     (54,305,319 )
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  10,858,377     89,514,809  

Payment on shares redeemed

  (16,671,600 )   (32,775,728 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (5,813,223 )   56,739,081  
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (438,361 )   2,433,762  

Cash, beginning of period

  696,743     564,647  
  

 

 

   

 

 

 

Cash, end of period

$ 258,382   $ 2,998,409  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 164,117      $ 162,434  

Segregated cash balances with brokers for futures contracts

     8,800        8,800  

Short-term U.S. government and agency obligations (Note 3) (cost $79,438,253 and $84,038,905, respectively)

     79,438,219        84,040,107  

Receivable on open futures contracts

     392        3,260  
  

 

 

    

 

 

 

Total assets

  79,611,528     84,214,601  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  68,833     70,061  

Unrealized depreciation on forward agreements

  1,582,081     2,282,778  
  

 

 

    

 

 

 

Total liabilities

  1,650,914     2,352,839  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  77,960,614     81,861,762  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 79,611,528   $ 84,214,601  
  

 

 

    

 

 

 

Shares outstanding

  796,978     846,978  
  

 

 

    

 

 

 

Net asset value per share

$ 97.82   $ 96.65  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 98.18   $ 100.22  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(102% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.041% due 04/16/15

   $ 2,572,000      $ 2,571,984  

0.042% due 04/30/15†

     6,386,000        6,385,769  

0.056% due 05/14/15†

     25,151,000        25,150,248  

0.061% due 05/21/15†

     2,641,000        2,640,908  

0.005% due 06/11/15

     530,000        529,979  

0.060% due 06/18/15

     996,000        995,968  

0.030% due 07/02/15†

     9,863,000        9,862,244  

0.024% due 07/16/15

     1,661,000        1,660,829  

0.038% due 07/23/15†

     2,562,000        2,561,718  

0.035% due 07/30/15

     1,191,000        1,190,841  

0.045% due 08/06/15

     2,915,000        2,914,435  

0.043% due 08/13/15†

     22,978,000        22,973,296  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $79,438,253)

$ 79,438,219  
     

 

 

 

Futures Contracts Sold††

 

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

Gold Futures - COMEX, expires June 2015

     2      $ 236,640      $ (6,040

Forward Agreements^

 

     Rate Paid
(Received)*
    Settlement Date      Commitment to
(Deliver)/Receive
    Notional Amount
at Value**
    Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold

     0.14     04/07/15       $ (63,900   $ (75,851,856   $ (647,913

Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold

     0.28        04/07/15         (28,898     (34,302,793     (370,015

Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold

     0.40        04/07/15         (13,100     (15,549,962     (375,583

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

     0.29        04/07/15         (25,250     (29,972,508     (188,570
           

 

 

 
$ (1,582,081
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $8,800 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 8,196     $ 15,195  
  

 

 

   

 

 

 

Expenses

Management fee

  193,876     265,552  

Brokerage commissions

  16     16  
  

 

 

   

 

 

 

Total expenses

  193,892     265,568  
  

 

 

   

 

 

 

Net investment income (loss)

  (185,696 )   (250,373 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  2,000     (18,560 )

Forward agreements

  1,916,530     (22,131,127 )

Short-term U.S. government and agency obligations

  (600 )   1,495  
  

 

 

   

 

 

 

Net realized gain (loss)

  1,917,930     (22,148,192 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (1,520 )   2,340  

Forward agreements

  700,697     2,898,709  

Short-term U.S. government and agency obligations

  (1,236 )   3,529  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  697,941     2,904,578  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  2,615,871     (19,243,614 )
  

 

 

   

 

 

 

Net income (loss)

$ 2,430,175   $ (19,493,987 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 2.76   $ (15.41 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  881,422     1,265,311  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  81,861,762  

Addition of 100,000 shares

  8,523,330  

Redemption of 150,000 shares

  (14,854,653 )
  

 

 

 

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

  (6,331,323 )
  

 

 

 

Net investment income (loss)

  (185,696 )

Net realized gain (loss)

  1,917,930  

Change in net unrealized appreciation/depreciation

  697,941  
  

 

 

 

Net income (loss)

  2,430,175  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 77,960,614  
  

 

 

 

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 2,430,175     $ (19,493,987 )

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

    

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

     4,600,652       43,151,202  

Change in unrealized appreciation/depreciation on investments

     (699,461 )     (2,902,238 )

Decrease (Increase) in receivable on futures contracts

     2,868       (1,800 )

Increase (Decrease) in management fee payable

     (1,228 )     (38,574 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  6,333,006     20,714,603  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  8,523,330     27,505,358  

Payment on shares redeemed

  (14,854,653 )   (48,205,557 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (6,331,323 )   (20,700,199 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  1,683     14,404  

Cash, beginning of period

  162,434     197,647  
  

 

 

   

 

 

 

Cash, end of period

$ 164,117   $ 212,051  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 145,419      $ 207,506  

Segregated cash balances with brokers for futures contracts

     16,940        14,300  

Short-term U.S. government and agency obligations (Note 3) (cost $50,000,423 and $52,225,712, respectively)

     50,001,670        52,226,692  

Unrealized appreciation on forward agreements

     —          799,523  

Receivable from capital shares sold

     10,118,943        —     

Receivable on open futures contracts

     760        6,770  
  

 

 

    

 

 

 

Total assets

  60,283,732     53,254,791  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  43,050     42,354  

Unrealized depreciation on forward agreements

  3,736,183     204,570  
  

 

 

    

 

 

 

Total liabilities

  3,779,233     246,924  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  56,504,499     53,007,867  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 60,283,732   $ 53,254,791  
  

 

 

    

 

 

 

Shares outstanding

  558,489     458,489  
  

 

 

    

 

 

 

Net asset value per share

$ 101.17   $ 115.61  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 100.85   $ 119.39  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(88% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.054% due 04/30/15†

   $ 7,530,000      $ 7,529,727  

0.056% due 05/14/15

     1,504,000        1,503,955  

0.061% due 05/21/15

     2,355,000        2,354,918  

0.067% due 06/04/15†

     15,634,000        15,633,444  

0.027% due 06/18/15†

     5,981,000        5,980,806  

0.030% due 07/02/15†

     4,494,000        4,493,655  

0.024% due 07/16/15†

     3,518,000        3,517,637  

0.037% due 07/23/15†

     3,881,000        3,880,574  

0.038% due 08/13/15†

     5,108,000        5,106,954  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $50,000,423)

$ 50,001,670  
     

 

 

 

Futures Contracts Sold††

 

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

Silver Futures - COMEX, expires May 2015

     2      $ 165,980      $ 3,095  

Forward Agreements^

 

     Rate Paid
(Received)*
    Settlement Date      Commitment to
(Deliver)/Receive
    Notional Amount
at Value**
    Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver

     (0.27 )%      04/07/15       $ (3,059,000   $ (50,784,906   $ (1,877,505

Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver

     0.00        04/07/15         (1,595,500     (26,487,374     (860,699

Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver

     (0.01     04/07/15         (547,000     (9,081,075     (296,399

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

     (0.05     04/07/15         (1,595,000     (26,479,552     (701,580
           

 

 

 
$ (3,736,183
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $16,940 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 6,143     $ 12,957  
  

 

 

   

 

 

 

Expenses

Management fee

  124,355     204,160  

Brokerage commissions

  8     8  
  

 

 

   

 

 

 

Total expenses

  124,363     204,168  
  

 

 

   

 

 

 

Net investment income (loss)

  (118,220 )   (191,211 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (11,200 )   5,350  

Forward agreements

  (1,350,505 )   (12,619,755 )

Short-term U.S. government and agency obligations

  (158 )   1,541  
  

 

 

   

 

 

 

Net realized gain (loss)

  (1,361,863 )   (12,612,864 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  1,535     (8,870 )

Forward agreements

  (4,331,136 )   9,970,437  

Short-term U.S. government and agency obligations

  267     (518 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (4,329,334 )   9,961,049  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (5,691,197 )   (2,651,815 )
  

 

 

   

 

 

 

Net income (loss)

$ (5,809,417 ) $ (2,843,026 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (11.33 ) $ (2.64 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  512,933     1,078,489  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  53,007,867  

Addition of 250,000 shares

  25,115,676  

Redemption of 150,000 shares

  (15,809,627 )
  

 

 

 

Net addition (redemption) of 100,000 shares

  9,306,049  
  

 

 

 

Net investment income (loss)

  (118,220 )

Net realized gain (loss)

  (1,361,863 )

Change in net unrealized appreciation/depreciation

  (4,329,334 )
  

 

 

 

Net income (loss)

  (5,809,417 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 56,504,499  
  

 

 

 

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (5,809,417 )   $ (2,843,026 )

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

    

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

     (2,640 )     —    

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

     2,225,289       47,636,698  

Change in unrealized appreciation/depreciation on investments

     4,330,869       (9,969,919 )

Decrease (Increase) in receivable on futures contracts

     6,010       2,450  

Increase (Decrease) in management fee payable

     696       (31,378 )

Increase (Decrease) in payable on futures contracts

     —         440  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  750,807     34,795,265  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  14,996,733     41,391,244  

Payment on shares redeemed

  (15,809,627 )   (76,378,197 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (812,894 )   (34,986,953 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (62,087 )   (191,688 )

Cash, beginning of period

  207,506     461,167  
  

 

 

   

 

 

 

Cash, end of period

$ 145,419   $ 269,479  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 1,534,250      $ 1,640,225  

Segregated cash balances with brokers for futures contracts

     511,500        242,880  

Short-term U.S. government and agency obligations (Note 3) (cost $18,011,817 and $12,086,398, respectively)

     18,012,179        12,086,577  

Receivable on open futures contracts

     141,325        63,250  
  

 

 

    

 

 

 

Total assets

  20,199,254     14,032,932  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  15,251     11,128  
  

 

 

    

 

 

 

Total liabilities

  15,251     11,128  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  20,184,003     14,021,804  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 20,199,254   $ 14,032,932  
  

 

 

    

 

 

 

Shares outstanding

  450,005     350,005  
  

 

 

    

 

 

 

Net asset value per share

$ 44.85   $ 40.06  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 44.87   $ 40.03  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(89% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.041% due 04/16/15

   $ 2,278,000      $ 2,277,986  

0.040% due 04/30/15

     1,708,000        1,707,938  

0.073% due 06/04/15

     3,375,000        3,374,880  

0.010% due 06/18/15

     2,171,000        2,170,929  

0.015% due 06/25/15

     4,804,000        4,803,887  

0.050% due 07/09/15

     206,000        205,989  

0.035% due 07/16/15

     2,388,000        2,387,754  

0.038% due 07/23/15

     404,000        403,955  

0.045% due 08/13/15

     679,000        678,861  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $18,011,817)

$ 18,012,179  
     

 

 

 

Futures Contracts Sold††

 

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

Euro Fx Currency Futures - CME, expires June 2015

     150      $ 20,163,750      $ 109,769  

 

†† Cash collateral in the amount of $511,500 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 1,380     $ 1,046  
  

 

 

   

 

 

 

Expenses

Management fee

  38,859     17,406  

Brokerage commissions

  868     239  
  

 

 

   

 

 

 

Total expenses

  39,727     17,645  
  

 

 

   

 

 

 

Net investment income (loss)

  (38,347 )   (16,599 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  2,057,094     (66,588 )

Short-term U.S. government and agency obligations

  —       258  
  

 

 

   

 

 

 

Net realized gain (loss)

  2,057,094     (66,330 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (275,562 )   81,131  

Short-term U.S. government and agency obligations

  183     (190 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (275,379 )   80,941  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  1,781,715     14,611  
  

 

 

   

 

 

 

Net income (loss)

$ 1,743,368   $ (1,988 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 4.52   $ (0.01 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  385,561     207,783  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  14,021,804  

Addition of 100,000 shares

  4,418,831  
  

 

 

 

Net investment income (loss)

  (38,347 )

Net realized gain (loss)

  2,057,094  

Change in net unrealized appreciation/depreciation

  (275,379 )
  

 

 

 

Net income (loss)

  1,743,368  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 20,184,003  
  

 

 

 

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 1,743,368     $ (1,988 )

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

    

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

     (268,620 )     27,225  

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

     (5,925,419 )     1,674,609  

Change in unrealized appreciation/depreciation on investments

     (183 )     190  

Decrease (Increase) in receivable on futures contracts

     (78,075 )     9,100  

Increase (Decrease) in management fee payable

     4,123       (1,282 )

Increase (Decrease) in payable on futures contracts

     —         12,300  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (4,524,806 )   1,720,154  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  4,418,831     —    

Payment on shares redeemed

  —       (1,792,584 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  4,418,831     (1,792,584 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (105,975 )   (72,430 )

Cash, beginning of period

  1,640,225     863,980  
  

 

 

   

 

 

 

Cash, end of period

$ 1,534,250   $ 791,550  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 2,623,624      $ 1,788,757  

Segregated cash balances with brokers for futures contracts

     382,125        1,020,217  

Short-term U.S. government and agency obligations (Note 3) (cost $16,932,386 and $20,267,681, respectively)

     16,932,493        20,267,679  

Receivable on open futures contracts

     182,288        62,534  
  

 

 

    

 

 

 

Total assets

  20,120,530     23,139,187  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  15,595     18,397  
  

 

 

    

 

 

 

Total liabilities

  15,595     18,397  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  20,104,935     23,120,790  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 20,120,530   $ 23,139,187  
  

 

 

    

 

 

 

Shares outstanding

  350,005     450,005  
  

 

 

    

 

 

 

Net asset value per share

$ 57.44   $ 51.38  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 57.34   $ 51.37  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(84% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.043% due 04/16/15

   $ 756,000      $ 755,995  

0.056% due 04/30/15

     236,000        235,992  

0.012% due 05/21/15

     3,305,000        3,304,885  

0.022% due 05/28/15

     409,000        408,981  

0.015% due 06/25/15†

     11,303,000        11,302,733  

0.050% due 07/02/15†

     604,000        603,954  

0.038% due 07/23/15†

     199,000        198,978  

0.043% due 08/13/15

     121,000        120,975  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $16,932,386)

$ 16,932,493  
     

 

 

 

Futures Contracts Sold††

 

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

Australian Dollar Fx Currency Futures - CME, expires June 2015

     530      $ 40,179,300      $ 419,850  

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $382,125 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 1,107     $ 3,864  
  

 

 

   

 

 

 

Expenses

Management fee

  52,824     59,260  

Brokerage commissions

  3,997     3,782  
  

 

 

   

 

 

 

Total expenses

  56,821     63,042  
  

 

 

   

 

 

 

Net investment income (loss)

  (55,714 )   (59,178 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  2,979,670     (78,609 )

Short-term U.S. government and agency obligations

  219     404  
  

 

 

   

 

 

 

Net realized gain (loss)

  2,979,889     (78,205 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (323,631 )   (2,139,484 )

Short-term U.S. government and agency obligations

  109     (415 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (323,522 )   (2,139,899 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  2,656,367     (2,218,104 )
  

 

 

   

 

 

 

Net income (loss)

$ 2,600,653   $ (2,277,282 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 6.28   $ (4.13 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  413,894     551,672  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  23,120,790  

Addition of 50,000 shares

  2,764,167  

Redemption of 150,000 shares

  (8,380,675 )
  

 

 

 

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

  (5,616,508 )
  

 

 

 

Net investment income (loss)

  (55,714 )

Net realized gain (loss)

  2,979,889  

Change in net unrealized appreciation/depreciation

  (323,522 )
  

 

 

 

Net income (loss)

  2,600,653  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 20,104,935  
  

 

 

 

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 2,600,653     $ (2,277,282 )

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

    

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

     638,092       207,570  

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

     3,335,295       4,970,625  

Change in unrealized appreciation/depreciation on investments

     (109 )     415  

Decrease (Increase) in receivable on futures contracts

     (119,754 )     —    

Increase (Decrease) in management fee payable

     (2,802 )     (2,916 )

Increase (Decrease) in payable on futures contracts

     —         2,933  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  6,451,375     2,901,345  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  2,764,167     —    

Payment on shares redeemed

  (8,380,675 )   (4,540,263 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (5,616,508 )   (4,540,263 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  834,867     (1,638,918 )

Cash, beginning of period

  1,788,757     2,751,320  
  

 

 

   

 

 

 

Cash, end of period

$ 2,623,624   $ 1,112,402  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 275,163      $ 746,454  

Short-term U.S. government and agency obligations (Note 3) (cost $549,433,835 and $487,097,789, respectively)

     549,451,431        487,111,117  

Unrealized appreciation on foreign currency forward contracts

     25,478,862        19,019,765  

Receivable from capital shares sold

     47,160,400        12,956,604  
  

 

 

    

 

 

 

Total assets

  622,365,856     519,833,940  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  437,633     385,820  

Unrealized depreciation on foreign currency forward contracts

  2,088,667     2,256,771  
  

 

 

    

 

 

 

Total liabilities

  2,526,300     2,642,591  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  619,839,556     517,191,349  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 622,365,856   $ 519,833,940  
  

 

 

    

 

 

 

Shares outstanding

  23,000,014     23,950,014  
  

 

 

    

 

 

 

Net asset value per share

$ 26.95   $ 21.59  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 26.95   $ 21.61  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

62


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PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(89% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.041% due 04/16/15†

   $ 2,717,000      $ 2,716,983  

0.048% due 04/30/15†

     51,620,000        51,618,131  

0.015% due 05/14/15

     6,567,000        6,566,804  

0.050% due 05/21/15

     74,042,000        74,039,431  

0.070% due 05/28/15

     6,919,000        6,918,671  

0.073% due 06/04/15†

     130,454,000        130,449,356  

0.090% due 06/11/15†

     38,365,000        38,363,488  

0.050% due 07/09/15†

     25,516,000        25,514,597  

0.025% due 07/16/15

     84,059,000        84,050,333  

0.041% due 07/23/15†

     51,595,000        51,589,330  

0.030% due 07/30/15

     22,538,000        22,534,996  

0.040% due 08/06/15†

     55,100,000        55,089,311  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $549,433,835)

$ 549,451,431  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     04/10/15         81,791,800     $ 87,926,805     $ (886,380

Euro with UBS AG

     04/10/15         110,930,600       119,251,236       (1,202,287
         

 

 

 
$ (2,088,667
         

 

 

 

Contracts to Sell

Euro with Goldman Sachs International

  04/10/15      (617,582,525 $ (663,905,895 $ 11,962,630  

Euro with UBS AG

  04/10/15      (728,286,800   (782,913,830   13,516,232  
         

 

 

 
$ 25,478,862  
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 67,590     $ 69,357  
  

 

 

   

 

 

 

Expenses

Management fee

  1,257,145     970,756  
  

 

 

   

 

 

 

Total expenses

  1,257,145     970,756  
  

 

 

   

 

 

 

Net investment income (loss)

  (1,189,555 )   (901,399 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts

  107,515,818     (12,182,041 )

Short-term U.S. government and agency obligations

  12,521     1,938  
  

 

 

   

 

 

 

Net realized gain (loss)

  107,528,339     (12,180,103 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Foreign currency forward contracts

  6,627,201     10,024,197  

Short-term U.S. government and agency obligations

  4,268     (10,487 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  6,631,469     10,013,710  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  114,159,808     (2,166,393 )
  

 

 

   

 

 

 

Net income (loss)

$ 112,970,253   $ (3,067,792 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 5.20   $ (0.13 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  21,722,792     24,156,681  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  517,191,349  

Addition of 5,500,000 shares

  148,238,393  

Redemption of 6,450,000 shares

  (158,560,439 )
  

 

 

 

Net addition (redemption) of (950,000) shares

  (10,322,046 )
  

 

 

 

Net investment income (loss)

  (1,189,555 )

Net realized gain (loss)

  107,528,339  

Change in net unrealized appreciation/depreciation

  6,631,469  
  

 

 

 

Net income (loss)

  112,970,253  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 619,839,556  
  

 

 

 

 

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 112,970,253     $ (3,067,792 )

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

    

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

     (62,336,046 )     23,525,818  

Change in unrealized appreciation/depreciation on investments

     (6,631,469 )     (10,013,710 )

Increase (Decrease) in management fee payable

     51,813       (17,998 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  44,054,551     10,426,318  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  114,034,597     3,360,054  

Payment on shares redeemed

  (158,560,439 )   (13,798,403 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (44,525,842 )   (10,438,349 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (471,291 )   (12,031 )

Cash, beginning of period

  746,454     218,940  
  

 

 

   

 

 

 

Cash, end of period

$ 275,163   $ 206,909  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 446,091      $ 532,706  

Short-term U.S. government and agency obligations (Note 3) (cost $444,086,152 and $532,944,509, respectively)

     444,090,783        532,957,746  

Unrealized appreciation on foreign currency forward contracts

     725,490        571,149  
  

 

 

    

 

 

 

Total assets

  445,262,364     534,061,601  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  4,448,693     —    

Management fee payable

  393,931     439,804  

Unrealized depreciation on foreign currency forward contracts

  57,733     2,149,924  
  

 

 

    

 

 

 

Total liabilities

  4,900,357     2,589,728  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  440,362,007     531,471,873  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 445,262,364   $ 534,061,601  
  

 

 

    

 

 

 

Shares outstanding

  4,949,294     5,949,294  
  

 

 

    

 

 

 

Net asset value per share

$ 88.97   $ 89.33  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 88.91   $ 89.30  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(101% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.041% due 04/16/15

   $ 81,110,000      $ 81,109,497  

0.056% due 04/30/15†

     17,961,000        17,960,350  

0.063% due 05/14/15

     1,002,000        1,001,970  

0.070% due 05/21/15†

     9,923,000        9,922,656  

0.087% due 06/11/15†

     31,920,000        31,918,742  

0.026% due 06/25/15†

     17,106,000        17,105,596  

0.030% due 07/02/15†

     5,564,000        5,563,573  

0.040% due 07/23/15

     62,192,000        62,185,165  

0.034% due 07/30/15†

     174,813,000        174,789,698  

0.070% due 08/06/15

     22,806,000        22,801,576  

0.045% due 08/13/15†

     19,736,000        19,731,960  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $444,086,152)

$ 444,090,783  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     04/10/15         20,565,620,300     $ 171,495,639     $ 35,707  

Yen with UBS AG

     04/10/15         5,923,386,600       49,394,813       (57,733
         

 

 

 
$ (22,026
         

 

 

 

Contracts to Sell

Yen with Goldman Sachs International

  04/10/15      (68,851,569,600 $ (574,149,660 $ 410,985  

Yen with UBS AG

  04/10/15      (63,324,691,700   (528,061,312   278,798  
         

 

 

 
$ 689,783  
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 45,048     $ 78,224  
  

 

 

   

 

 

 

Expenses

Management fee

  1,161,592     1,028,533  
  

 

 

   

 

 

 

Total expenses

  1,161,592     1,028,533  
  

 

 

   

 

 

 

Net investment income (loss)

  (1,116,544 )   (950,309 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts

  (5,107,734 )   (102,730 )

Short-term U.S. government and agency obligations

  2,443     8,346  
  

 

 

   

 

 

 

Net realized gain (loss)

  (5,105,291 )   (94,384 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Foreign currency forward contracts

  2,246,532     (24,540,300 )

Short-term U.S. government and agency obligations

  (8,606 )   (2,113 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  2,237,926     (24,542,413 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (2,867,365 )   (24,636,797 )
  

 

 

   

 

 

 

Net income (loss)

$ (3,983,909 ) $ (25,587,106 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (0.71 ) $ (3.93 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  5,629,294     6,513,738  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  531,471,873  

Addition of 650,000 shares

  58,116,062  

Redemption of 1,650,000 shares

  (145,242,019 )
  

 

 

 

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

  (87,125,957 )
  

 

 

 

Net investment income (loss)

  (1,116,544 )

Net realized gain (loss)

  (5,105,291 )

Change in net unrealized appreciation/depreciation

  2,237,926  
  

 

 

 

Net income (loss)

  (3,983,909 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 440,362,007  
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (3,983,909 )   $ (25,587,106 )

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

    

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

     88,858,357       157,858,611  

Change in unrealized appreciation/depreciation on investments

     (2,237,926 )     24,542,413  

Increase (Decrease) in management fee payable

     (45,873 )     (105,150 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  82,590,649     156,708,768  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  58,116,062     9,974,148  

Payment on shares redeemed

  (140,793,326 )   (166,857,972 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (82,677,264 )   (156,883,824 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (86,615 )   (175,056 )

Cash, beginning of period

  532,706     575,108  
  

 

 

   

 

 

 

Cash, end of period

$ 446,091   $ 400,052  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 171,443      $ 185,684  

Short-term U.S. government and agency obligations (Note 3) (cost $2,242,745 and $2,754,883, respectively)

     2,242,809        2,754,900  
  

 

 

    

 

 

 

Total assets

  2,414,252     2,940,584  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  1,911     2,326  

Unrealized depreciation on swap agreements

  129,433     331,338  
  

 

 

    

 

 

 

Total liabilities

  131,344     333,664  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  2,282,908     2,606,920  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 2,414,252   $ 2,940,584  
  

 

 

    

 

 

 

Shares outstanding

  200,014     200,014  
  

 

 

    

 

 

 

Net asset value per share

$ 11.41   $ 13.03  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 11.70   $ 12.86  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(98% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.047% due 04/30/15†

   $ 483,000      $ 482,982  

0.060% due 06/18/15†

     903,000        902,971  

0.036% due 07/16/15

     308,000        307,968  

0.043% due 08/13/15

     549,000        548,888  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,242,745)

$ 2,242,809  
     

 

 

 

Swap Agreements^

 

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

Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index

     0.25     04/07/15       $ 1,972,023      $ (54,521

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index

     0.25        04/07/15         1,999,276        (55,872

Swap agreement with UBS AG based on Bloomberg Commodity Index

     0.60        04/07/15         603,138        (19,040
          

 

 

 
$ (129,433
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

 

See accompanying notes to financial statements.

 

73


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PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 254     $ 332  
  

 

 

   

 

 

 

Expenses

Management fee

  5,773     7,289  
  

 

 

   

 

 

 

Total expenses

  5,773     7,289  
  

 

 

   

 

 

 

Net investment income (loss)

  (5,519 )   (6,957 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Swap agreements

  (520,459 )   537,342  

Short-term U.S. government and agency obligations

  14     —    
  

 

 

   

 

 

 

Net realized gain (loss)

  (520,445 )   537,342  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Swap agreements

  201,905     (129,206 )

Short-term U.S. government and agency obligations

  47     91  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  201,952     (129,115 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (318,493 )   408,227  
  

 

 

   

 

 

 

Net income (loss)

$ (324,012 ) $ 401,270  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (1.62 ) $ 2.67  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  200,014     150,014  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

74


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  2,606,920  

Net investment income (loss)

  (5,519 )

Net realized gain (loss)

  (520,445 )

Change in net unrealized appreciation/depreciation

  201,952  
  

 

 

 

Net income (loss)

  (324,012 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 2,282,908  
  

 

 

 

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (324,012 )   $ 401,270  

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

    

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

     512,138       405,883  

Change in unrealized appreciation/depreciation on investments

     (201,952 )     129,115  

Increase (Decrease) in management fee payable

     (415 )     309  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (14,241 )   936,577  
  

 

 

   

 

 

 

Cash flow from financing activities

Net increase (decrease) in cash

  (14,241 )   936,577  

Cash, beginning of period

  185,684     85,642  
  

 

 

   

 

 

 

Cash, end of period

$ 171,443   $ 1,022,219  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 5,024,406      $ 2,349,384  

Segregated cash balances with brokers for futures contracts

     13,420,311        34,605,120  

Short-term U.S. government and agency obligations (Note 3) (cost $1,066,107,943 and $467,195,638, respectively)

     1,066,114,169        467,200,736  

Receivable from capital shares sold

     18,414,719        28,726,173  
  

 

 

    

 

 

 

Total assets

  1,102,973,605     532,881,413  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  5,037,901     —    

Payable on open futures contracts

  14,040,754     5,817,266  

Management fee payable

  789,703     320,062  

Unrealized depreciation on swap agreements

  78,474,219     76,181,097  
  

 

 

    

 

 

 

Total liabilities

  98,342,577     82,318,425  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  1,004,631,028     450,562,988  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 1,102,973,605   $ 532,881,413  
  

 

 

    

 

 

 

Shares outstanding

  147,199,170     44,399,170  
  

 

 

    

 

 

 

Net asset value per share

$ 6.82   $ 10.15  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 6.79   $ 10.37  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

77


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PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(106% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.038% due 04/16/15

   $ 19,702,000      $ 19,701,878  

0.035% due 04/30/15

     49,089,000        49,087,223  

0.061% due 05/14/15

     15,454,000        15,453,538  

0.027% due 05/21/15†

     107,478,000        107,474,271  

0.023% due 05/28/15†

     10,311,000        10,310,510  

0.027% due 06/04/15

     154,348,000        154,342,505  

0.007% due 06/11/15

     32,535,000        32,533,718  

0.028% due 06/18/15†

     163,086,000        163,080,700  

0.045% due 06/25/15†

     63,939,000        63,937,491  

0.027% due 07/02/15†

     4,114,000        4,113,685  

0.034% due 07/09/15†

     49,453,000        49,450,280  

0.036% due 07/16/15†

     78,958,000        78,949,859  

0.030% due 07/23/15†

     94,595,000        94,584,604  

0.029% due 07/30/15†

     105,672,000        105,657,914  

0.051% due 08/06/15†

     96,953,000        96,934,191  

0.048% due 08/13/15†

     20,506,000        20,501,802  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $1,066,107,943)

$ 1,066,114,169  
     

 

 

 

Futures Contracts Purchased††

 

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

Crude Oil - NYMEX, expires May 2015

     13,821      $ 657,879,600      $ (63,863,441

Swap Agreements^

 

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

Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Sub-Index

     0.25     04/07/15       $ 406,797,888      $ (24,270,565

Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Sub-Index

     0.25        04/07/15         417,976,514        (24,277,344

Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Sub-Index

     0.25        04/07/15         123,097,457        (8,155,514

Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Sub-Index

     0.25        04/07/15         403,481,056        (21,770,796
          

 

 

 
$ (78,474,219
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
†† Cash collateral in the amount of $13,420,311 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

 

See accompanying notes to financial statements.

 

78


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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 76,242     $ 21,701  
  

 

 

   

 

 

 

Expenses

Management fee

  1,843,701     345,942  

Brokerage commissions

  77,253     9,151  
  

 

 

   

 

 

 

Total expenses

  1,920,954     355,093  
  

 

 

   

 

 

 

Net investment income (loss)

  (1,844,712 )   (333,392 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (60,398,614 )   7,591,428  

Swap agreements

  (113,284,505 )   13,602,240  

Short-term U.S. government and agency obligations

  44,196     6,387  
  

 

 

   

 

 

 

Net realized gain (loss)

  (173,638,923 )   21,200,055  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (17,388,654 )   1,482,653  

Swap agreements

  (2,293,122 )   (997,942 )

Short-term U.S. government and agency obligations

  1,128     (8,564 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (19,680,648 )   476,147  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (193,319,571 )   21,676,202  
  

 

 

   

 

 

 

Net income (loss)

$ (195,164,283 ) $ 21,342,810  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (1.95 ) $ 4.56  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  100,201,948     4,680,281  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  450,562,988  

Addition of 136,250,000 shares

  1,023,327,847  

Redemption of 33,450,000 shares

  (274,095,524 )
  

 

 

 

Net addition (redemption) of 102,800,000 shares

  749,232,323  
  

 

 

 

Net investment income (loss)

  (1,844,712 )

Net realized gain (loss)

  (173,638,923 )

Change in net unrealized appreciation/depreciation

  (19,680,648 )
  

 

 

 

Net income (loss)

  (195,164,283 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 1,004,631,028  
  

 

 

 

 

See accompanying notes to financial statements.

 

80


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (195,164,283 )   $ 21,342,810  

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

    

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

     21,184,809       896,115  

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

     (598,912,305 )     25,373,056  

Change in unrealized appreciation/depreciation on investments

     2,291,994       1,006,506  

Decrease (Increase) in receivable on futures contracts

     —         (121,862 )

Increase (Decrease) in management fee payable

     469,641       (46,160 )

Increase (Decrease) in payable on futures contracts

     8,223,488       (997,210 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (761,906,656 )   47,453,255  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  1,033,639,301     127,214,584  

Payment on shares redeemed

  (269,057,623 )   (173,675,237 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  764,581,678     (46,460,653 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  2,675,022     992,602  

Cash, beginning of period

  2,349,384     689,596  
  

 

 

   

 

 

 

Cash, end of period

$ 5,024,406   $ 1,682,198  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 513,008      $ 1,653,582  

Segregated cash balances with brokers for futures contracts

     3,842,480        21,134,080  

Short-term U.S. government and agency obligations (Note 3) (cost $57,169,151 and $53,408,848, respectively)

     57,169,841        53,410,227  

Receivable from capital shares sold

     —          3,853,422  
  

 

 

    

 

 

 

Total assets

  61,525,329     80,051,311  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts

  164,188     9,552,314  

Management fee payable

  54,848     65,790  
  

 

 

    

 

 

 

Total liabilities

  219,036     9,618,104  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  61,306,293     70,433,207  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 61,525,329   $ 80,051,311  
  

 

 

    

 

 

 

Shares outstanding

  5,369,941     4,569,941  
  

 

 

    

 

 

 

Net asset value per share

$ 11.42   $ 15.41  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 11.39   $ 15.78  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

82


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PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(93% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.040% due 04/30/15

   $ 10,407,000      $ 10,406,623  

0.063% due 05/14/15

     2,130,000        2,129,936  

0.052% due 05/28/15

     5,377,000        5,376,745  

0.046% due 06/04/15

     910,000        909,968  

0.026% due 06/18/15

     11,308,000        11,307,632  

0.026% due 06/25/15

     2,447,000        2,446,942  

0.047% due 07/02/15

     1,672,000        1,671,872  

0.042% due 07/09/15

     5,146,000        5,145,717  

0.028% due 07/16/15†

     6,392,000        6,391,341  

0.047% due 07/23/15†

     3,623,000        3,622,602  

0.045% due 08/06/15†

     4,885,000        4,884,052  

0.039% due 08/13/15†

     2,877,000        2,876,411  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $57,169,151)

$ 57,169,841  

Futures Contracts Purchased††

 

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

Natural Gas - NYMEX, expires May 2015

     4,644      $ 122,601,600      $ (7,437,631

 

All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $3,842,480 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

83


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 5,642     $ 6,273  
  

 

 

   

 

 

 

Expenses

Management fee

  172,808     105,844  

Brokerage commissions

  39,718     17,991  
  

 

 

   

 

 

 

Total expenses

  212,526     123,835  
  

 

 

   

 

 

 

Net investment income (loss)

  (206,884 )   (117,562 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

  

Net realized gain (loss) on

  

Futures contracts

  (45,836,964 )   16,803,375  

Short-term U.S. government and agency obligations

  4,455     2,707  
  

 

 

   

 

 

 

Net realized gain (loss)

  (45,832,509 )   16,806,082  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  27,451,658     1,805,128  

Short-term U.S. government and agency obligations

  (689 )   (2,402 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  27,450,969     1,802,726  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (18,381,540 )   18,608,808  
  

 

 

   

 

 

 

Net income (loss)

$ (18,588,424 ) $ 18,491,246  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (3.48 ) $ 18.61  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  5,346,608     993,830  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

84


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  70,433,207  

Addition of 2,050,000 shares

  27,576,652  

Redemption of 1,250,000 shares

  (18,115,142 )
  

 

 

 

Net addition (redemption) of 800,000 shares

  9,461,510  
  

 

 

 

Net investment income (loss)

  (206,884 )

Net realized gain (loss)

  (45,832,509 )

Change in net unrealized appreciation/depreciation

  27,450,969  
  

 

 

 

Net income (loss)

  (18,588,424 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 61,306,293  
  

 

 

 

 

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (18,588,424 )   $ 18,491,246  

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

    

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

     17,291,600       3,397,900  

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

     (3,760,303 )     40,640,631  

Change in unrealized appreciation/depreciation on investments

     689       2,402  

Increase (Decrease) in management fee payable

     (10,942 )     (58,040 )

Increase (Decrease) in payable on futures contracts

     (9,388,126 )     (4,578,015 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (14,455,506 )   57,896,124  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  31,430,074     9,133,238  

Payment on shares redeemed

  (18,115,142 )   (69,328,413 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  13,314,932     (60,195,175 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (1,140,574 )   (2,299,051 )

Cash, beginning of period

  1,653,582     3,102,827  
  

 

 

   

 

 

 

Cash, end of period

$ 513,008   $ 803,776  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 122,188      $ 104,145  

Segregated cash balances with brokers for futures contracts

     8,800        8,800  

Short-term U.S. government and agency obligations (Note 3) (cost $94,231,992 and $101,925,636, respectively)

     94,234,586        101,927,857  

Unrealized appreciation on forward agreements

     1,660,968        2,051,154  
  

 

 

    

 

 

 

Total assets

  96,026,542     104,091,956  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  —       1,999,718  

Payable on open futures contracts

  420     3,260  

Management fee payable

  76,662     85,633  
  

 

 

    

 

 

 

Total liabilities

  77,082     2,088,611  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  95,949,460     102,003,345  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 96,026,542   $ 104,091,956  
  

 

 

    

 

 

 

Shares outstanding

  2,500,014     2,550,014  
  

 

 

    

 

 

 

Net asset value per share

$ 38.38   $ 40.00  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 38.14   $ 38.41  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(98% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.042% due 04/30/15†

   $ 13,896,000      $ 13,895,497  

0.058% due 05/14/15†

     24,874,000        24,873,256  

0.050% due 05/21/15

     5,376,000        5,375,813  

0.078% due 06/04/15†

     11,782,000        11,781,581  

0.058% due 06/18/15†

     13,020,000        13,019,577  

0.037% due 07/02/15†

     8,124,000        8,123,377  

0.038% due 08/13/15†

     17,169,000        17,165,485  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $94,231,992)

$ 94,234,586  
     

 

 

 

Futures Contracts Purchased

 

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

Gold Futures - COMEX, expires June 2015

     2      $ 236,640      $ 6,020  

Forward Agreements^

 

     Rate Paid
(Received)*
    Settlement Date      Commitment to
(Deliver)/Receive
     Notional Amount
at Value**
     Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold

     0.46     04/07/15       $ 82,300      $ 97,693,392      $ 895,425  

Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold

     0.57        04/07/15         33,320        39,551,840        346,843  

Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold

     0.60        04/07/15         15,900        18,873,618        90,113  

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

     0.51        04/07/15         29,900        35,492,197        328,587  
             

 

 

 
$ 1,660,968  
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $8,800 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the forward agreement paid to the

counterparty or received from the counterparty, excluding any commissions.

** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

 

See accompanying notes to financial statements.

 

88


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 12,738     $ 13,828  
  

 

 

   

 

 

 

Expenses

Management fee

  240,465     331,351  

Brokerage commissions

  16     16  
  

 

 

   

 

 

 

Total expenses

  240,481     331,367  
  

 

 

   

 

 

 

Net investment income (loss)

  (227,743 )   (317,539 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (2,040 )   18,520  

Forward agreements

  (2,985,716 )   23,415,100  

Short-term U.S. government and agency obligations

  1,908     (70 )
  

 

 

   

 

 

 

Net realized gain (loss)

  (2,985,848 )   23,433,550  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  1,440     (2,300 )

Forward agreements

  (390,186 )   (5,197,098 )

Short-term U.S. government and agency obligations

  373     9,365  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (388,373 )   (5,190,033 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (3,374,221 )   18,243,517  
  

 

 

   

 

 

 

Net income (loss)

$ (3,601,964 ) $ 17,925,978  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (1.43 ) $ 5.98  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  2,523,347     2,996,125  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  102,003,345  

Addition of 50,000 shares

  2,093,762  

Redemption of 100,000 shares

  (4,545,683 )
  

 

 

 

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

  (2,451,921 )
  

 

 

 

Net investment income (loss)

  (227,743 )

Net realized gain (loss)

  (2,985,848 )

Change in net unrealized appreciation/depreciation

  (388,373 )
  

 

 

 

Net income (loss)

  (3,601,964 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 95,949,460  
  

 

 

 

 

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (3,601,964 )   $ 17,925,978  

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

    

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

     7,693,644       (7,448,937 )

Change in unrealized appreciation/depreciation on investments

     389,813       5,187,733  

Increase (Decrease) in management fee payable

     (8,971 )     8,545  

Increase (Decrease) in payable on futures contracts

     (2,840 )     1,900  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  4,469,682     15,675,219  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  2,093,762     4,708,180  

Payment on shares redeemed

  (6,545,401 )   (20,378,685 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  (4,451,639 )   (15,670,505 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  18,043     4,714  

Cash, beginning of period

  104,145     142,566  
  

 

 

   

 

 

 

Cash, end of period

$ 122,188   $ 147,280  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 289,618      $ 305,004  

Segregated cash balances with brokers for futures contracts

     16,940        14,300  

Short-term U.S. government and agency obligations (Note 3) (cost $294,492,151 and $305,465,636, respectively)

     294,501,633        305,474,211  

Unrealized appreciation on forward agreements

     22,620,868        —    
  

 

 

    

 

 

 

Total assets

  317,429,059     305,793,515  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  —       1,967,832  

Payable on open futures contracts

  760     6,770  

Management fee payable

  245,442     254,050  

Unrealized depreciation on forward agreements

  —       12,395,120  
  

 

 

    

 

 

 

Total liabilities

  246,202     14,623,772  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  317,182,857     291,169,743  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 317,429,059   $ 305,793,515  
  

 

 

    

 

 

 

Shares outstanding

  7,646,533     7,396,533  
  

 

 

    

 

 

 

Net asset value per share

$ 41.48   $ 39.37  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 41.69   $ 38.05  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(93% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.041% due 04/16/15†

   $ 16,066,000      $ 16,065,900  

0.047% due 04/30/15

     6,604,000        6,603,761  

0.064% due 05/14/15†

     27,423,000        27,422,180  

0.004% due 05/21/15

     5,723,000        5,722,801  

0.015% due 05/28/15

     849,000        848,960  

0.078% due 06/04/15†

     4,277,000        4,276,848  

0.090% due 06/11/15

     43,631,000        43,629,281  

0.045% due 06/18/15

     5,482,000        5,481,822  

0.038% due 07/02/15†

     45,162,000        45,158,536  

0.020% due 07/16/15

     7,015,000        7,014,277  

0.035% due 07/23/15

     4,248,000        4,247,533  

0.066% due 08/06/15†

     88,463,000        88,445,838  

0.039% due 08/13/15†

     39,592,000        39,583,896  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $294,492,151)

$ 294,501,633  
     

 

 

 

Futures Contracts Purchased††

 

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

Silver Futures - COMEX, expires May 2015

     2      $ 165,980      $ (3,320

Forward Agreements^

 

     Rate Paid
(Received)*
    Settlement Date      Commitment to
(Deliver)/Receive
     Notional Amount
at Value**
     Unrealized
Appreciation
(Depreciation)
 

Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver

     0.87     04/07/15       $ 19,287,000      $ 320,198,917      $ 12,075,006  

Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver

     0.85        04/07/15         7,302,800        121,235,974        4,343,236  

Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver

     1.01        04/07/15         4,255,000        70,639,808        2,548,949  

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

     0.95        04/07/15         7,355,000        122,104,768        3,653,677  
             

 

 

 
$ 22,620,868  
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $16,940 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* Reflects the floating financing rate, as of March 31, 2015, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

93


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 38,246     $ 62,602  
  

 

 

   

 

 

 

Expenses

Management fee

  738,077     1,187,904  

Brokerage commissions

  8     8  
  

 

 

   

 

 

 

Total expenses

  738,085     1,187,912  
  

 

 

   

 

 

 

Net investment income (loss)

  (699,839 )   (1,125,310 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  11,150     (5,350 )

Forward agreements

  (17,780,243 )   73,960,922  

Short-term U.S. government and agency obligations

  4,743     3,069  
  

 

 

   

 

 

 

Net realized gain (loss)

  (17,764,350 )   73,958,641  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (1,760 )   8,870  

Forward agreements

  35,015,988     (55,645,481 )

Short-term U.S. government and agency obligations

  907     (3,928 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  35,015,135     (55,640,539 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  17,250,785     18,318,102  
  

 

 

   

 

 

 

Net income (loss)

$ 16,550,946   $ 17,192,792  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ 2.22   $ 2.34  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  7,458,200     7,332,328  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  291,169,743  

Addition of 700,000 shares

  28,733,984  

Redemption of 450,000 shares

  (19,271,816 )
  

 

 

 

Net addition (redemption) of 250,000 shares

  9,462,168  
  

 

 

 

Net investment income (loss)

  (699,839 )

Net realized gain (loss)

  (17,764,350 )

Change in net unrealized appreciation/depreciation

  35,015,135  
  

 

 

 

Net income (loss)

  16,550,946  
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 317,182,857  
  

 

 

 

 

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ 16,550,946     $ 17,192,792  

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

    

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

     (2,640 )     —     

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

     10,973,485       (62,836,134 )

Change in unrealized appreciation/depreciation on investments

     (35,016,895 )     55,649,409  

Increase (Decrease) in management fee payable

     (8,608 )     37,130  

Increase (Decrease) in payable on futures contracts

     (6,010 )     (2,070 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (7,509,722 )   10,041,127  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  28,733,984     43,273,004  

Payment on shares redeemed

  (21,239,648 )   (53,246,602 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  7,494,336     (9,973,598 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (15,386 )   67,529  

Cash, beginning of period

  305,004     463,001  
  

 

 

   

 

 

 

Cash, end of period

$ 289,618   $ 530,530  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 66,124      $ 222,968  

Segregated cash balances with brokers for futures contracts

     152,460        120,131  

Short-term U.S. government and agency obligations (Note 3) (cost $2,201,929 and $2,405,682, respectively)

     2,201,920        2,405,685  
  

 

 

    

 

 

 

Total assets

  2,420,504     2,748,784  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts

  21,232     6,369  

Management fee payable

  1,996     2,248  
  

 

 

    

 

 

 

Total liabilities

  23,228     8,617  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  2,397,276     2,740,167  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 2,420,504   $ 2,748,784  
  

 

 

    

 

 

 

Shares outstanding

  100,005     100,005  
  

 

 

    

 

 

 

Net asset value per share

$ 23.97   $ 27.40  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 24.20   $ 27.43  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(92% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.040% due 04/30/15

   $ 2,202,000      $ 2,201,920  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,201,929)

$ 2,201,920  
     

 

 

 

 

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

Australian Dollar Fx Currency Futures - CME, expires June 2015

     63      $ 4,776,030      $ (57,414

 

†† Cash collateral in the amount of $152,460 was pledged to cover margin requirements for open futures contracts as of March 31, 2015.

 

See accompanying notes to financial statements.

 

98


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 226     $ 558  
  

 

 

   

 

 

 

Expenses

Management fee

  5,997     7,508  

Brokerage commissions

  371     380  
  

 

 

   

 

 

 

Total expenses

  6,368     7,888  
  

 

 

   

 

 

 

Net investment income (loss)

  (6,142 )   (7,330 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (376,158 )   (27,427 )

Short-term U.S. government and agency obligations

  10     —    
  

 

 

   

 

 

 

Net realized gain (loss)

  (376,148 )   (27,427 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  39,411     311,205  

Short-term U.S. government and agency obligations

  (12 )   (77 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  39,399     311,128  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (336,749 )   283,701  
  

 

 

   

 

 

 

Net income (loss)

$ (342,891 ) $ 276,371  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (3.43 ) $ 2.76  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  100,005     100,005  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

99


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  2,740,167  

Net investment income (loss)

  (6,142 )

Net realized gain (loss)

  (376,148 )

Change in net unrealized appreciation/depreciation

  39,399  
  

 

 

 

Net income (loss)

  (342,891 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 2,397,276  
  

 

 

 

 

See accompanying notes to financial statements.

 

100


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (342,891 )   $ 276,371  

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

    

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

     (32,329 )     (23,760 )

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

     203,753       (59,530 )

Change in unrealized appreciation/depreciation on investments

     12       77  

Decrease (Increase) in receivable on futures contracts

     —         (2,853 )

Increase (Decrease) in management fee payable

     (252 )     69  

Increase (Decrease) in payable on futures contracts

     14,863       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (156,844 )   190,374  
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (156,844 )   190,374  

Cash, beginning of period

  222,968     314,796  
  

 

 

   

 

 

 

Cash, end of period

$ 66,124   $ 505,170  
  

 

 

   

 

 

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 311,421      $ 671,117  

Short-term U.S. government and agency obligations (Note 3) (cost $15,242,859 and $2,415,732, respectively)

     15,242,869        2,415,698  

Unrealized appreciation on foreign currency forward contracts

     2,045        2,921  
  

 

 

    

 

 

 

Total assets

  15,556,335     3,089,736  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  9,764     2,003  

Unrealized depreciation on foreign currency forward contracts

  780,795     106,292  
  

 

 

    

 

 

 

Total liabilities

  790,559     108,295  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  14,765,776     2,981,441  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 15,556,335   $ 3,089,736  
  

 

 

    

 

 

 

Shares outstanding

  950,014     150,014  
  

 

 

    

 

 

 

Net asset value per share

$ 15.54   $ 19.87  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 15.54   $ 19.80  
  

 

 

    

 

 

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(103% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.036% due 04/16/15

   $ 242,000      $ 241,999  

0.034% due 04/30/15†

     911,000        910,967  

0.035% due 05/21/15

     1,000,000        999,965  

0.015% due 05/28/15

     1,743,000        1,742,917  

0.016% due 06/18/15

     1,575,000        1,574,949  

0.015% due 06/25/15

     1,129,000        1,128,973  

0.041% due 07/02/15†

     1,136,000        1,135,913  

0.036% due 07/16/15

     1,656,000        1,655,829  

0.034% due 07/23/15†

     5,852,000        5,851,357  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $15,242,859)

$ 15,242,869  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

   04/10/15      15,842,925     $ 17,031,264     $ (356,825

Euro with UBS AG

   04/10/15      14,064,800       15,119,767       (419,766
         

 

 

 
$ (776,591
         

 

 

 

Contracts to Sell

Euro with Goldman Sachs International

04/10/15   (1,344,700 $ (1,445,563 $ (4,204

Euro with UBS AG

04/10/15   (1,092,000   (1,173,908   2,045  
         

 

 

 
$ (2,159
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

See accompanying notes to financial statements.

 

103


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 534     $ 378  
  

 

 

   

 

 

 

Expenses

Management fee

  16,232     6,042  
  

 

 

   

 

 

 

Total expenses

  16,232     6,042  
  

 

 

   

 

 

 

Net investment income (loss)

  (15,698 )   (5,664 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts

  (1,065,216 )   85,136  

Short-term U.S. government and agency obligations

  14     —    
  

 

 

   

 

 

 

Net realized gain (loss)

  (1,065,202 )   85,136  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Foreign currency forward contracts

  (675,379 )   (79,978 )

Short-term U.S. government and agency obligations

  44     (39 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (675,335 )   (80,017 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (1,740,537 )   5,119  
  

 

 

   

 

 

 

Net income (loss)

$ (1,756,235 ) $ (545 )
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (4.19 ) $ (0.01 )
  

 

 

   

 

 

 

Weighted-average shares outstanding

  418,903     100,014  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

104


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  2,981,441  

Addition of 800,000 shares

  13,540,570  
  

 

 

 

Net investment income (loss)

  (15,698 )

Net realized gain (loss)

  (1,065,202 )

Change in net unrealized appreciation/depreciation

  (675,335 )
  

 

 

 

Net income (loss)

  (1,756,235 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 14,765,776  
  

 

 

 

 

See accompanying notes to financial statements.

 

105


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (1,756,235 )   $ (545 )

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

    

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

     (12,827,127 )     148,087  

Change in unrealized appreciation/depreciation on investments

     675,335       80,017  

Increase (Decrease) in management fee payable

     7,761       (604 )
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (13,900,266 )   226,955  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  13,540,570     —    
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  13,540,570     —    
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (359,696 )   226,955  
  

 

 

   

 

 

 

Cash, beginning of period

  671,117     49,723  
  

 

 

   

 

 

 

Cash, end of period

$ 311,421   $ 276,678  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

106


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 435,727      $ 846,919  

Short-term U.S. government and agency obligations (Note 3) (cost $5,210,360 and $1,287,844, respectively)

     5,210,191        1,287,869  

Unrealized appreciation on foreign currency forward contracts

     —          404  
  

 

 

    

 

 

 

Total assets

  5,645,918     2,135,192  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Management fee payable

  4,659     1,515  

Unrealized depreciation on foreign currency forward contracts

  41,178     15,649  
  

 

 

    

 

 

 

Total liabilities

  45,837     17,164  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  5,600,081     2,118,028  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 5,645,918   $ 2,135,192  
  

 

 

    

 

 

 

Shares outstanding

  400,014     150,014  
  

 

 

    

 

 

 

Net asset value per share

$ 14.00   $ 14.12  
  

 

 

    

 

 

 

Market value per share (Note 2)

$ 13.99   $ 14.12  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

107


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2015

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

  

(93% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.047% due 04/30/15†

   $ 931,000      $ 930,966  

0.010% due 06/18/15†

     586,000        585,981  

0.043% due 08/13/15†

     3,694,000        3,693,244  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $5,210,360)

$ 5,210,191  
     

 

 

 

 

Foreign Currency Forward Contracts^   
     Settlement Date      Local Currency     Notional Amount
at Value (USD)
    Unrealized
Appreciation
(Depreciation)
 

Contracts to Purchase

         

Yen with Goldman Sachs International

     04/10/15         898,339,400     $ 7,491,206     $ (14,944

Yen with UBS AG

     04/10/15         645,732,000       5,384,726       (11,010
         

 

 

 
$ (25,954
         

 

 

 

Contracts to Sell

Yen with Goldman Sachs International

  04/10/15      (17,456,500 $ (145,569 $ (661

Yen with UBS AG

  04/10/15      (185,698,000   (1,548,526   (14,563
         

 

 

 
$ (15,224
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

 

See accompanying notes to financial statements.

 

108


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 291     $ 435  
  

 

 

   

 

 

 

Expenses

Management fee

  9,381     6,855  
  

 

 

   

 

 

 

Total expenses

  9,381     6,855  
  

 

 

   

 

 

 

Net investment income (loss)

  (9,090 )   (6,420 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts

  (80,612 )   (10,517 )

Short-term U.S. government and agency obligations

  (14 )   76  
  

 

 

   

 

 

 

Net realized gain (loss)

  (80,626 )   (10,441 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Foreign currency forward contracts

  (25,933 )   118,080  

Short-term U.S. government and agency obligations

  (194 )   (102 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (26,127 )   117,978  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (106,753 )   107,537  
  

 

 

   

 

 

 

Net income (loss)

$ (115,843 ) $ 101,117  
  

 

 

   

 

 

 

Net income (loss) per weighted-average share

$ (0.41 ) $ 0.67  
  

 

 

   

 

 

 

Weighted-average shares outstanding

  283,347     150,014  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

109


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  2,118,028  

Addition of 300,000 shares

  4,285,016  

Redemption of 50,000 shares

  (687,120 )
  

 

 

 

Net addition (redemption) of 250,000 shares

  3,597,896  
  

 

 

 

Net investment income (loss)

  (9,090 )

Net realized gain (loss)

  (80,626 )

Change in net unrealized appreciation/depreciation

  (26,127 )
  

 

 

 

Net income (loss)

  (115,843 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 5,600,081  
  

 

 

 

 

See accompanying notes to financial statements.

 

110


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (115,843 )   $ 101,117  

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

    

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

     (3,922,516 )     456,603  

Change in unrealized appreciation/depreciation on investments

     26,127       (117,978 )

Increase (Decrease) in management fee payable

     3,144       46  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (4,009,088 )   439,788  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  4,285,016     —    

Payment on shares redeemed

  (687,120 )   —    
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  3,597,896     —    
  

 

 

   

 

 

 

Net increase (decrease) in cash

  (411,192 )   439,788  

Cash, beginning of period

  846,919     28,116  
  

 

 

   

 

 

 

Cash, end of period

$ 435,727   $ 467,904  
  

 

 

   

 

 

 

 

 

See accompanying notes to financial statements.

 

111


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2015
(unaudited)
     December 31, 2014  

Assets

     

Cash

   $ 41,200,565      $ 35,899,231  

Segregated cash balances with brokers for futures contracts

     183,239,785        296,561,615  

Short-term U.S. government and agency obligations (Note 3) (cost $3,980,187,249 and $3,005,824,301, respectively)

     3,980,228,554        3,005,876,580  

Unrealized appreciation on swap agreements

     27,134,098        27,585,336  

Unrealized appreciation on forward agreements

     24,281,836        2,850,677  

Unrealized appreciation on foreign currency forward contracts

     26,206,397        19,594,239  

Receivable from capital shares sold

     83,594,709        58,085,447  

Receivable on open futures contracts

     48,075,096        56,002,326  

Offering costs (Note 5)

     33,164        49,384  

Limitation by Sponsor

     11,008        9,474  
  

 

 

    

 

 

 

Total assets

  4,414,005,212     3,502,514,309  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed

  20,823,638     25,400,996  

Payable on open futures contracts

  15,659,120     46,405,998  

Management fee payable

  3,382,999     2,657,505  

Payable for offering costs

  65,785     65,785  

Unrealized depreciation on swap agreements

  78,603,652     76,512,435  

Unrealized depreciation on forward agreements

  5,318,264     14,882,468  

Unrealized depreciation on foreign currency forward contracts

  2,968,373     4,528,636  
  

 

 

    

 

 

 

Total liabilities

  126,821,831     170,453,823  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

Shareholders’ equity

Shareholders’ equity

  4,287,183,381     3,332,060,486  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

$ 4,414,005,212   $ 3,502,514,309  
  

 

 

    

 

 

 

Shares outstanding

  258,357,748     122,157,748  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Investment Income

    

Interest

   $ 360,671     $ 405,191  
  

 

 

   

 

 

 

Expenses

Management fee

  9,026,117     6,890,911  

Brokerage commissions

  1,617,240     885,519  

Offering costs

  16,221     —     

Limitation by Sponsor

  (1,534 )   —     
  

 

 

   

 

 

 

Total expenses

  10,658,044     7,776,430  
  

 

 

   

 

 

 

Net investment income (loss)

  (10,297,373 )   (7,371,239 )
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts

  (198,303,422 )   21,662,791  

Swap agreements

  (86,405,263 )   4,137,137  

Forward agreements

  (20,199,934 )   62,625,140  

Foreign currency forward contracts

  101,262,256     (12,210,152 )

Short-term U.S. government and agency obligations

  108,816     42,481  
  

 

 

   

 

 

 

Net realized gain (loss)

  (203,537,547 )   76,257,397  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

Futures contracts

  (69,298,843 )   8,735,680  

Swap agreements

  (2,542,455 )   642,755  

Forward agreements

  30,995,363     (47,973,433 )

Foreign currency forward contracts

  8,172,421     (14,478,001 )

Short-term U.S. government and agency obligations

  (10,974 )   (15,495 )
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

  (32,684,488 )   (53,088,494 )
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

  (236,222,035 )   23,168,903  
  

 

 

   

 

 

 

Net income (loss)

$ (246,519,408 ) $ 15,797,664  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2014

$  3,332,060,486  

Addition of 206,825,000 shares

  2,916,484,794  

Redemption of 70,625,000 shares

  (1,714,842,491 )
  

 

 

 

Net addition (redemption) of 136,200,000 shares

  1,201,642,303  
  

 

 

 

Net investment income (loss)

  (10,297,373 )

Net realized gain (loss)

  (203,537,547 )

Change in net unrealized appreciation/depreciation

  (32,684,488 )
  

 

 

 

Net income (loss)

  (246,519,408 )
  

 

 

 

Shareholders’ equity, at March 31, 2015

$ 4,287,183,381  
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 AND 2014

(unaudited)

 

     Three months ended
March 31, 2015
    Three months ended
March 31, 2014
 

Cash flow from operating activities

    

Net income (loss)

   $ (246,519,408 )   $ 15,797,664  

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

    

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

     113,321,830       (5,808,535 )

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

     (974,362,948 )     179,891,147  

Change in unrealized appreciation/depreciation on investments

     (36,614,355 )     61,824,174  

Decrease (Increase) in receivable on futures contracts

     7,927,230       (2,789,541 )

Decrease (Increase) in Limitation by Sponsor

     (1,534 )     —     

Change in offering cost

     16,220       —     

Increase (Decrease) in management fee payable

     725,494       (160,366 )

Increase (Decrease) in payable on futures contracts

     (30,746,878 )     19,707,435  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

  (1,166,254,349 )   268,461,978  
  

 

 

   

 

 

 

Cash flow from financing activities

Proceeds from addition of shares

  2,890,975,532     1,098,061,807  

Payment on shares redeemed

  (1,719,419,849 )   (1,362,287,727 )
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

  1,171,555,683     (264,225,920 )
  

 

 

   

 

 

 

Net increase (decrease) in cash

  5,301,334     4,236,058  

Cash, beginning of period

  35,899,231     23,390,732  
  

 

 

   

 

 

 

Cash, end of period

$ 41,200,565   $ 27,626,790  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2015

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2015, the following twenty-two series of the Trust have commenced investment operations: (i) ProShares Managed Futures Strategy (the “Managed Futures Fund”); (ii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (iii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (v) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks.

References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund and the Managed Futures Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -1x, -2x or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

The Matching VIX Funds and the Managed Futures Fund seek to achieve their stated investment objective both over a single day and over time.

 

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Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2014. There were no Share splits or reverse Share splits during the three months ended March 31, 2015. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.

 

Fund   

Execution Date

(Prior to Opening

of Trading)

   Type of Split   

Date Trading

Resumed at Post-

Split Price

ProShares VIX Mid-Term Futures ETF

   November 6, 2014    1-for-4 reverse Share split    November 6, 2014

ProShares Short VIX Short-Term Futures ETF

   January 21, 2014    2-for-1 Share split    January 24, 2014

ProShares Ultra VIX Short-Term Futures ETF

   January 21, 2014    1-for-4 reverse Share split    January 24, 2014

ProShares Ultra Silver

   January 21, 2014    1-for-4 reverse Share split    January 24, 2014

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares VIX Mid-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Silver, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The split was applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of such Fund. Therefore, the split did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

 

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NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2014, as filed with the SEC on March 2, 2015.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in these financial statements. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC, financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of one Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 2015, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2015 were as follows. All times are Eastern Standard Time:

 

     Create/Redeem      NAV Calculation      NAV  
     Cut-off*      Time      Calculation Date  

UltraShort Silver, Ultra Silver

     6:30 a.m.         7:00 a.m.         March 31   

UltraShort Gold, Ultra Gold

     9:30 a.m.         10:00 a.m.         March 31   

UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil

     2:00 p.m.         2:30 p.m.         March 31   

UltraShort Bloomberg Natural Gas, Ultra Bloomberg Natural Gas

     2:00 p.m.         2:30 p.m.         March 31   

 

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UltraShort Bloomberg Commodity, Ultra Bloomberg Commodity

  10:45 a.m.      2:30 p.m.      March 31   

Managed Futures Strategy

  10:45 a.m.      3:00 p.m.      March 31   

UltraShort Australian Dollar, Ultra Australian Dollar

  3:00 p.m.      4:00 p.m.      March 31   

Short Euro, UltraShort Euro, Ultra Euro

  3:00 p.m.      4:00 p.m.      March 31   

UltraShort Yen, Ultra Yen

  3:00 p.m.      4:00 p.m.      March 31   

VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF

  2:00 p.m.      4:15 p.m.      March 31   

VIX Mid-Term Futures ETF

  2:00 p.m.      4:15 p.m.      March 31   

 

* Although the Funds’ Shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2015.

Market value per Share is determined at the close of the NYSE Arca and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2015.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

 

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Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at March 31, 2015 using the fair value hierarchy:

 

     Level I - Quoted Prices     Level II - Other Significant Observable Inputs        
     Short-Term U.S.
Government and
Agencies
     Futures
Contracts*
    Forward
Agreements
    Foreign
Currency
Forward
Contracts
    Swap
Agreements
    Total  

Managed Futures Strategy

   $ —         $ 83,233      $ —        $ —        $ —        $ 83,233   

VIX Short-Term Futures ETF

     131,184,020         (5,106,111     —          —          —          126,077,909   

VIX Mid-Term Futures ETF

     27,675,412         (500,390     —          —          —          27,175,022   

Short VIX Short-Term Futures ETF

     222,919,943         6,991,984        —          —          —          229,911,927   

Ultra VIX Short-Term Futures ETF

     569,900,064         (48,925,693     —          —          —          520,974,371   

UltraShort Bloomberg Commodity

     4,990,827         —         —          —          276,625        5,267,452   

UltraShort Bloomberg Crude Oil

     319,733,997         17,406,261        —          —          26,857,473        363,997,731   

UltraShort Bloomberg Natural Gas

     8,979,498         859,740        —          —          —          9,839,238   

UltraShort Gold

     79,438,219         (6,040 )     (1,582,081     —          —          77,850,098   

UltraShort Silver

     50,001,670         3,095        (3,736,183     —          —          46,268,582   

Short Euro

     18,012,179         109,769        —          —          —          18,121,948   

UltraShort Australian Dollar

     16,932,493         419,850        —          —          —          17,352,343   

UltraShort Euro

     549,451,431         —          —          23,390,195        —          572,841,626   

UltraShort Yen

     444,090,783         —          —          667,757        —          444,758,540   

Ultra Bloomberg Commodity

     2,242,809         —          —          —          (129,433     2,113,376   

Ultra Bloomberg Crude Oil

     1,066,114,169         (63,863,441     —          —          (78,474,219     923,776,509   

Ultra Bloomberg Natural Gas

     57,169,841         (7,437,631     —          —          —          49,732,210   

Ultra Gold

     94,234,586         6,020        1,660,968        —          —          95,901,574   

Ultra Silver

     294,501,633         (3,320     22,620,868        —          —          317,119,181   

Ultra Australian Dollar

     2,201,920         (57,414     —          —          —          2,144,506   

Ultra Euro

     15,242,869         —          —          (778,750     —          14,464,119   

Ultra Yen

     5,210,191         —          —          (41,178     —          5,169,013   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

$ 3,980,228,554    $ (100,020,088 $ 18,963,572    $ 23,238,024    $ (51,469,554 $ 3,870,940,508   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

 

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At March 31, 2015, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At March 31, 2015, there were no significant transfers in or out of Level I and Level II fair value measurements.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the valuation of investments at December 31, 2014 using the fair value hierarchy:

 

     Level I - Quoted Prices     Level II - Other Significant Observable Inputs        
     Short-Term U.S.
Government and
Agencies
     Futures
Contracts*
    Forward
Agreements
    Foreign
Currency
Forward
Contracts
    Swap
Agreements
    Total  

Managed Futures Strategy

   $ —         $ 104,327      $ —        $ —        $ —        $ 104,327   

VIX Short-Term Futures ETF

     82,088,299         6,264,620        —          —          —          88,352,919   

VIX Mid-Term Futures ETF

     24,105,906         260,665        —          —          —          24,366,571   

Short VIX Short-Term Futures ETF

     446,975,220         (16,352,149     —          —          —          430,623,071   

Ultra VIX Short-Term Futures ETF

     182,639,188         39,585,253        —          —          —          222,224,441   

UltraShort Bloomberg Commodity

     4,233,548         —          —          —          567,259        4,800,807   

UltraShort Bloomberg Crude Oil

     131,594,608         15,806,603        —          —          27,018,077        174,419,288   

UltraShort Bloomberg Natural Gas

     8,672,710         3,941,465        —          —          —          12,614,175   

UltraShort Gold

     84,040,107         (4,520     (2,282,778     —          —          81,752,809   

UltraShort Silver

     52,226,692         1,560        594,953        —          —          52,823,205   

Short Euro

     12,086,577         385,331        —          —          —          12,471,908   

UltraShort Australian Dollar

     20,267,679         743,481        —          —          —          21,011,160   

UltraShort Euro

     487,111,117         —          —          16,762,994        —          503,874,111   

UltraShort Yen

     532,957,746         —          —          (1,578,775     —          531,378,971   

Ultra Bloomberg Commodity

     2,754,900         —          —          —          (331,338     2,423,562   

Ultra Bloomberg Crude Oil

     467,200,736         (46,474,787     —          —          (76,181,097     344,544,852   

Ultra Bloomberg Natural Gas

     53,410,227         (34,889,283     —          —          —          18,520,944   

Ultra Gold

     101,927,857         4,580        2,051,154        —          —          103,983,591   

Ultra Silver

     305,474,211         (1,560     (12,395,120 )     —          —          293,077,531   

Ultra Australian Dollar

     2,405,685         (96,825     —          —          —          2,308,860   

Ultra Euro

     2,415,698         —          —          (103,371     —          2,312,327   

Ultra Yen

     1,287,869         —          —          (15,245     —          1,272,624   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

$ 3,005,876,580    $ (30,721,239 $ (12,031,791 $ 15,065,603    $ (48,927,099 $ 2,929,262,054   

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2014. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2014 in receivable/payable on open futures.

 

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At December 31, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At December 31, 2014, there were no significant transfers in or out of Level I and Level II fair value measurements.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciation on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciation between periods are reflected in the Statements of Operations. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). From January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

 

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NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements and/or used as collateral for a Fund’s trading in futures and forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

 

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Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or an Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Funds’ Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2015 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

 

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The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with uncleared derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2015, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Forward Contracts

Certain of the Funds enter into forward contracts for purposes of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in burdensome reporting requirements.

The Funds may collateralize uncleared forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

 

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The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2015, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

The counterparty/credit risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

 

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Fair Value of Derivative Instruments

as of March 31, 2015

 

Asset Derivatives

   

Liability Derivatives

 

Derivatives not
accounted for

as hedging

instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Depreciation
 

Managed Futures Contracts

  

Receivables on open futures contracts

  

ProShares Managed Futures Strategy

   $ 190,575  

Payable on open futures contracts

  

ProShares Managed Futures Strategy

   $ 107,342

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares VIX Short-Term Futures ETF

     710,151  

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

     5,816,262
     

ProShares VIX Mid-Term Futures ETF

     116,200     

ProShares VIX Mid-Term Futures ETF

     616,590
     

ProShares Short VIX Short-Term Futures ETF

     8,591,734     

ProShares Short VIX Short-Term Futures ETF

     1,599,750   
     

ProShares Ultra VIX Short-Term Futures ETF

     6,202,210        

ProShares Ultra VIX Short-Term Futures ETF

     55,127,903   

Commodities Contracts

  

Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements

  

ProShares UltraShort Bloomberg Commodity

     276,625     

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

  

ProShares UltraShort Gold

     1,588,121
     

ProShares UltraShort Bloomberg Crude Oil

     44,263,734     

ProShares UltraShort Silver

     3,736,183   
     

ProShares UltraShort Bloomberg Natural Gas

     859,740     

ProShares Ultra Bloomberg Commodity

     129,433   
     

ProShares UltraShort Silver

     3,095     

ProShares Ultra Bloomberg Crude Oil

     142,337,660
     

ProShares Ultra Gold

     1,666,988     

ProShares Ultra Bloomberg Natural Gas

     7,437,631
     

ProShares Ultra Silver

     22,620,868        

ProShares Ultra Silver

     3,320

Foreign Exchange Contracts

  

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

  

ProShares Short Euro

     109,769  

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

  

ProShares UltraShort Euro

     2,088,667   
     

ProShares UltraShort Australian Dollar

     419,850     

ProShares UltraShort Yen

     57,733   
     

ProShares UltraShort Euro

     25,478,862        

ProShares Ultra Australian Dollar

     57,414
     

ProShares UltraShort Yen

     725,490        

ProShares Ultra Euro

     780,795   
     

ProShares Ultra Euro

     2,045        

ProShares Ultra Yen

     41,178   
        

 

 

         

 

 

 

Total Trust

$ 112,237,936

Total Trust

$ 221,525,982

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

 

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Fair Value of Derivative Instruments

as of December 31, 2014

 

Asset Derivatives

   

Liability Derivatives

 

Derivatives not
accounted for

as hedging

instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Depreciation
 

Managed Futures Contracts

  

Receivables on open futures contracts

  

ProShares Managed Futures Strategy

   $ 122,831  

Payable on open futures contracts

  

ProShares Managed Futures Strategy

   $ 18,504

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares VIX Short-Term Futures ETF

     6,264,620  

Payable on open futures contracts

  

ProShares VIX Mid-Term Futures ETF

     222,845
     

ProShares VIX Mid-Term Futures ETF

     483,510     

ProShares Short VIX Short-Term ETF

     16,352,149
     

ProShares Ultra VIX Short-Term Futures ETF

     39,585,253        

Commodities Contracts

  

Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements

  

ProShares UltraShort Bloomberg Commodity

     567,259     

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

  

ProShares UltraShort Gold

     2,287,298
     

ProShares UltraShort Bloomberg Crude Oil

     42,824,680     

ProShares UltraShort Silver

     204,570   
     

ProShares UltraShort Bloomberg Natural Gas

     3,941,465     

ProShares Ultra Bloomberg Commodity

     331,338   
     

ProShares UltraShort Silver

     801,083     

ProShares Ultra Bloomberg Crude Oil

     122,655,884
     

ProShares Ultra Gold

     2,055,734     

ProShares Ultra Bloomberg Natural Gas

     34,889,283
             

ProShares Ultra Silver

     12,396,680

Foreign Exchange Contracts

  

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

  

ProShares Short Euro

     385,331  

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

  

ProShares UltraShort Euro

     2,256,771   
     

ProShares UltraShort Australian Dollar

     743,481     

ProShares UltraShort Yen

     2,149,924   
     

ProShares UltraShort Euro

     19,019,765        

ProShares Ultra Australian Dollar

     96,825
     

ProShares UltraShort Yen

     571,149        

ProShares Ultra Euro

     106,292   
     

ProShares Ultra Euro

     2,921        

ProShares Ultra Yen

     15,649   
     

ProShares Ultra Yen

     404           
        

 

 

         

 

 

 

Total Trust

$ 117,369,486

Total Trust

$ 193,984,012

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2014. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2014 in receivable/payable on open futures contracts.

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2015

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain or

(Loss) on Derivatives
Recognized in Income

  

Fund

   Realized Gain 
or (Loss) on
Derivatives
Recognized in
Income
    Change in
Unrealized
Appreciation or
Depreciation on
Derivatives

Recognized in
Income
 

Managed Futures Contracts

  

Net realized gain (loss) on futures contracts / changes in unrealized appreciation/depreciation on futures contracts

  

ProShares Managed Futures Strategy

   $ 119,252      $ (21,094

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

     (8,978,330     (11,370,731
     

ProShares VIX Mid-Term Futures ETF

     126,671        (761,055
     

ProShares Short VIX Short-Term Futures ETF

     23,811,285        23,344,133   
     

ProShares Ultra VIX Short-Term Futures ETF

     (135,093,226     (88,510,946

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

  

ProShares UltraShort Bloomberg Commodity

     856,549        (290,634
     

ProShares UltraShort Bloomberg Crude Oil

     44,649,872        1,439,054   
     

ProShares UltraShort Bloomberg Natural Gas

     5,179,268        (3,081,725
     

ProShares UltraShort Gold

     1,918,530        699,177   
     

ProShares UltraShort Silver

     (1,361,705     (4,329,601
     

ProShares Ultra Bloomberg Commodity

     (520,459     201,905   
     

ProShares Ultra Bloomberg Crude Oil

     (173,683,119     (19,681,776
     

ProShares Ultra Bloomberg Natural Gas

     (45,836,964     27,451,658   
     

ProShares Ultra Gold

     (2,987,756     (388,746
     

ProShares Ultra Silver

     (17,769,093     35,014,228   

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

     2,057,094        (275,562
     

ProShares UltraShort Australian Dollar

     2,979,670        (323,631
     

ProShares UltraShort Euro

     107,515,818        6,627,201   
     

ProShares UltraShort Yen

     (5,107,734     2,246,532   
     

ProShares Ultra Australian Dollar

     (376,158     39,411   
     

ProShares Ultra Euro

     (1,065,216     (675,379
     

ProShares Ultra Yen

     (80,612     (25,933
        

 

 

   

 

 

 

Total Trust

$ (203,646,363 $ (32,673,514

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2014

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain or

(Loss) on Derivatives
Recognized in Income

  

Fund

   Realized Gain 
or (Loss) on
Derivatives
Recognized in
Income
    Change in
Unrealized
Appreciation or
Depreciation on
Derivatives

Recognized in
Income
 

VIX Futures Contracts

  

Net realized gain (loss) on futures contracts / changes in unrealized appreciation/ depreciation on futures contracts

  

ProShares VIX Short-Term Futures ETF

   $ 15,779,707      $ 11,625,721   
     

ProShares VIX Mid-Term Futures ETF

     (5,397,902     2,889,479   
     

ProShares Short VIX Short-Term Futures ETF

     2,731,436        (33,756
     

ProShares Ultra VIX Short-Term Futures ETF

     (3,546,304     (5,691,916

Commodity Contracts

  

Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements

  

ProShares UltraShort Bloomberg Commodity

     (635,695     129,934   
     

ProShares UltraShort Bloomberg Crude Oil

     (12,278,001     (3,391,572
     

ProShares UltraShort Bloomberg Natural Gas

     (9,215,034     3,437,020   
     

ProShares UltraShort Gold

     (22,149,687     2,901,049   
     

ProShares UltraShort Silver

     (12,614,405     9,961,567   
     

ProShares Ultra Bloomberg Commodity

     537,342        (129,206
     

ProShares Ultra Bloomberg Crude Oil

     21,193,668        484,711   
     

ProShares Ultra Bloomberg Natural Gas

     16,803,375        1,805,128   
     

ProShares Ultra Gold

     23,433,620        (5,199,398
     

ProShares Ultra Silver

     73,955,572        (55,636,611

Foreign Exchange Contracts

  

Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts

  

ProShares Short Euro

     (66,588     81,131   
     

ProShares UltraShort Australian Dollar

     (78,609     (2,139,484
     

ProShares UltraShort Euro

     (12,182,041     10,024,197   
     

ProShares UltraShort Yen

     (102,730     (24,540,300
     

ProShares Ultra Australian Dollar

     (27,427     311,205   
     

ProShares Ultra Euro

     85,136        (79,978
     

ProShares Ultra Yen

     (10,517     118,080   
        

 

 

   

 

 

 

Total Trust

$ 76,214,916    $ (53,072,999

 

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Offsetting Assets and Liabilities

The Funds are subject to master netting agreements or similar arrangements that allow for amounts owed between the Funds and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition.

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2015:

 

Fair Values of Derivative Instruments as of March 31, 2015

 
     Assets      Liabilities  
     Gross
Amounts of
Recognized
Assets
presented in
the Statements
of Financial
Condition
     Gross
Amounts
Offset in the
Statements 
of Financial
Condition
     Net Amounts of
Assets
presented in
the Statements
of Financial
Condition
     Gross
Amounts of
Recognized
Liabilities
presented in
the Statements
of Financial
Condition
     Gross
Amounts
Offset in the
Statements
of Financial
Condition
     Net Amounts of 
Liabilities
presented in
the Statements
of Financial
Condition
 

ProShares UltraShort Bloomberg Commodity

                 

Swap agreements

     276,625         —           276,625         —           —           —     

ProShares UltraShort Bloomberg Crude Oil

                 

Swap agreements

     26,857,473         —           26,857,473         —           —           —     

ProShares UltraShort Gold

                 

Forward agreements

     —           —           —           1,582,081         —           1,582,081   

ProShares UltraShort Silver

                 

Forward agreements

     —           —           —           3,736,183         —           3,736,183   

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     25,478,862         —           25,478,862         2,088,667         —           2,088,667   

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     725,490         —           725,490         57,733         —           57,733   

ProShares Ultra Bloomberg Commodity

                 

Swap agreements

     —           —           —           129,433         —           129,433   

ProShares Ultra Bloomberg Crude Oil

                 

Swap agreements

     —           —           —           78,474,219         —           78,474,219   

ProShares Ultra Gold

                 

Forward agreements

     1,660,968         —           1,660,968         —           —           —     

ProShares Ultra Silver

                 

Forward agreements

     22,620,868         —           22,620,868         —           —           —     

ProShares Ultra Euro

                 

Foreign currency forward contracts

     2,045         —           2,045         780,795         —           780,795   

ProShares Ultra Yen

                 

Foreign currency forward contracts

     —           —           —           41,178         —           41,178   

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2015. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2015

 
     Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition
    Financial
Instruments for
the Benefit of
(the Funds) / the
Counterparties
    Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties
    Net Amount  

ProShares UltraShort Bloomberg Commodity

        

Deutsche Bank AG

     118,941        —          —          118,941   

Goldman Sachs International

     113,070        —          —          113,070   

UBS AG

     44,614        —          —          44,614   

ProShares UltraShort Bloomberg Crude Oil

        

Deutsche Bank AG

     9,502,897        —          (6,400,000     3,102,897   

Goldman Sachs International

     7,090,832        (4,179,789     —          2,911,043   

Societe Generale S.A.

     2,850,353        (2,850,353     —          —     

UBS AG

     7,413,391        (4,951,884     —          2,461,507   

ProShares UltraShort Gold

        

Deutsche Bank AG

     (647,913     647,913        —          —     

Goldman Sachs International

     (370,015 )     370,015        —          —     

Societe Generale S.A.

     (375,583     375,583        —          —     

UBS AG

     (188,570     188,570        —          —     

ProShares UltraShort Silver

        

Deutsche Bank AG

     (1,877,505 )     1,877,505       —          —     

Goldman Sachs International

     (860,699 )     860,699        —          —     

Societe Generale S.A.

     (296,399 )     296,399        —          —     

UBS AG

     (701,580     701,580        —          —     

ProShares UltraShort Euro

        

Goldman Sachs International

     11,076,250        (7,250,046     —          3,826,204   

UBS AG

     12,313,945        (9,399,102 )     —          2,914,843   

ProShares UltraShort Yen

        

Goldman Sachs International

     446,692        (446,692 )     —          —     

UBS AG

     221,065        (221,065 )     —          —     

ProShares Ultra Bloomberg Commodity

        

Deutsche Bank AG

     (54,521 )     54,521        —          —     

Goldman Sachs International

     (55,872 )     55,872        —          —     

UBS AG

     (19,040 )     19,040        —          —     

ProShares Ultra Bloomberg Crude Oil

        

Deutsche Bank AG

     (24,270,565 )     24,270,565        —          —     

Goldman Sachs International

     (24,277,344 )     24,277,344        —          —     

Societe Generale S.A.

     (8,155,514 )     8,155,514        —          —     

UBS AG

     (21,770,796 )     21,770,796        —          —     

ProShares Ultra Gold

        

Deutsche Bank AG

     895,425        —          (800,000 )     95,425   

Goldman Sachs International

     346,843        (311,985 )     —          34,858   

Societe Generale S.A.

     90,113        (90,113     —          —     

UBS AG

     328,587        (302,741     —          25,846   

ProShares Ultra Silver

        

Deutsche Bank AG

     12,075,006        —          (12,075,006 )     —     

Goldman Sachs International

     4,343,236        (4,343,236 )     —          —     

Societe Generale S.A.

     2,548,949        (2,548,949 )     —          —     

UBS AG

     3,653,677        (3,653,677 )     —          —     

ProShares Ultra Euro

        

Goldman Sachs International

     (361,029 )     361,029        —          —     

UBS AG

     (417,721 )     417,721        —          —     

ProShares Ultra Yen

        

Goldman Sachs International

     (15,605 )     15,605        —          —     

UBS AG

     (25,573 )     25,573        —          —     

 

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The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2014:

 

Fair Values of Derivative Instruments as of December 31, 2014

 
     Assets      Liabilities  
     Gross
Amounts of
Recognized
Assets
presented in
the Statements
of Financial
Condition
     Gross
Amounts
Offset in the
Statements 
of Financial
Condition
     Net Amounts of
Assets
presented in
the Statements
of Financial
Condition
     Gross
Amounts of
Recognized
Liabilities
presented in
the Statements
of Financial
Condition
     Gross
Amounts
Offset in the
Statements
of Financial
Condition
     Net Amounts of 
Liabilities
presented in
the Statements
of Financial
Condition
 

ProShares UltraShort Bloomberg Commodity

                 

Swap agreements

     567,259         —           567,259         —           —           —     

ProShares UltraShort Bloomberg Crude Oil

                 

Swap agreements

     27,018,077         —           27,018,077         —           —           —     

ProShares UltraShort Gold

                 

Forward agreements

     —           —           —           2,282,778         —           2,282,778   

ProShares UltraShort Silver

                 

Forward agreements

     799,523         —           799,523         204,570         —           204,570   

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     19,019,765         —           19,019,765         2,256,771         —           2,256,771   

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     571,149         —           571,149         2,149,924         —           2,149,924   

ProShares Ultra Bloomberg Commodity

                 

Swap agreements

     —           —           —           331,338         —           331,338   

ProShares Ultra Bloomberg Crude Oil

                 

Swap agreements

     —           —           —           76,181,097         —           76,181,097   

ProShares Ultra Gold

                 

Forward agreements

     2,051,154         —           2,051,154         —           —           —     

ProShares Ultra Silver

                 

Forward agreements

     —           —           —           12,395,120         —           12,395,120   

ProShares Ultra Euro

                 

Foreign currency forward contracts

     2,921         —           2,921         106,292         —           106,292   

ProShares Ultra Yen

                 

Foreign currency forward contracts

     404         —           404         15,649         —           15,649   

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2014

 
     Amounts of
Recognized
Assets /
(Liabilities)
presented in the
Statements of
Financial
Condition
    Financial
Instruments for
the Benefit of
(the Funds) / the
Counterparties
    Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties
    Net Amount  

ProShares UltraShort Bloomberg Commodity

        

Deutsche Bank AG

     243,474        —         —         243,474   

Goldman Sachs International

     240,271        —         —         240,271   

UBS AG

     83,514        —         —         83,514   

ProShares UltraShort Bloomberg Crude Oil

        

Deutsche Bank AG

     7,669,493        —         (6,800,000     869,493   

Goldman Sachs International

     8,362,336        (7,598,657     —         763,679   

Societe Generale S.A.

     2,132,657        (2,132,657     —         —    

UBS AG

     8,853,591        (8,281,350     —         572,241   

ProShares UltraShort Gold

        

Deutsche Bank AG

     (1,422,997     1,422,997        —         —    

Goldman Sachs International

     (354,660 )     354,660        —         —    

Societe Generale S.A.

     (182,225     182,225        —         —    

UBS AG

     (322,896     322,896        —         —    

ProShares UltraShort Silver

        

Deutsche Bank AG

     462,619        —         (462,619     —    

Goldman Sachs International

     138,563        (138,563 )     —         —    

Societe Generale S.A.

     198,341        (198,341     —         —    

UBS AG

     (204,570     204,570        —         —    

ProShares UltraShort Euro

        

Goldman Sachs International

     8,193,303        (6,008,925     —         2,184,378   

UBS AG

     8,569,691        (6,592,366 )     (11,518 )     1,965,807   

ProShares UltraShort Yen

        

Goldman Sachs International

     (1,466,239 )     1,466,239        —         —    

UBS AG

     (112,536 )     112,536        —         —    

ProShares Ultra Bloomberg Commodity

        

Deutsche Bank AG

     (143,751 )     143,751        —         —    

Goldman Sachs International

     (138,532 )     138,532        —         —    

UBS AG

     (49,055 )     49,055        —         —    

ProShares Ultra Bloomberg Crude Oil

        

Deutsche Bank AG

     (24,223,667 )     24,223,667        —         —    

Goldman Sachs International

     (24,285,701 )     24,285,701        —         —    

Societe Generale S.A.

     (5,528,160 )     5,528,160        —         —    

UBS AG

     (22,143,569 )     22,143,569        —         —    

ProShares Ultra Gold

        

Deutsche Bank AG

     1,231,694        —         (1,231,694 )     —    

Goldman Sachs International

     222,126        —         —         222,126   

Societe Generale S.A.

     190,591        (190,591     —         —    

UBS AG

     406,743        (406,743     —         —    

ProShares Ultra Silver

        

Deutsche Bank AG

     (6,220,069 )     6,220,069        —         —    

Goldman Sachs International

     (2,124,796 )     2,124,796        —         —    

Societe Generale S.A.

     (1,384,207 )     1,384,207        —         —    

UBS AG

     (2,666,048 )     2,666,048        —         —    

ProShares Ultra Euro

        

Goldman Sachs International

     (38,856 )     38,856        —         —    

UBS AG

     (64,515 )     64,515        —         —    

ProShares Ultra Yen

        

Goldman Sachs International

     (12,255 )     12,255        —         —    

UBS AG

     (2,990 )     2,990        —         —    

 

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NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Managed Futures Fund will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of its average daily net assets. The Sponsor did not and will not charge the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, to the extent that its offering costs exceed the Management Fee, for the first year of operations.

The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, any index licensors for the Funds, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

Each Fund incurs and pays its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds, and the Sponsor, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds. BBH&Co. may also perform other services for the Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co. serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co. by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI.

 

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Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not and will not charge its Management Fee in the first year of operations of the Managed Futures Fund in an amount equal to the offering costs. The Sponsor will reimburse the Managed Futures Fund to the extent its offering costs exceed 0.75% of its average daily NAV for the first year of operations. Normal and expected expenses incurred in connection with the continuous offering of Shares of the Managed Futures Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and the Managed Futures Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

 

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Transaction fees for the three months ended March 31, 2015, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

Fund

   Three Months Ended
March 31, 2015
 

Managed Futures Strategy

   $ —     

VIX Short-Term Futures ETF

     33,403   

VIX Mid-Term Futures ETF

     5,138   

Short VIX Short-Term Futures ETF

     61,292   

Ultra VIX Short-Term Futures ETF

     336,970   

UltraShort Bloomberg Commodity

     —     

UltraShort Bloomberg Crude Oil

     131,659   

UltraShort Bloomberg Natural Gas

     2,813   

UltraShort Gold

     5,246   

UltraShort Silver

     9,000   

Short Euro

     —     

UltraShort Australian Dollar

     —     

UltraShort Euro

     —     

UltraShort Yen

     —     

Ultra Bloomberg Commodity

     —     

Ultra Bloomberg Crude Oil

     293,240   

Ultra Bloomberg Natural Gas

     4,663   

Ultra Gold

     1,459   

Ultra Silver

     10,508   

Ultra Australian Dollar

     —     

Ultra Euro

     —     

Ultra Yen

     —     
  

 

 

 

Total Trust

$ 895,391   

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2015:

For the Three Months Ended March 31, 2015 (unaudited)

 

Per Share Operating

Performance

  Managed
Futures
Strategy
    VIX Short-
Term Futures
ETF
    VIX Mid-
Term Futures
ETF
    Short VIX
Short-Term
Futures ETF
    Ultra VIX
Short-Term
Futures ETF
    UltraShort
Bloomberg
Commodity
    UltraShort
Bloomberg
Crude Oil
 

Net asset value, at December 31, 2014

  $ 21.1354      $ 20.9321      $ 63.6020      $ 61.4004      $ 25.0918      $ 87.7495      $ 77.9790   

Net investment income (loss)

    (0.0433     (0.0467     (0.1452     (0.1987     (0.0811     (0.2053     (0.2022

Net realized and unrealized gain (loss)#

    0.3763        (3.8007     (2.0840     6.4726        (9.8209     9.4334        8.9543   

Change in net asset value from operations

    0.3330        (3.8474     (2.2292     6.2739        (9.9020     9.2281        8.7521   

Net asset value, at March 31, 2015

  $ 21.4684      $ 17.0847      $ 61.3728      $ 67.6743      $ 15.1898      $ 96.9776      $ 86.7311   

Market value per share, at December 31, 2014†

  $ 21.28      $ 20.99      $ 63.89      $ 61.16      $ 25.15      $ 87.44      $ 76.52   

Market value per share, at March 31, 2015†

  $ 21.50      $ 17.01      $ 61.09      $ 68.04      $ 15.05      $ 98.25      $ 87.14   

Total Return, at net asset value

    1.6     (18.4 )%      (3.5 )%      10.2     (39.5 )%      10.5     11.2

Total Return, at market value

    1.0     (19.0 )%      (4.4 )%      11.2     (40.2 )%      12.4     13.9

Ratios to Average Net Assets

             

Expense ratio

    (0.82 )%      (0.99 )%      (0.97 )%      (1.39 )%      (1.68 )%      (0.95 )%      (1.02 )% 

Expense ratio, excluding brokerage commissions

    (0.75 )%      (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.82 )%      (0.96 )%      (0.93 )%      (1.36 )%      (1.65 )%      (0.91 )%      (0.99 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

 

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For the three months Ended March 31, 2015 (unaudited)

 

Per Share Operating

Performance

  UltraShort
Bloomberg
Natural Gas
    UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian
Dollar
    UltraShort
Euro
    UltraShort
Yen
 

Net asset value, at December 31, 2014

  $ 83.9577      $ 96.6516      $ 115.6143      $ 40.0617      $ 51.3790      $ 21.5946      $ 89.3336   

Net investment income (loss)

    (0.2743     (0.2107     (0.2305     (0.0995     (0.1346     (0.0548     (0.1983

Net realized and unrealized gain (loss)#

    3.8028        1.3794        (14.2099     4.8906        6.1975        5.4097        (0.1606

Change in net asset value from operations

    3.5285        1.1687        (14.4404     4.7911        6.0629        5.3549        (0.3589

Net asset value, at March 31, 2015

  $ 87.4862      $ 97.8203      $ 101.1739      $ 44.8528      $ 57.4419      $ 26.9495      $ 88.9747   

Market value per share, at December 31, 2014†

  $ 82.03      $ 100.22      $ 119.39      $ 40.03      $ 51.37      $ 21.61      $ 89.30   

Market value per share, at March 31, 2015†

  $ 87.54      $ 98.18      $ 100.85      $ 44.87      $ 57.34      $ 26.95      $ 88.91   

Total Return, at net asset value

    4.2     1.2     (12.5 )%      12.0     11.8     24.8     (0.4 )% 

Total Return, at market value

    6.7     (2.0 )%      (15.5 )%      12.1     11.6     24.7     (0.4 )% 

Ratios to Average Net Assets

             

Expense ratio

    (1.43 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.02 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (1.39 )%      (0.91 )%      (0.90 )%      (0.94 )%      (1.00 )%      (0.90 )%      (0.91 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

 

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For the three months Ended March 31, 2015 (unaudited)

 

Per Share Operating

Performance

  Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver     Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen  

Net asset value, at December 31, 2014

  $ 13.0337      $ 10.1480      $ 15.4123      $ 40.0011      $ 39.3657      $ 27.4003      $ 19.8744      $ 14.1189   

Net investment income (loss)

    (0.0276     (0.0184     (0.0387     (0.0903     (0.0938     (0.0614     (0.0375     (0.0321

Net realized and unrealized gain (loss)#

    (1.5924     (3.3046     (3.9570     (1.5312     2.2087        (3.3673     (4.2942     (0.0871

Change in net asset value from operations

    (1.6200     (3.3230     (3.9957     (1.6215     2.1149        (3.4287     (4.3317     (0.1192

Net asset value, at March 31, 2015

  $ 11.4137      $ 6.8250      $ 11.4166      $ 38.3796      $ 41.4806      $ 23.9716      $ 15.5427      $ 13.9997   

Market value per share, at December 31, 2014†

  $ 12.86      $ 10.37      $ 15.78      $ 38.41      $ 38.05      $ 27.43      $ 19.80      $ 14.12   

Market value per share, at March 31, 2015†

  $ 11.70      $ 6.79      $ 11.39      $ 38.14      $ 41.69      $ 24.20      $ 15.54      $ 13.99   

Total Return, at net asset value

    (12.4 )%      (32.7 )%      (25.9 )%      (4.1 )%      5.4     (12.5 )%      (21.8 )%      (0.8 )% 

Total Return, at market value

    (9.0 )%      (34.5 )%      (27.8 )%      (0.7 )%      9.6     (11.8 )%      (21.5 )%      (0.9 )% 

Ratios to Average Net Assets

               

Expense ratio

    (0.95 )%      (0.99 )%      (1.17 )%      (0.95 )%      (0.95 )%      (1.01 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.91 )%      (0.95 )%      (1.14 )%      (0.90 )%      (0.90 )%      (0.97 )%      (0.92 )%      (0.92 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

 

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Selected data for a Share outstanding throughout the three months ended March 31, 2014:

For the Three Months Ended March 31, 2014 (unaudited)

 

Per Share Operating

Performance

  VIX Short-
Term Futures
ETF
    VIX Mid-
Term Futures
ETF*
    Short VIX
Short-Term
Futures ETF
    Ultra VIX
Short-Term
Futures ETF
    UltraShort
Bloomberg
Commodity
    UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
 

Net asset value, at December 31, 2013

  $ 28.5387      $ 77.1838      $ 67.4993      $ 67.0841      $ 63.2936      $ 31.7301      $ 69.9635   

Net investment income (loss)

    (0.0577     (0.1532     (0.2209     (0.2919     (0.1332     (0.0690     (0.1225

Net realized and unrealized gain (loss)#

    (0.2803     (3.0559     (5.4192     (6.4957     (8.4288     (3.1766     (25.9326

Change in net asset value from operations

    (0.3380     (3.2091     (5.6401     (6.7876     (8.5620     (3.2456     (26.0551

Net asset value, at March 31, 2014

  $ 28.2007      $ 73.9747      $ 61.8592      $ 60.2965      $ 54.7316      $ 28.4845      $ 43.9084   

Market value per share, at December 31, 2013†

  $ 28.53      $ 77.16      $ 67.47      $ 67.12      $ 58.41      $ 31.58      $ 69.36   

Market value per share, at March 31, 2014†

  $ 28.10      $ 74.00      $ 61.97      $ 59.91      $ 55.25      $ 28.54      $ 43.71   

Total Return, at net asset value

    (1.2 )%      (4.2 )%      (8.4 )%      (10.1 )%      (13.5 )%      (10.2 )%      (37.2 )% 

Total Return, at market value

    (1.5 )%      (4.1 )%      (8.2 )%      (10.7 )%      (5.4 )%      (9.6 )%      (37.0 )% 

Ratios to Average Net Assets

             

Expense ratio

    (0.85 )%      (0.85 )%      (1.50 )%      (1.79 )%      (0.95 )%      (0.97 )%      (1.17 )% 

Expense ratio, excluding brokerage commissions

    (0.85 )%      (0.85 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.80 )%      (0.81 )%      (1.45 )%      (1.76 )%      (0.91 )%      (0.91 )%      (1.12 )% 

 

* See Note 1 of these Notes to Financial Statements.
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

 

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Table of Contents

For the Three Months Ended March 31, 2014 (unaudited)

 

Per Share Operating

Performance

  UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian
Dollar
    UltraShort
Euro
    UltraShort
Yen
    Ultra
Bloomberg
Commodity
 

Net asset value, at December 31, 2013

  $ 103.5180      $ 89.7820      $ 35.5867      $ 46.6384      $ 17.0613      $ 70.8640      $ 19.4317   

Net investment income (loss)

    (0.1979     (0.1773     (0.0799     (0.1073     (0.0373     (0.1459     (0.0464

Net realized and unrealized gain (loss)#

    (15.0246     (6.8730     0.0037        (4.2001     (0.0976     (3.1017     2.7213   

Change in net asset value from operations

    (15.2225     (7.0503     (0.0762     (4.3074     (0.1349     (3.2476     2.6749   

Net asset value, at March 31, 2014

  $ 88.2955      $ 82.7317      $ 35.5105      $ 42.3310      $ 16.9264      $ 67.6164      $ 22.1066   

Market value per share, at December 31, 2013†

  $ 103.53      $ 90.19      $ 35.66      $ 46.66      $ 17.06      $ 70.91      $ 19.13   

Market value per share, at March 31, 2014†

  $ 89.45      $ 84.24      $ 35.58      $ 42.27      $ 16.93      $ 67.62      $ 21.51   

Total Return, at net asset value

    (14.7 )%      (7.9 )%      (0.2 )%      (9.2 )%      (0.8 )%      (4.6 )%      13.8

Total Return, at market value

    (13.6 )%      (6.6 )%      (0.2 )%      (9.4 )%      (0.8 )%      (4.6 )%      12.4

Ratios to Average Net Assets

             

Expense ratio

    (0.95 )%      (0.95 )%      (0.96 )%      (1.01 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

    (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

    (0.89 )%      (0.89 )%      (0.91 )%      (0.95 )%      (0.88 )%      (0.88 )%      (0.91 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

 

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Table of Contents

For the Three Months Ended March 31, 2014 (unaudited)

 

Per Share Operating

Performance

   Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver     Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen  

Net asset value, at December 31, 2013

   $ 32.0899      $ 38.8383      $ 41.2553      $ 63.3305      $ 31.6801      $ 26.0346      $ 18.6318   

Net investment income (loss)

     (0.0712     (0.1183     (0.1060     (0.1535     (0.0733     (0.0566     (0.0428

Net realized and unrealized gain (loss)#

     2.6074        6.4173        5.8746        2.0543        2.8368        0.0512        0.7168   

Change in net asset value from operations

     2.5362        6.2990        5.7686        1.9008        2.7635        (0.0054     0.6740   

Net asset value, at March 31, 2014

   $ 34.6261      $ 45.1373      $ 47.0239      $ 65.2313      $ 34.4436      $ 26.0292      $ 19.3058   

Market value per share, at December 31, 2013†

   $ 32.22      $ 39.28      $ 41.26      $ 63.04      $ 31.61      $ 25.98      $ 18.61   

Market value per share, at March 31, 2014†

   $ 34.56      $ 45.32      $ 46.34      $ 64.12      $ 34.46      $ 25.98      $ 19.29   

Total Return, at net asset value

     7.9     16.2     14.0     3.0     8.7     0.0 %**      3.6

Total Return, at market value

     7.3     15.4     12.3     1.7     9.0     0.0 %**      3.7

Ratios to Average Net Assets

              

Expense ratio

     (0.98 )%      (1.11 )%      (0.95 )%      (0.95 )%      (1.00 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

     (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )%      (0.95 )% 

Net investment income (loss)

     (0.92 )%      (1.06 )%      (0.91 )%      (0.90 )%      (0.93 )%      (0.89 )%      (0.89 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
** Amount represents less than 0.01%.

 

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse (-1x), two times the inverse (-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds and the Managed Futures Fund seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short or UltraShort Fund is designed to return the inverse (-1x) or two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present different risks than other funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective Geared Funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

 

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Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contracts are generally traded in OTC markets and have only recently become subject to regulation by the CFTC. CFTC rules, however, do not cover all types of swap agreements and forward contracts. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

The Funds will be subject to credit risk with respect to the counterparties to the derivatives contracts (whether a clearing corporation in the case of cleared instruments or another third party in the case of OTC uncleared instruments). Unlike in futures contracts, the counterparty to uncleared swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, a Fund is subject to credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contracts entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however there are no limitations on the percentage of its assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC swaps or forward contracts are less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. If the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund.

The counterparty risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment.

 

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For example, because the UltraShort Funds and Ultra Funds include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2014 may specify a January 2015 expiration. As that contract nears expiration, it may be replaced by selling the January 2015 contract and purchasing the contract expiring in March 2015. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2015 contract would take place at a price that is higher than the price at which the March 2015 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund, the Managed Futures Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds, the Managed Futures Fund and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver historically exhibit persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

Shareholder Concentration

As of March 31, 2015, ProShares Morningstar Alternatives Solution ETF, an ETF affiliated with the Funds, owned 65% of the outstanding shares of the Managed Futures Fund. Subscription and redemption activity by concentrated shareholders may have a significant effect on the operations of the Fund.

 

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Other Matters

On September 9, 2014, NYSE Regulation, Inc. (“NYSE Regulation”) sent a letter informing the Sponsor that ProShares Ultra Australian Dollar failed to comply with continued NYSE Arca Equities, Inc. listing standards regarding its number of record or beneficial holders. The Sponsor sent a written plan (“Plan”) to the NYSE Regulation designed to increase and sustain a higher number of record or beneficial holders. Upon review and consideration of the Plan, the NYSE Regulation Staff has granted an extension allowing the continued listing of ProShares Ultra Australian Dollar through at least June 23, 2015. There is no guarantee that the Fund will be able to meet the continued listing standards and avoid a delisting action after that date. If the Fund is delisted, there will not be an active trading market for the Fund’s Shares. If investors need to sell their Fund Shares at a time when no active market for them exists, the price investors receive for the Fund’s Shares, assuming that investors are able to sell them, likely will be lower than the price that investors would receive if an active market did exist. In addition, if the Fund is delisted, the Fund would likely be forced to liquidate.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

On May 1, 2015, the Trust announced a 1-for-4 reverse split of the Shares of beneficial interest of ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas and ProShares Ultra Yen.

On May 1, 2015, the Trust announced a 1-for-5 reverse split of the Shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Crude Oil.

The reverse splits will increase the price per Share of each Fund with a proportionate decrease in the number of Shares outstanding. For example, for a 1-for-4 reverse split, every four pre-split Shares will result in the receipt of one post-split Share, which will be priced four times higher than the NAV of a pre-split Share.

The reverse splits will be effective for shareholders of record after the close of the markets on May 19, 2015. All reverse splits will be effective at the market open on May 20, 2015, when the Funds will begin trading at their post-split price. The ticker symbol for the Funds will not change. Each of the Funds undergoing a reverse split will be issued a new CUSIP number, listed below.

 

Ticker

  

Fund

   Split Ratio    Old CUSIP    New CUSIP

UCD

   Ultra Bloomberg Commodity    1:4    74347W106    74347W288

BOIL

   Ultra Bloomberg Natural Gas    1:4    74347W122    74347W296

YCL

   Ultra Yen    1:4    74347W866    74347W270

UVXY

   Ultra VIX Short-Term Futures ETF    1:5    74347W346    74347W312

UCO

   Ultra Bloomberg Crude Oil    1:5    74347W650    74347W320

The Shares outstanding and per Share information for ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas and ProShares Ultra Yen disclosed in the financial statements and notes to the financial statements have not been retroactively adjusted to give effect to the reverse splits. Presented below are pro forma Shares outstanding and per Share information after giving retroactive effect for the reverse splits.

Pro forma information, giving retroactive effect to the reverse splits, is as follows:

For the Three Months Ended March 31, 2015 (unaudited)

 

Per Share Operating Performance

   Ultra VIX
Short-Term
Futures ETF
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Yen  

Net asset value, at December 31, 2014

   $ 125.4591      $ 52.1342      $ 50.7400      $ 61.6491      $ 56.4747   

Net investment income (loss)

     (0.4056     (0.1104     (0.0920     (0.1548     (0.1283

Net realized and unrealized gain (loss)

     (49.1045     (6.3693     (16.5231     (15.8280     (0.3478

Change in net asset value from operations

     (49.5101     (6.4797     (16.6151     (15.9828     (0.4761

Net asset value, at March 31, 2015

   $ 75.9490      $ 45.6545      $ 34.1249      $ 45.6663      $ 55.9986   

Market value per share, at December 31, 2014

   $ 125.75      $ 51.44      $ 51.85      $ 63.12      $ 56.48   

Market value per share, at March 31, 2015

   $ 75.25      $ 46.80      $ 33.95      $ 45.56      $ 55.96   
As of March 31, 2015 and December 31, 2014 (unaudited)  

Shares outstanding

   Ultra VIX
Short-Term
Futures ETF
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Yen  

Shares outstanding, at March 31, 2015

     9,134,020        50,004        29,439,834        1,342,485        100,004   

Shares outstanding, at December 31, 2014

     2,804,020        50,004        8,879,834        1,142,485        37,504   
For the Three Months Ended March 31, 2015 (unaudited)  

Net income (loss) per weighted-average share

   Ultra VIX
Short-Term
Futures ETF
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Yen  

Net income (loss) per weighted-average share

   $ (44.65   $ (6.48   $ (9.74   $ (13.91   $ (1.64

Weighted-average shares outstanding

     5,053,242        50,004        20,040,390        1,336,652        70,837   

Pro forma information, giving retroactive effect to the reverse splits, is as follows:

For the Three Months Ended March 31, 2014 (unaudited)

 

Per Share Operating Performance

   Ultra VIX
Short-Term
Futures ETF
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Yen  

Net asset value, at December 31, 2013

   $ 335.4203      $ 77.7259      $ 160.4495      $ 155.3534      $ 74.5261   

Net investment income (loss)

     (1.4595     (0.1855     (0.3562     (0.4732     (0.1712

Net realized and unrealized gain (loss)

   $ (32.4784   $ 10.8849        13.0370      $ 25.6692      $ 2.8673   

Change in net asset value from operations

   $ (33.9379   $ 10.6994        12.6808      $ 25.1960      $ 2.6961   

Net asset value, at March 31, 2014

   $ 301.4824      $ 88.4253      $ 173.1303      $ 180.5494      $ 77.2222   

Market value per share, at December 31, 2013

   $ 335.60      $ 76.52      $ 161.10      $ 157.12      $ 74.44   

Market value per share, at March 31, 2014

   $ 299.55      $ 86.04      $ 172.80      $ 181.28      $ 77.16   
For the Three Months Ended March 31, 2014 (unaudited)  

Net income (loss) per weighted-average share

   Ultra VIX
Short-Term
Futures ETF
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Yen  

Net income (loss) per weighted-average share

   $ (13.89   $ 10.70      $ 22.80      $ 74.42      $ 2.70   

Weighted-average shares outstanding

     742,920        37,504        936,056        248,458        37,504   

 

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2015, the following twenty-two series of the Trust have commenced investment operations: (i) ProShares Managed Futures Strategy (the “Managed Futures Fund”); (ii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (iii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (v) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

 

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On May 1, 2015, the Trust announced a 1-for-4 reverse split of the Shares of beneficial interest of ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas and ProShares Ultra Yen and a 1-for-5 reverse split of the Shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Crude Oil. The reverse splits will be effective for shareholders of record after the close of the markets on May 19, 2015. All reverse splits will be effective at the market open on May 20, 2015, when the Funds will begin trading at their post-split price. The Shares outstanding and per Share information for ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas and ProShares Ultra Yen disclosed in the financial statements and notes to the financial statements as well as in Management’s Discussion and Analysis of Financial Condition and Results of Operations have not been retroactively adjusted to give effect to the reverse splits. Refer to Note 9 Subsequent Events in the notes to the financial statements for the pro forma Shares outstanding and per Share information after giving retroactive effect for the reverse splits.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund and the Managed Futures Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Fund seeks to provide investment results (before fees and expenses) that correspond to the performance of the S&P Strategic Futures Index (“SFI”). The Managed Futures Fund intends to obtain exposure to the SFI by primarily investing in unleveraged positions in commodity futures contracts as well as currency and U.S. Treasury futures contracts that are deemed to have sufficient liquidity.

ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil and ProShares Ultra Bloomberg Natural Gas

 

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each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexes and the corresponding Funds will likely be very different from the daily performance of the price of the related physical commodities.

Until March 19, 2015, the price of gold for each of ProShares Ultra Short Gold and ProShares Ultra Gold was the U.S. dollar price of gold bullion as measured by the London afternoon fixing price per troy ounce of unallocated gold bullion for delivery in London through a member of the LBMA, authorized to effect such delivery. On February 19, 2015, the LBMA, the company that ran the London gold fix, announced that, as of March 20, 2015, they would stop running the process. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, based on an electronic, physically settled auction-based methodology effective March 20, 2015. The LBMA Gold Price is determined each trading day at 3:00 p.m. London time, providing a reference gold price for that day’s trading.

Each Geared Fund and the Managed Futures Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2015 and 2014 each of the Funds earned interest income as follows:

 

     Interest Income
Three Months Ended
March 31, 2015
     Interest Income
Three Months Ended
March 31, 2014
 

ProShares Managed Futures Strategy

   $ —         $ —     

ProShares VIX Short-Term Futures ETF

     9,907         23,668   

ProShares VIX Mid-Term Futures ETF

     2,714         5,328   

ProShares Short VIX Short-Term Futures ETF

     29,929         24,205   

ProShares Ultra VIX Short-Term Futures ETF

     32,459         21,276   

ProShares UltraShort Bloomberg Commodity

     528         308   

ProShares UltraShort Bloomberg Crude Oil

     20,512         36,973   

ProShares UltraShort Bloomberg Natural Gas

     985         6,683   

ProShares UltraShort Gold

     8,196         15,195   

ProShares UltraShort Silver

     6,143         12,957   

ProShares Short Euro

     1,380         1,046   

ProShares UltraShort Australian Dollar

     1,107         3,864   

ProShares UltraShort Euro

     67,590         69,357   

ProShares UltraShort Yen

     45,048         78,224   

ProShares Ultra Bloomberg Commodity

     254         332   

ProShares Ultra Bloomberg Crude Oil

     76,242         21,701   

ProShares Ultra Bloomberg Natural Gas

     5,642         6,273   

ProShares Ultra Gold

     12,738         13,828   

ProShares Ultra Silver

     38,246         62,602   

ProShares Ultra Australian Dollar

     226         558   

ProShares Ultra Euro

     534         378   

ProShares Ultra Yen

     291         435   

 

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Each Fund’s underlying swaps, futures, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying the Fund’s benchmark at a specified date and price, should it hold such derivatives contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be

 

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required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an uncleared swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

 

    executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

 

    limiting the outstanding amounts due from counterparties to the Funds;

 

    not posting margin directly with a counterparty;

 

    requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

 

    limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); and

 

    ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 11, 2015, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

The Trust’s and the Funds’ critical accounting policies are as follows:

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

 

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Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three months ended March 31, 2015.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Leveraged or the VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. For the three months ended March 31, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

 

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Results of Operations for the Three Months Ended March 31, 2015 Compared to the Three Months Ended March 31, 2014

ProShares Managed Futures Strategy

Since the Fund commenced investment operations on October 1, 2014, comparisons of the Fund’s results of operations for the three months ended March 31, 2014 have not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015:

 

     Three Months Ended
March 31, 2015
 

NAV beginning of period

   $ 6,340,845  

NAV end of period

   $ 8,587,555  

Percentage change in NAV

     35.4

Shares outstanding beginning of period

     300,010  

Shares outstanding end of period

     400,010  

Percentage change in shares outstanding

     33.3

Shares created

     200,000  

Shares redeemed

     100,000  

Per share NAV beginning of period

   $ 21.14  

Per share NAV end of period

   $ 21.47  

Percentage change in per share NAV

     1.6

Percentage change in benchmark

     1.6

Benchmark annualized volatility

     6.2

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 300,010 outstanding Shares at December 31, 2014 to 400,010 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P Strategic Futures Index.

For the three months ended March 31, 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 29, 2015 at $21.88 per Share and reached its low for the period on January 2, 2015 at $21.25 per Share.

The benchmark’s rise of 1.6% for the three months ended March 31, 2015, can be attributed to an appreciation in value of the futures contracts that make up the S&P Strategic Futures Index during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015:

 

     Three Months Ended
March 31, 2015
 

Net investment income (loss)

   $ (16,021 )

Management fee

     —     

Brokerage commission

     1,334  

Offering costs

     16,221  

Limitation by Sponsor

     (1,534 )

Reduction to Limitation by Sponsor

     —     

Net realized gain (loss)

     119,252  

Change in net unrealized appreciation/depreciation

     (21,094 )

Net income (loss)

   $ 82,137  

 

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ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 111,459,325     $ 270,398,554  

NAV end of period

   $ 149,487,509     $ 117,732,469  

Percentage change in NAV

     34.1     (56.5 )% 

Shares outstanding beginning of period

     5,324,812       9,474,812  

Shares outstanding end of period

     8,749,812       4,174,812  

Percentage change in shares outstanding

     64.3     (55.9 )% 

Shares created

     4,575,000       1,475,000  

Shares redeemed

     1,150,000       6,775,000  

Per share NAV beginning of period

   $ 20.93     $ 28.54  

Per share NAV end of period

   $ 17.08     $ 28.20  

Percentage change in per share NAV

     (18.4 )%      (1.2 )% 

Percentage change in benchmark

     (18.2 )%      (0.6 )% 

Benchmark annualized volatility

     64.4     60.8

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 5,324,812 outstanding Shares at December 31, 2014 to 8,749,812 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 4,174,812 outstanding Shares at March 31, 2014.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.4% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 1.2% for the three months ended March 31, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $24.15 per Share and reached its low for the period on March 30, 2015 at $16.61 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on January 22, 2014 at $26.66 per Share.

The benchmark’s decline of 18.2% for the three months ended March 31, 2015, as compared to the benchmark’s decline of 0.6% for the three months ended March 31, 2014, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (274,472 )    $ (353,797 )

Management fee

     243,400        377,465  

Brokerage commission

     40,979        —     

Net realized gain (loss)

     (8,976,176 )      15,786,313  

Change in net unrealized appreciation/depreciation

     (11,371,875 )      11,621,137  

Net income (loss)

   $ (20,622,523 )    $ 27,053,653  

 

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The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2015.

ProShares VIX Mid-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 21,459,575     $ 51,134,323  

NAV end of period

   $ 28,379,030     $ 57,792,817  

Percentage change in NAV

     32.2     13.0

Shares outstanding beginning of period

     337,404       662,501  

Shares outstanding end of period

     462,404       781,251  

Percentage change in shares outstanding

     37.0     17.9

Shares created

     200,000       275,000  

Shares redeemed

     75,000       156,250   

Per share NAV beginning of period

   $ 63.60     $ 77.18  

Per share NAV end of period

   $ 61.37     $ 73.97  

Percentage change in per share NAV

     (3.5 )%      (4.2 )% 

Percentage change in benchmark

     (3.3 )%      (3.9 )% 

Benchmark annualized volatility

     34.5     27.3

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 337,404 outstanding Shares at December 31, 2014 to 462,404 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 662,501 outstanding Shares at December 31, 2013 to 781,251 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.5% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $68.56 per Share and reached its low for the period on March 5, 2015 at $59.47 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $85.56 per Share and reached its low for the period on February 18, 2014 at $73.43 per Share.

The benchmark’s decline of 3.3% for the three months ended March 31, 2015, as compared to the benchmark’s decline of 3.9% for the three months ended March 31, 2014, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (63,559 )    $ (110,008 )

Management fee

     58,236        115,336  

Brokerage commission

     8,037        —    

Net realized gain (loss)

     127,909        (5,397,419 )

Change in net unrealized appreciation/depreciation

     (761,622 )      2,889,947  

Net income (loss)

   $ (697,272 )    $ (2,617,480 )

 

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The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2015.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares VIX Mid-Term Futures ETF.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 506,556,124     $ 141,751,202  

NAV end of period

   $ 280,850,972     $ 213,416,566  

Percentage change in NAV

     (44.6 )%      50.6

Shares outstanding beginning of period

     8,250,040       2,100,040  

Shares outstanding end of period

     4,150,040       3,450,040  

Percentage change in shares outstanding

     (49.7 )%      64.3

Shares created

     2,150,000       2,850,000  

Shares redeemed

     6,250,000       1,500,000  

Per share NAV beginning of period

   $ 61.40     $ 67.50  

Per share NAV end of period

   $ 67.67     $ 61.86  

Percentage change in per share NAV

     10.2     (8.4 )% 

Percentage change in benchmark

     (18.2 )%      (0.6 )% 

Benchmark annualized volatility

     64.4     60.8

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 8,250,040 outstanding Shares at December 31, 2014 to 4,150,040 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 2,100,040 outstanding Shares at December 31, 2013 to 3,450,040 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.2% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended March 31, 2014, was primarily due to appreciation in the value of the assets of the fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 30, 2015 at $69.69 per Share and reached its low for the period on January 30, 2015 at $50.15 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 22, 2014 at $71.82 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share.

The benchmark’s decline of 18.2% for the three months ended March 31, 2015, as compared to the benchmark’s decline of 0.6% for the three months ended March 31, 2014, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended March 31, 2015.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (1,492,492 )    $ (771,039 )

Management fee

     1,039,580        503,918  

Brokerage commission

     482,841        291,326  

Net realized gain (loss)

     23,834,554        2,734,250  

Change in net unrealized appreciation/depreciation

     23,344,651        (32,247 )

Net income (loss)

   $ 45,686,713      $ 1,930,964  

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2015.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 351,789,953     $ 226,233,584  

NAV end of period

   $ 693,720,084     $ 317,768,440  

Percentage change in NAV

     97.2     40.5

Shares outstanding beginning of period

     14,020,099       3,372,389  

Shares outstanding end of period

     45,670,099       5,270,099  

Percentage change in shares outstanding

     225.7     56.3

Shares created

     48,150,000       4,775,000  

Shares redeemed

     16,500,000       2,877,290  

Per share NAV beginning of period

   $ 25.09     $ 67.08  

Per share NAV end of period

   $ 15.19     $ 60.30  

Percentage change in per share NAV

     (39.5 )%      (10.1 )% 

Percentage change in benchmark

     (18.2 )%      (0.6 )% 

Benchmark annualized volatility

     64.4     60.8

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 14,020,099 outstanding Shares at December 31, 2014 to 45,670,099 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 3,372,389 outstanding Shares at December 31, 2013 to 5,270,099 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 39.5% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 10.1% for the three months ended March 31, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $32.86 per Share and reached its low for the period on March 30, 2015 at $14.36 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $104.52 per Share and reached its low for the period on January 22, 2014 at $58.37 per Share.

 

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The benchmark’s decline of 18.2% for the three months ended March 31, 2015, as compared to the benchmark’s decline of 0.6% for the three months ended March 31, 2014, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (2,049,613 )    $ (1,084,303 )

Management fee

     1,178,762        586,132  

Brokerage commission

     903,310        519,447  

Net realized gain (loss)

     (135,089,154 )      (3,547,218 )

Change in net unrealized appreciation/depreciation

     (88,510,934 )      (5,689,374 )

Net income (loss)

   $ (225,649,701 )    $ (10,320,895 )

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2015.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 5,264,706     $ 3,797,427  

NAV end of period

   $ 5,818,363     $ 3,283,730  

Percentage change in NAV

     10.5     (13.5 )% 

Shares outstanding beginning of period

     59,997       59,997  

Shares outstanding end of period

     59,997       59,997  

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 87.75     $ 63.29  

Per share NAV end of period

   $ 96.98     $ 54.73  

Percentage change in per share NAV

     10.5     (13.5 )% 

Percentage change in benchmark

     (5.9 )%      7.0

Benchmark annualized volatility

     16.2     9.8

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to March 31, 2015. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014.

 

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For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.5% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 13.5% for the three months ended March 31, 2014, was primarily due to appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 17, 2015 at $99.65 per Share and reached its low for the period on February 13, 2015 at $86.25 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $66.81 per Share and reached its low for the period on March 6, 2014 at $53.06 per Share.

The benchmark’s decline of 5.9% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 7.0% for the three months ended March 31, 2014, can be attributed to depreciation of the underlying components of the index during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (12,318 )    $ (7,991 )

Management fee

     12,846        8,299  

Net realized gain (loss)

     856,549        (635,695 )

Change in net unrealized appreciation/depreciation

     (290,574 )      129,989  

Net income (loss)

   $ 553,657      $ (513,697 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the Fund’s benchmark index during the three months ended March 31, 2015.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 169,210,110     $ 256,060,149  

NAV end of period

   $ 370,337,005     $ 318,170,803  

Percentage change in NAV

     118.9     24.3

Shares outstanding beginning of period

     2,169,944       8,069,944  

Shares outstanding end of period

     4,269,944       11,169,944  

Percentage change in shares outstanding

     96.8     38.4

Shares created

     4,600,000       7,700,000  

Shares redeemed

     2,500,000       4,600,000  

Per share NAV beginning of period

   $ 77.98     $ 31.73  

Per share NAV end of period

   $ 86.73     $ 28.48  

Percentage change in per share NAV

     11.2     (10.2 )% 

Percentage change in benchmark

     (14.9 )%      4.4

Benchmark annualized volatility

     54.4     16.6

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 2,169,944 outstanding Shares at December 31, 2014 to 4,269,944 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 8,069,944 outstanding Shares at December 31, 2013 to 11,169,944 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

 

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For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.2% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 10.2% for the three months ended March 31, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $106.79 per Share and reached its low for the period on February 17, 2015 at $67.86 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on March 3, 2014 at $27.23 per Share.

The benchmark’s decline of 14.9% for the three months ended March 31, 2015, as compared to the rise of 4.4% for the three months ended March 31, 2014, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (627,608 )    $ (599,273 )

Management fee

     603,835        623,553  

Brokerage commission

     44,285        12,693  

Net realized gain (loss)

     44,657,756        (12,272,712 )

Change in net unrealized appreciation/depreciation

     1,432,787        (3,393,450 )

Net income (loss)

   $ 45,462,935      $ (16,265,435 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decrease in the price of WTI Crude Oil during the three months ended March 31, 2015.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 14,688,564     $ 22,734,767  

NAV end of period

   $ 10,931,570     $ 73,544,544  

Percentage change in NAV

     (25.6 )%      223.5

Shares outstanding beginning of period

     174,952       324,952  

Shares outstanding end of period

     124,952       1,674,952  

Percentage change in shares outstanding

     (28.6 )%      415.4

Shares created

     150,000       2,100,000  

Shares redeemed

     200,000       750,000  

Per share NAV beginning of period

   $ 83.96     $ 69.96  

Per share NAV end of period

   $ 87.49     $ 43.91  

Percentage change in per share NAV

     4.2     (37.2 )% 

Percentage change in benchmark

     (11.0 )%      12.0

Benchmark annualized volatility

     51.0     56.7

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 174,952 outstanding Shares at December 31, 2014 to 124,952 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 324,952 outstanding Shares at December 31, 2013 to 1,674,952 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

 

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For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.2% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 37.2% for the three months ended March 31, 2014, was primarily due to appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on February 6, 2015 at $93.69 per Share and reached its low for the period on January 14, 2015 at $64.60 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on February 4, 2014 at $36.07 per Share.

The benchmark’s decline of 11.0% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 12.0% for the three months ended March 31, 2014, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (41,587 )    $ (155,585 )

Management fee

     28,373        131,806  

Brokerage commission

     14,199        30,462  

Net realized gain (loss)

     5,179,716        (9,212,982 )

Change in net unrealized appreciation/depreciation

     (3,081,900 )      3,439,263  

Net income (loss)

   $ 2,056,229      $ (5,929,304 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2015.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 81,861,762     $ 139,436,456  

NAV end of period

   $ 77,960,614     $ 114,517,274  

Percentage change in NAV

     (4.8 )%      (17.9 )% 

Shares outstanding beginning of period

     846,978       1,346,978  

Shares outstanding end of period

     796,978       1,296,978  

Percentage change in shares outstanding

     (5.9 )%      (3.7 )% 

Shares created

     100,000       300,000  

Shares redeemed

     150,000       350,000  

Per share NAV beginning of period

   $ 96.65     $ 103.52  

Per share NAV end of period

   $ 97.82     $ 88.30  

Percentage change in per share NAV

     1.2     (14.7 )% 

Percentage change in benchmark

     (1.6 )%      7.2

Benchmark annualized volatility

     14.9     14.4

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 846,978 outstanding Shares at December 31, 2014 to 796,978 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the

 

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cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 1,296,978 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.2% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 14.7% for the three months ended March 31, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 18, 2015 at $104.99 per Share and reached its low for the period on January 22, 2015 at $83.07 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share.

The benchmark’s decline of 1.6% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 7.2% for the three months ended March 31, 2014, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (185,696 )    $ (250,373 )

Management fee

     193,876        265,552  

Brokerage commission

     16        16  

Net realized gain (loss)

     1,917,930        (22,148,192 )

Change in net unrealized appreciation/depreciation

     697,941        2,904,578  

Net income (loss)

   $ 2,430,175      $ (19,493,987 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2015.

 

On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 53,007,867     $ 112,989,686  

NAV end of period

   $ 56,504,499     $ 71,024,281  

Percentage change in NAV

     6.6     (37.1 )% 

Shares outstanding beginning of period

     458,489       1,258,489  

Shares outstanding end of period

     558,489       858,489  

Percentage change in shares outstanding

     21.8     (31.8 )% 

Shares created

     250,000       550,000  

 

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     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

Shares redeemed

     150,000       950,000  

Per share NAV beginning of period

   $ 115.61     $ 89.78  

Per share NAV end of period

   $ 101.17     $ 82.73  

Percentage change in per share NAV

     (12.5 )%      (7.9 )% 

Percentage change in benchmark

     3.9     2.4

Benchmark annualized volatility

     27.5     21.4

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 458,489 outstanding shares at December 31, 2014 to 558,489 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 858,489 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.5% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 7.9% for the three months ended March 31, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $119.37 per Share and reached its low for the period on January 23, 2015 at $86.79 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $91.17 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share.

The benchmark’s rise of 3.9% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 2.4% for the three months ended March 31, 2014, can be attributed to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (118,220 )    $ (191,211 )

Management fee

     124,355        204,160  

Brokerage commission

     8        8  

Net realized gain (loss)

     (1,361,863 )      (12,612,864 )

Change in net unrealized appreciation/depreciation

     (4,329,334 )      9,961,049  

Net income (loss)

   $ (5,809,417 )    $ (2,843,026 )

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2015.

 

On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

 

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ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 14,021,804     $ 8,896,842  

NAV end of period

   $ 20,184,003     $ 7,102,270  

Percentage change in NAV

     43.9     (20.2 )% 

Shares outstanding beginning of period

     350,005       250,005  

Shares outstanding end of period

     450,005       200,005  

Percentage change in shares outstanding

     28.6     (20.0 )% 

Shares created

     100,000       —     

Shares redeemed

     —          50,000  

Per share NAV beginning of period

   $ 40.06     $ 35.59  

Per share NAV end of period

   $ 44.85     $ 35.51  

Percentage change in per share NAV

     12.0     (0.2 )% 

Percentage change in benchmark

     (11.2 )%      0.1

Benchmark annualized volatility

     13.6     6.0

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 350,005 outstanding shares at December 31, 2014 to 450,005 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,005 outstanding Shares at December 31, 2013 to 200,005 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.0% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 0.2% for the three months ended March 31, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $46.07 per Share and reached its low for the period on January 2, 2015 at $40.37 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $36.34 per Share and reached its low for the period on March 18, 2014 at $35.13 per Share.

The benchmark’s decline of 11.2% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 0.1% for the three months ended March 31, 2014, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (38,347 )    $ (16,599 )

Management fee

     38,859        17,406  

Brokerage commission

     868        239  

Net realized gain (loss)

     2,057,094        (66,330 )

Change in net unrealized appreciation/depreciation

     (275,379 )      80,941  

Net income (loss)

   $ 1,743,368      $ (1,988 )

 

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The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended March 31, 2015.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 23,120,790     $ 27,983,279  

NAV end of period

   $ 20,104,935     $ 21,165,734  

Percentage change in NAV

     (13.0 )%      (24.4 )% 

Shares outstanding beginning of period

     450,005       600,005  

Shares outstanding end of period

     350,005       500,005  

Percentage change in shares outstanding

     (22.2 )%      (16.7 )% 

Shares created

     50,000       —     

Shares redeemed

     150,000       100,000  

Per share NAV beginning of period

   $ 51.38     $ 46.64  

Per share NAV end of period

   $ 57.44     $ 42.33  

Percentage change in per share NAV

     11.8     (9.2 )% 

Percentage change in benchmark

     (6.7 )%      3.8

Benchmark annualized volatility

     13.0     9.4

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 450,005 outstanding Shares at December 31, 2014 to 350,005 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 500,005 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.8% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended March 31, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 11, 2015 at $58.71 per Share and reached its low for the period on January 16, 2015, 2015 at $50.32 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on March 31, 2014 at $42.33 per Share.

The benchmark’s decline of 6.7% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 3.8% for the three months ended March 31, 2014, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (55,714 )    $ (59,178 )

Management fee

     52,824        59,260  

Brokerage commission

     3,997        3,782  

 

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     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net realized gain (loss)

     2,979,889        (78,205 )

Change in net unrealized appreciation/depreciation

     (323,522 )      (2,139,899 )

Net income (loss)

   $ 2,600,653      $ (2,277,282 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2015.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 517,191,349     $ 418,001,115  

NAV end of period

   $ 619,839,556     $ 410,466,058  

Percentage change in NAV

     19.8     (1.8 )% 

Shares outstanding beginning of period

     23,950,014       24,500,014  

Shares outstanding end of period

     23,000,014       24,250,014  

Percentage change in shares outstanding

     (4.0 )%      (1.0 )% 

Shares created

     5,500,000       200,000  

Shares redeemed

     6,450,000       450,000  

Per share NAV beginning of period

   $ 21.59     $ 17.06  

Per share NAV end of period

   $ 26.95     $ 16.93  

Percentage change in per share NAV

     24.8     (0.8 )% 

Percentage change in benchmark

     (11.2 )%      0.1

Benchmark annualized volatility

     13.6     6.0

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was partially offset by a decrease from 23,950,014 outstanding Shares at December 31, 2014 to 23,000,014 outstanding Shares at March 31, 2015. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,500,014 outstanding Shares at December 31, 2013 to 24,250,014 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 24.8% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended March 31, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $28.50 per Share and reached its low for the period on January 2, 2015 at $21.94 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $17.71 per Share and reached its low for the period on March 18, 2014 at $16.56 per Share.

The benchmark’s decline of 11.2% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 0.1% for the three months ended March 31, 2014, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended March 31, 2015.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (1,189,555 )    $ (901,399 )

Management fee

     1,257,145        970,756  

Net realized gain (loss)

     107,528,339        (12,180,103 )

Change in net unrealized appreciation/depreciation

     6,631,469        10,013,710  

Net income (loss)

   $ 112,970,253      $ (3,067,792 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the value of the euro versus the U.S. dollar for the three months ended March 31, 2015.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 531,471,873     $ 588,121,516  

NAV end of period

   $ 440,362,007     $ 405,650,586  

Percentage change in NAV

     (17.1 )%      (31.0 )% 

Shares outstanding beginning of period

     5,949,294       8,299,294  

Shares outstanding end of period

     4,949,294       5,999,294  

Percentage change in shares outstanding

     (16.8 )%      (27.7 )% 

Shares created

     650,000       150,000  

Shares redeemed

     1,650,000       2,450,000  

Per share NAV beginning of period

   $ 89.33     $ 70.86  

Per share NAV end of period

   $ 88.97     $ 67.62  

Percentage change in per share NAV

     (0.4 )%      (4.6 )% 

Percentage change in benchmark

     (0.1 )%      2.0

Benchmark annualized volatility

     8.6     8.2

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at December 31, 2014 to 4,949,294 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,999,294 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV decrease of 4.6% for the three months ended March 31, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $91.29 per Share and reached its low for the period on January 15, 2015 at $84.11 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 3, 2014 at $70.17 per Share and reached its low for the period on February 3, 2014 at $64.95 per Share.

 

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The benchmark’s decline of 0.1% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 2.0% for the three months ended March 31, 2014, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (1,116,544 )    $ (950,309 )

Management fee

     1,161,592        1,028,533  

Net realized gain (loss)

     (5,105,291 )      (94,384 )

Change in net unrealized appreciation/depreciation

     2,237,926        (24,542,413 )

Net income (loss)

   $ (3,983,909 )    $ (25,587,106 )

The Fund’s net income increased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a relative decline in the value of the Japanese yen versus the U.S. dollar in conjunction with share transactions during the three months ended March 31, 2015.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 2,606,920     $ 2,915,034  

NAV end of period

   $ 2,282,908     $ 3,316,304  

Percentage change in NAV

     (12.4 )%      13.8

Shares outstanding beginning of period

     200,014       150,014  

Shares outstanding end of period

     200,014       150,014  

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 13.03     $ 19.43  

Per share NAV end of period

   $ 11.41     $ 22.11  

Percentage change in per share NAV

     (12.4 )%      13.8

Percentage change in benchmark

     (5.9 )%      7.0

Benchmark annualized volatility

     16.2     9.8

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to March 31, 2015. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.4% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2014, was due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on February 13, 2015 at $12.99 per Share and reached its low for the period on March 17, 2015 at $11.16 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 6, 2014 at $22.88 per Share and reached its low for the period on January 9, 2014 at $18.38 per Share.

 

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The benchmark’s decline of 5.9% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 7.0% for the three months ended March 31, 2014, can be attributed to a depreciation of the underlying components of the index during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (5,519 )    $ (6,957 )

Management fee

     5,773        7,289  

Net realized gain (loss)

     (520,445 )      537,342  

Change in net unrealized appreciation/depreciation

     201,952        (129,115 )

Net income (loss)

   $ (324,012 )    $ 401,270  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the Fund’s benchmark index during the three months ended March 31, 2015.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 450,562,988     $ 142,773,429  

NAV end of period

   $ 1,004,631,028     $ 102,118,128  

Percentage change in NAV

     123.0     (28.5 )% 

Shares outstanding beginning of period

     44,399,170       4,449,170  

Shares outstanding end of period

     147,199,170       2,949,170  

Percentage change in shares outstanding

     231.5     (33.7 )% 

Shares created

     136,250,000       4,350,000  

Shares redeemed

     33,450,000       5,850,000  

Per share NAV beginning of period

   $ 10.15     $ 32.09  

Per share NAV end of period

   $ 6.82     $ 34.63  

Percentage change in per share NAV

     (32.8 )%      7.9

Percentage change in benchmark

     (14.9 )%      4.4

Benchmark annualized volatility

     54.4     16.6

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 44,399,170 outstanding Shares at December 31, 2014 to 147,199,170 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,449,170 outstanding Shares at December 31, 2013 to 2,949,170 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 32.8% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 7.9% for the three months ended March 31, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $9.92 per Share and reached its low for the period on March 17, 2015 at $6.21 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 3, 2014 at $36.55 per Share and reached its low for the period on January 9, 2014 at $27.85 per Share.

 

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The benchmark’s decline of 14.9% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 4.4% for the three months ended March 31, 2014, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (1,844,712 )    $ (333,392 )

Management fee

     1,843,701        345,942  

Brokerage commission

     77,253        9,151  

Net realized gain (loss)

     (173,638,923 )      21,200,055  

Change in net unrealized appreciation/depreciation

     (19,680,648 )      476,147  

Net income (loss)

   $ (195,164,283 )    $ 21,342,810  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decrease in the price of WTI Crude Oil during the three months ended March 31, 2015.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 70,433,207     $ 62,915,779  

NAV end of period

   $ 61,306,293     $ 21,211,850  

Percentage change in NAV

     (13.0 )%      (66.3 )% 

Shares outstanding beginning of period

     4,569,941       1,619,941  

Shares outstanding end of period

     5,369,941       469,941  

Percentage change in shares outstanding

     17.5     (71.0 )% 

Shares created

     2,050,000       200,000  

Shares redeemed

     1,250,000       1,350,000  

Per share NAV beginning of period

   $ 15.41     $ 38.84  

Per share NAV end of period

   $ 11.42     $ 45.14  

Percentage change in per share NAV

     (25.9 )%      16.2

Percentage change in benchmark

     (11.0 )%      12.0

Benchmark annualized volatility

     51.0     56.7

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease of the Fund’s NAV was offset by an increase from 4,569,941 outstanding Shares at December 31, 2014 to 5,369,941 outstanding Shares at March 31, 2015. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,619,941 outstanding Shares at December 31, 2013 to 469,941 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 25.9% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 16.2% for the three months ended March 31, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

 

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During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 14, 2015 at $18.58 per Share and reached its low for the period on March 27, 2015 at $11.41 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $63.78 per Share and reached its low for the period on January 9, 2014 at $34.90 per Share.

The benchmark’s decline of 11.0% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 12.0% for the three months ended March 31, 2014, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (206,884 )    $ (117,562 )

Management fee

     172,808        105,844  

Brokerage commission

     39,718        17,991  

Net realized gain (loss)

     (45,832,509 )      16,806,082  

Change in net unrealized appreciation/depreciation

     27,450,969        1,802,726  

Net income (loss)

   $ (18,588,424 )    $ 18,491,246  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2015.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 102,003,345     $ 132,017,405  

NAV end of period

   $ 95,949,460     $ 136,370,103  

Percentage change in NAV

     (5.9 )%      3.3

Shares outstanding beginning of period

     2,550,014       3,200,014  

Shares outstanding end of period

     2,500,014       2,900,014  

Percentage change in shares outstanding

     (2.0 )%      (9.4 )% 

Shares created

     50,000       100,000  

Shares redeemed

     100,000       400,000  

Per share NAV beginning of period

   $ 40.00     $ 41.26  

Per share NAV end of period

   $ 38.38     $ 47.02  

Percentage change in per share NAV

     (4.1 )%      14.0

Percentage change in benchmark

     (1.6 )%      7.2

Benchmark annualized volatility

     14.9     14.4

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,550,014 outstanding Shares at December 31, 2014 to 2,500,014 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. The increase of the Fund’s NAV was offset by a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,900,014 outstanding Shares at March 31, 2014.

 

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For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.1% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 14.0% for the three months ended March 31, 2014, was primarily due to the depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 22, 2015 at $46.03 per Share and reached its low for the period on March 18, 2015 at $35.90 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on January 8, 2014 at $42.35 per Share.

The benchmark’s decline of 1.6% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 7.2% for the three months ended March 31, 2014, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (227,743 )    $ (317,539 )

Management fee

     240,465        331,351  

Brokerage commission

     16        16  

Net realized gain (loss)

     (2,985,848 )      23,433,550  

Change in net unrealized appreciation/depreciation

     (388,373 )      (5,190,033 )

Net income (loss)

   $ (3,601,964 )    $ 17,925,978  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2015.

 

On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 291,169,743     $ 465,479,519  

NAV end of period

   $ 317,182,857     $ 482,485,237  

Percentage change in NAV

     8.9     3.7

Shares outstanding beginning of period

     7,396,533       7,350,007  

Shares outstanding end of period

     7,646,533       7,396,533  

Percentage change in shares outstanding

     3.4     0.6

Shares created

     700,000       787,500  

Shares redeemed

     450,000       740,974  

Per share NAV beginning of period

   $ 39.37     $ 63.33  

Per share NAV end of period

   $ 41.48     $ 65.23  

Percentage change in per share NAV

     5.4     3.0

Percentage change in benchmark

     3.9     2.4

Benchmark annualized volatility

     27.5     21.4

 

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During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 7,396,533 outstanding Shares at December 31, 2014 to 7,646,533 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the as measured by the London Silver Price. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 7,350,007 outstanding Shares at December 31, 2013 to 7,396,533 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.4% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 3.0% for the three months ended March 31, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 23, 2015 at $50.86 per Share and reached its low for the period on March 18, 2015 at $36.18 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on February 3, 2014 at $61.50 per Share.

The benchmark’s rise of 3.9% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 2.4% for the three months ended March 31, 2014, can be attributed to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (699,839 )    $ (1,125,310 )

Management fee

     738,077        1,187,904  

Brokerage commission

     8        8  

Net realized gain (loss)

     (17,764,350 )      73,958,641  

Change in net unrealized appreciation/depreciation

     35,015,135        (55,640,539 )

Net income (loss)

   $ 16,550,946      $ 17,192,792  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to an increase in the price of spot silver in U.S. dollar terms, in conjunction with significantly lower NAV during the three months ended March 31, 2015.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra Silver Fund.
On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

 

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ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 2,740,167     $ 3,168,165  

NAV end of period

   $ 2,397,276     $ 3,444,536  

Percentage change in NAV

     (12.5 )%      8.7

Shares outstanding beginning of period

     100,005       100,005  

Shares outstanding end of period

     100,005       100,005  

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 27.40     $ 31.68  

Per share NAV end of period

   $ 23.97     $ 34.44  

Percentage change in per share NAV

     (12.5 )%      8.7

Percentage change in benchmark

     (6.7 )%      3.8

Benchmark annualized volatility

     13.0     9.4

During the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2014 to March 31, 2015. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to March 31, 2014.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.5% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 8.7% for the three months ended March 31, 2014, was primarily due to depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 16, 2015 at $27.91 per Share and reached its low for the period on March 11, 2015 at $23.70 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 31, 2014 at $34.44 per Share and reached its low for the period on January 24, 2014 at $30.12 per Share.

The benchmark’s decline of 6.7% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 3.8% for the three months ended March 31, 2014, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (6,142 )    $ (7,330 )

Management fee

     5,997        7,508  

Brokerage commission

     371        380  

Net realized gain (loss)

     (376,148 )      (27,427 )

Change in net unrealized appreciation/depreciation

     39,399        311,128  

Net income (loss)

   $ (342,891 )    $ 276,371  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2015.

 

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 2,981,441     $ 2,603,827  

NAV end of period

   $ 14,765,776     $ 2,603,282  

Percentage change in NAV

     395.3     0.0

Shares outstanding beginning of period

     150,014       100,014  

Shares outstanding end of period

     950,014       100,014  

Percentage change in shares outstanding

     533.3     0.0

Shares created

     800,000       —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 19.87     $ 26.03  

Per share NAV end of period

   $ 15.54     $ 26.03  

Percentage change in per share NAV

     (21.8 )%      0.0

Percentage change in benchmark

     (11.2 )%      0.1

Benchmark annualized volatility

     13.6     6.0

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 950,014 outstanding Shares at March 31, 2015. The increase of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to March 31, 2014.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.8% for the three months ended March 31, 2015, as compared to no net change in the Fund’s per Share NAV from December 31, 2013 to March 31, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $19.55 per Share and reached its low for the period on March 13, 2015 at $14.80 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on January 31, 2014 at $24.99 per Share.

The benchmark’s decline of 11.2% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 0.1% for the three months ended March 31, 2014, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (15,698 )    $ (5,664 )

Management fee

     16,232        6,042  

Net realized gain (loss)

     (1,065,202 )      85,136  

Change in net unrealized appreciation/depreciation

     (675,335 )      (80,017 )

Net income (loss)

   $ (1,756,235 )    $ (545 )

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended March 31, 2015.

 

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ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
    Three Months Ended
March 31, 2014
 

NAV beginning of period

   $ 2,118,028     $ 2,795,026  

NAV end of period

   $ 5,600,081     $ 2,896,143  

Percentage change in NAV

     164.4     3.6

Shares outstanding beginning of period

     150,014       150,014  

Shares outstanding end of period

     400,014       150,014  

Percentage change in shares outstanding

     166.7     0.0

Shares created

     300,000       —     

Shares redeemed

     50,000       —     

Per share NAV beginning of period

   $ 14.12     $ 18.63  

Per share NAV end of period

   $ 14.00     $ 19.31  

Percentage change in per share NAV

     (0.8 )%      3.6

Percentage change in benchmark

     (0.1 )%      2.0

Benchmark annualized volatility

     8.6     8.2

During the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 400,014 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014.

For the three months ended March 31, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.8% for the three months ended March 31, 2015, as compared to the Fund’s per Share NAV increase of 3.6% for the three months ended March 31, 2014, was primarily due to depreciation in the value of the assets of the Fund during the three months ended March 31, 2015.

During the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $14.96 per Share and reached its low for the period on March 13, 2015 at $13.68 per Share. By comparison, during the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $20.21 per Share and reached its low for the period on January 9, 2014 at $18.80 per Share.

The benchmark’s decline of 0.1% for the three months ended March 31, 2015, as compared to the benchmark’s rise of 2.0% for the three months ended March 31, 2014, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2015 and 2014:

 

     Three Months Ended
March 31, 2015
     Three Months Ended
March 31, 2014
 

Net investment income (loss)

   $ (9,090 )    $ (6,420 )

Management fee

     9,381        6,855  

Net realized gain (loss)

     (80,626 )      (10,441 )

Change in net unrealized appreciation/depreciation

     (26,127 )      117,978  

Net income (loss)

   $ (115,843 )    $ 101,117  

The Fund’s net income decreased for the three months ended March 31, 2015, as compared to the three months ended March 31, 2014, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2015.

 

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Since the ProShares Managed Futures Strategy commenced investment operations on October 1, 2014, comparisons of positions in certain Financial Instruments held by ProShares Managed Futures Strategy for the three months ended March 31, 2014 have not been provided.

Commodity Price Sensitivity and Exchange Rate Sensitivity

The Managed Futures Fund is exposed to commodity price risk through its holdings of commodity futures contracts and exchange rate risk through its holdings of currency and U.S. Treasury futures contracts. The following table provides information about the Managed Futures Fund’s Financial Instruments, which were sensitive to both commodity price and exchange rate risk. As of March 31, 2015, the Managed Futures Fund’s positions were as follows:

ProShares Managed Futures Strategy:

As of March 31, 2015, the Managed Futures Fund was exposed to commodity price and exchange rate risk through its holdings of Financial Instruments linked to the S&P Strategic Futures Index. The following table provides information about the Fund’s commodity and currency futures contracts as of March 31, 2015, which were sensitive to commodity price risk and exchange rate price risk.

Futures Positions as of March 31, 2015

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Cocoa Futures (ICE)

   Long    May 2015      16       $ 2,699.00         10       $ 431,840   

Cotton No. 2 Futures (ICE)

   Long    May 2015      8         0.63         50,000         252,400   

Soybean Futures (CBT)

   Long    May 2015      5         9.73         5,000         243,313   

US 10 YR Note Futures (CBT)

   Long    June 2015      10         128.91         1,000         1,289,063   

Coffee ‘C’ Futures (ICE)

   Short    May 2015      2         1.33         37,500         99,675   

Copper Futures (COMEX)

   Short    May 2015      4         2.74         25,000         274,000   

Copper Mini Futures (COMEX)

   Short    May 2015      1         2.74         12,500         34,250   

Corn Futures (CBT)

   Short    May 2015      10         3.76         5,000         188,125   

Natural Gas Futures (NYMEX)

   Short    May 2015      6         2.64         10,000         158,400   

Natural Gas Mini Futures (NYMEX)

   Short    May 2015      2         2.64         2,500         13,200   

NY Harbor ULSD Futures (NYMEX)

   Short    May 2015      2         1.71         42,000         143,472   

RBOB Gasoline Futures (NYMEX)

   Short    May 2015      2         1.77         42,000         148,680   

Silver Mini Futures (ICE)

   Short    May 2015      8         16.60         1,000         132,784   

Sugar #11 Futures (CBT)

   Short    May 2015      13         0.12         112,000         173,701   

Wheat Futures (CBT)

   Short    May 2015      9         5.12         5,000         230,288   

WTI Crude Oil Futures (NYMEX)

   Short    May 2015      2         47.60         1,000         95,200   

Australian Dollar Fx Currency Futures (CME)

   Short    June 2015      5         75.81         1,000         379,050   

British Pound Fx Currency Futures (CME)

   Short    June 2015      7         148.37         625         649,119   

Canadian Dollar Fx Currency Futures (CME)

   Short    June 2015      5         78.92         1,000         394,600   

Gold Mini Futures (ICE)

   Short    June 2015      6         1,183.20         32.15         228,239   

Euro Fx Currency Mini Futures (CME)

   Short    June 2015      8         1.08         62,500         537,700   

Lean Hogs Futures (CME)

   Short    June 2015      8         0.76         40,000         242,560   

Live Cattle Futures (CME)

   Short    June 2015      6         1.52         40,000         365,580   

Japanese Yen Fx Currency Futures (CME)

   Short    June 2015      4         83.46         1,250         417,300   

Swiss Franc Fx Currency Futures (CME)

   Short    June 2015      2         103.15         1,250         257,875   

US Treasury Long Bond Futures (CBT)

   Short    June 2015      6         163.88         1,000         983,250   

The March 31, 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current applicable commodity or exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing

 

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efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2014 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 2, 2015 (the “Form 10-K”), for additional information regarding performance for periods longer than a single day.

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of March 31, 2015 and 2014, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of March 31, 2015 and 2014, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    April 2015      4,166       $ 16.28         1,000       $ 67,801,650   

VIX Futures (CBOE)

   Long    May 2015      4,594         17.83         1,000         81,888,050   

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    April 2014      3,998       $ 15.15         1,000       $ 60,569,700   

VIX Futures (CBOE)

   Long    May 2014      3,632         15.85         1,000         57,567,200   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of March 31, 2015 and 2014, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2015      235       $ 18.68         1,000       $ 4,388,625   

VIX Futures (CBOE)

   Long    August 2015      497         18.88         1,000         9,380,875   

VIX Futures (CBOE)

   Long    September 2015      497         19.18         1,000         9,529,975   

VIX Futures (CBOE)

   Long    October 2015      261         19.48         1,000         5,082,975   

 

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Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2014      576       $ 16.95         1,000       $ 9,763,200   

VIX Futures (CBOE)

   Long    August 2014      1,099         17.35         1,000         19,067,650   

VIX Futures (CBOE)

   Long    September 2014      1,099         17.75         1,000         19,507,250   

VIX Futures (CBOE)

   Long    October 2014      524         18.05         1,000         9,458,200   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2015 and 2014, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    April 2015      7,729       $ 16.28         1,000       $ (125,789,475 )

VIX Futures (CBOE)

   Short    May 2015      8,675         17.83         1,000         (154,631,875

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    April 2014      7,213       $ 15.15         1,000       $ (109,276,950 )

VIX Futures (CBOE)

   Short    May 2014      6,554         15.85         1,000         (103,880,900

The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2015 and 2014, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of March 31, 2015 and 2014, which were sensitive to equity market volatility risk.

 

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Futures Positions as of March 31, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    April 2015      38,547       $ 16.28         1,000       $ 627,352,425   

VIX Futures (CBOE)

   Long    May 2015      42,693         17.83         1,000         761,002,725   

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    April 2014      21,528       $ 15.15         1,000       $ 326,149,200   

VIX Futures (CBOE)

   Long    May 2014      19,566         15.85         1,000         310,121,100   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of March 31, 2015 and 2014, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of March 31, 2015 and 2014, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2015 

 

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Short    $ 98.1230       $ (4,602,773 )

Bloomberg Commodity Index

   Goldman Sachs International    Short      98.1230         (4,537,347 )

Bloomberg Commodity Index

   UBS AG    Short      98.1230         (2,475,856 )

Swap Agreements as of March 31, 2014

 

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Short    $ 134.5234       $ (2,673,904 )

Bloomberg Commodity Index

   Goldman Sachs International    Short      134.5234         (2,839,014 )

Bloomberg Commodity Index

   UBS AG    Short      134.5234         (1,071,987 )

The March 31, 2015 and 2014 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future

 

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values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K, for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2015 and 2014, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    May 2015      6,624       $ 47.60         1,000       $ (315,302,400 )

Swap Agreements as of March 31, 2015 

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 121.3015       $ (137,750,775 )

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs

International

   Short      121.3015         (126,651,917 )

Bloomberg WTI Crude Oil Subindex

   Societe Generale

S.A.

   Short      121.3015         (35,138,342 )

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      121.3015         (125,826,188 )

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    May 2014      2,752       $ 101.58         1,000       $ (279,548,160 )

Swap Agreements as of March 31, 2014 

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 255.0803       $ (99,488,785 )

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs

International

   Short      255.0803         (108,344,369 )

Bloomberg WTI Crude Oil Subindex

   Societe Generale

S.A.

   Short      255.0803         (36,118,314 )

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      255.0803         (112,771,776 )

The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2015 and 2014 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2015 and 2014, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    May 2015      828       $ 2.64         10,000       $ (21,859,200 )

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    May 2014      3,365       $ 4.37         10,000       $ (147,084,150 )

The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of March 31, 2015 and 2014, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    June 2015      2       $ 1,183.20         100       $ (236,640 )

Forward Agreements as of March 31, 2015 

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,187.04       $ (75,851,856 )

0.995 Fine Troy Ounce Gold

   Goldman Sachs

International

   Short      1,187.03         (34,302,793 )

0.995 Fine Troy Ounce Gold

   Societe Generale
S.A.
   Short      1,187.02         (15,549,962 )

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,187.03         (29,972,508 )

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    June 2014      2       $ 1,283.80         100       $ (256,760 )

Forward Agreements as of March 31, 2014 

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,291.77       $ (122,330,619 )

0.995 Fine Troy Ounce Gold

   Goldman Sachs

International

   Short      1,291.77         (42,109,118 )

0.995 Fine Troy Ounce Gold

   Societe Generale
S.A.
   Short      1,291.77         (20,151,612 )

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,291.77         (44,113,946 )

 

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The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2015 and 2014 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of March 31, 2015 and 2014, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    May 2015      2       $ 16.60         5,000       $ (165,980 )

Forward Agreements as of March 31, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 16.6018       $ (50,784,906 )

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      16.6013         (26,487,374 )

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      16.6016         (9,081,075 )

0.999 Fine Troy Ounce Silver

   UBS AG    Short      16.6016         (26,479,552 )

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    May 2014      2       $ 19.75         5,000       $ (197,520 )

Forward Agreements as of March 31, 2014 

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 19.9724       $ (66,767,733 )

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      19.9724         (27,012,671 )

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      19.9724         (16,377,368 )

0.999 Fine Troy Ounce Silver

   UBS AG    Short      19.9724         (31,676,226 )

The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2015 and 2014 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the

 

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following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of March 31, 2015 and 2014, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of March 31, 2015 and 2014, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

     Short         June 2015         150       $ 1.08         125,000       $ (20,163,750

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

     Short         June 2014         41       $ 1.38         125,000       $ (7,059,175

The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of March 31, 2015 and 2014, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

     Short         June 2015         530       $ 75.81         1,000       $ (40,179,300 )

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

     Short         June 2014         459       $ 92.25         1,000       $ (42,342,750 )

The March 31, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

 

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ProShares UltraShort Euro:

As of March 31, 2015 and 2014, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2015 

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long         04/10/15         81,791,800        1.0749       $ 87,926,805   

Euro

   UBS AG      Long         04/10/15         110,930,600        1.0749         119,251,236   

Euro

   Goldman Sachs International      Short         04/10/15         (617,582,525 )     1.0749         (663,905,895 )

Euro

   UBS AG      Short         04/10/15         (728,286,800 )     1.0749         (782,913,830

Foreign Currency Forward Contracts as of March 31, 2014

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long         04/04/14         18,383,800        1.3776       $ 25,325,422   

Euro

   UBS AG      Long         04/04/14         26,715,000        1.3776         36,802,438   

Euro

   Goldman Sachs International      Short         04/04/14         (315,847,325 )     1.3776         (435,109,546 )

Euro

   UBS AG      Short         04/04/14         (324,757,500 )     1.3776         (447,384,155

The March 31, 2015 and 2014 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of March 31, 2015 and 2014, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk

Foreign Currency Forward Contracts as of March 31, 2015

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International      Long         04/10/15         20,565,620,300        0.008338       $ 171,495,639   

Yen

   UBS AG      Long         04/10/15         5,923,386,600        0.008338         49,394,813   

Yen

   Goldman Sachs International      Short         04/10/15         (68,851,569,600 )     0.008338         (574,149,660 )

Yen

   UBS AG      Short         04/10/15         (63,324,691,700 )     0.008338         (528,061,312 )

Foreign Currency Forward Contracts as of March 31, 2014 

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International      Long         04/04/14         7,547,835,100        0.009688       $ 73,124,249   

Yen

   UBS AG      Long         04/04/14         3,218,173,300        0.009688         31,178,013   

Yen

   Goldman Sachs International      Short         04/04/14         (48,716,397,300 )     0.009688         (471,969,766 )

Yen

   UBS AG      Short         04/04/14         (45,710,614,400 )     0.009688         (442,849,413 )

 

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The March 31, 2015 and 2014 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of March 31, 2015 and 2014, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Commodity:

As of March 31, 2015 and 2014, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2015 

 

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional
Amount at
Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Long    $ 98.1230       $ 1,972,023   

Bloomberg Commodity Index

   Goldman Sachs International    Long      98.1230         1,999,276   

Bloomberg Commodity Index

   UBS AG    Long      98.1230         603,138   

Swap Agreements as of March 31, 2014 

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Long    $ 134.5234       $ 2,847,170   

Bloomberg Commodity Index

   Goldman Sachs International    Long      134.5234         2,448,497   

Bloomberg Commodity Index

   UBS AG    Long      134.5234         1,327,486   

The March 31, 2015 and 2014 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2015 and 2014, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

   Long    May 2015      13,821       $ 47.60         1,000       $ 657,879,600   

 

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Swap Agreements as of March 31, 2015 

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 121.3015       $ 406,797,888   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      121.3015         417,976,514   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      121.3015         123,097,457   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      121.3015         403,481,056   

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

   Long    May 2014      858       $ 101.58         1,000       $ 87,155,640   

Swap Agreements as of March 31, 2014 

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 255.0803       $ 31,611,457   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      255.0803         38,736,489   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      255.0803         16,715,352   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      255.0803         30,001,585   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2015 and 2014 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2015 and 2014, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    May 2015      4,644       $ 2.64         10,000       $ 122,601,600   

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    May 2014      971       $ 4.37         10,000       $ 42,442,410   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price

 

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of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of March 31, 2015 and 2014, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    June 2015      2       $ 1,183.20         100       $ 236,640   

Forward Agreements as of March 31, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,187.04       $ 97,693,392   

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,187.03         39,551,840   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,187.02         18,873,618   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,187.03         35,492,197   

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    June 2014      2       $ 1,283.80         100       $ 256,760   

Forward Agreements as of March 31, 2014 

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,291.77       $ 141,965,523   

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,291.77         53,246,759   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,291.77         27,127,170   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,291.77         50,120,676   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2015 and 2014 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares Ultra Silver:

As of March 31, 2015 and 2014, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    May 2015      2       $ 16.60         5,000       $ 165,980   

Forward Agreements as of March 31, 2015 

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 16.6018       $ 320,198,917   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      16.6013         121,235,974   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      16.6016         70,639,808   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      16.6016         122,104,768   

Futures Positions as of March 31, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    May 2014      2       $ 19.75         5,000       $ 197,520   

Forward Agreements as of March 31, 2014

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 19.9724       $ 502,765,225   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      19.9724         188,775,130   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      19.9724         86,021,127   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      19.9724         187,181,333   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2015 and 2014 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of March 31, 2015 and 2014, each of the Currency Fund’s positions were as follows:

 

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ProShares Ultra Australian Dollar:

As of March 31, 2015 and 2014, the ProShares Ultra Australian Dollar Fund was exposed to exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2015 

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

     Long         June 2015         63       $ 75.81         1,000       $ 4,776,030   

Futures Positions as of March 31, 2014 

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

     Long         June 2014         75       $ 92.25         1,000       $ 6,918,750   

The March 31, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Euro:

As of March 31, 2015 and 2014, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2015 

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long         04/10/15         15,842,925        1.0749       $ 17,031,264   

Euro

   UBS AG      Long         04/10/15         14,064,800        1.0749         15,119,767   

Euro

   Goldman Sachs International      Short         04/10/15         (1,344,700 )     1.0749         (1,445,563 )

Euro

   UBS AG      Short         04/10/15         (1,092,000 )     1.0749         (1,173,908 )

 

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Foreign Currency Forward Contracts as of March 31, 2014

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long         04/04/14         788,225        1.3776       $ 1,085,855   

Euro

   UBS AG      Long         04/04/14         3,071,000        1.3776         4,230,593   

Euro

   Goldman Sachs International      Short         04/04/14         (51,500 )     1.3776         (70,946 )

Euro

   UBS AG      Short         04/04/14         (27,600 )     1.3776         (38,021 )

The March 31, 2015 and 2014 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of March 31, 2015 and 2014, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2015 and 2014, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2015 

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International      Long         04/10/15         898,339,400        0.008338       $ 7,491,206   

Yen

   UBS AG      Long         04/10/15         645,732,000        0.008338         5,384,726   

Yen

   Goldman Sachs International      Short         04/10/15         (17,456,500 )     0.008338         (145,569 )

Yen

   UBS AG      Short         04/10/15         (185,698,000 )     0.008338         (1,548,526 )

Foreign Currency Forward Contracts as of March 31, 2014

 

Reference Currency

  

Counterparty

   Long
or
Short
     Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International      Long         04/04/14         304,953,900        0.009688       $ 2,954,426   

Yen

   UBS AG      Long         04/04/14         313,415,000        0.009688         3,036,399   

Yen

   Goldman Sachs International      Short         04/04/14         (13,523,300 )     0.009688         (131,016 )

Yen

   UBS AG      Short         04/04/14         (6,832,900 )     0.009688         (66,198 )

The March 31, 2015 and 2014 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily

 

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rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Each Matching VIX Fund and the Managed Futures Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Managed Futures Fund, the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying the Managed Futures Fund, a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

 

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Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Managed Futures Fund and the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds or UltraShort Funds will generally decrease when the index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were

 

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maintained in a non-interest bearing demand deposit account. The Funds also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

 

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of March 31, 2015, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2015, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

 

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Part II. OTHER INFORMATION

 

Item 1. Legal Proceedings.

None.

 

Item 1A. Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2014, filed on March 2, 2015.

Margin for Non-cleared Swap Transactions

In 2014, the CFTC and various federal bank regulators proposed new mandatory margin requirements for non-cleared swaps and new requirements for the holding of collateral by swap dealers. These requirements, which are still pending final adoption, may increase the amount of collateral a Fund is required to provide to swap dealers for non-cleared swaps.

 

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

 

  (a) None.

 

  (b)

The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra

 

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  VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). Thus, as of March 31, 2015, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-199642); and 2) a Form S-3 Registration Statement (No. 333-199641).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. The Managed Futures Fund and each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

 

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Title of

Securities Registered

   Amount
Registered
As of
March 31, 2015
     Shares Sold
For the
Three Months
Ended

March 31, 2015
     Sale Price of
Shares Sold For
the

Three Months
Ended

March 31, 2015
 

ProShares Managed Futures Strategy

        

Common Units of Beneficial Interest

   $ 509,027,538         200,000       $ 4,304,676   

ProShares VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 2,068,623,063         4,575,000       $ 84,542,261   

ProShares VIX Mid-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 619,302,925         200,000       $ 12,344,563   

ProShares Short VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 3,589,767,641         2,150,000       $ 118,885,967   

ProShares Ultra VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

   $ 4,255,550,774         48,150,000       $ 966,149,726   

ProShares UltraShort Bloomberg Commodity

        

Common Units of Beneficial Interest

   $ 172,839,931         —         $ —     

ProShares UltraShort Bloomberg Crude Oil

        

Common Units of Beneficial Interest

   $ 2,114,776,247         4,600,000       $ 372,664,934   

ProShares UltraShort Bloomberg Natural Gas

        

Common Units of Beneficial Interest

   $ 412,030,981         150,000       $ 10,858,377   

ProShares UltraShort Gold

        

Common Units of Beneficial Interest

   $ 503,545,611         100,000       $ 8,523,330   

ProShares UltraShort Silver

        

Common Units of Beneficial Interest

   $ 2,083,528,399         250,000       $ 25,115,676   

ProShares Short Euro

        

Common Units of Beneficial Interest

   $ 174,672,977         100,000       $ 4,418,831   

ProShares UltraShort Australian Dollar

        

Common Units of Beneficial Interest

   $ 172,771,084         50,000       $ 2,764,167   

ProShares UltraShort Euro

        

Common Units of Beneficial Interest

   $ 1,888,450,946         5,500,000       $ 148,238,393   

ProShares UltraShort Yen

        

Common Units of Beneficial Interest

   $ 951,962,134         650,000       $ 58,116,062   

ProShares Ultra Bloomberg Commodity

        

Common Units of Beneficial Interest

   $ 129,604,130         —         $ —     

ProShares Ultra Bloomberg Crude Oil

        

Common Units of Beneficial Interest

   $ 3,838,773,188         136,250,000       $ 1,023,327,847   

ProShares Ultra Bloomberg Natural Gas

        

Common Units of Beneficial Interest

   $ 540,275,387         2,050,000       $ 27,576,652   

ProShares Ultra Gold

        

Common Units of Beneficial Interest

   $ 683,270,223         50,000       $ 2,093,762   

ProShares Ultra Silver

        

Common Units of Beneficial Interest

   $ 2,251,471,600         700,000       $ 28,733,984   

ProShares Ultra Australian Dollar

        

Common Units of Beneficial Interest

   $ 193,296,041         —         $ —     

ProShares Ultra Euro

        

Common Units of Beneficial Interest

   $ 126,652,323         800,000       $ 13,540,570   

ProShares Ultra Yen

        

Common Units of Beneficial Interest

   $ 138,726,333         300,000       $ 4,285,016   

Total:

   $ 27,418,919,476         206,825,000       $ 2,916,484,794   

 

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(c) From January 1, 2015 to March 31, 2015, the number of Shares redeemed and average price per Share for each Fund were as follows:

 

Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares Managed Futures Strategy

     

01/01/15 to 01/31/15

     —         $ —     

02/01/15 to 02/28/15

     100,000       $ 21.40   

03/01/15 to 03/31/15

     —         $ —     

ProShares VIX Short-Term Futures ETF

     

01/01/15 to 01/31/15

     1,150,000       $ 22.51   

02/01/15 to 02/28/15

     —         $ —     

03/01/15 to 03/31/15

     —         $ —     

ProShares VIX Mid-Term Futures ETF

     

01/01/15 to 01/31/15

     —         $ —     

02/01/15 to 02/28/15

     25,000       $ 67.75   

03/01/15 to 03/31/15

     50,000       $ 60.68   

ProShares Short VIX Short-Term Futures ETF

     

01/01/15 to 01/31/15

     1,200,000       $ 58.78   

02/01/15 to 02/28/15

     2,650,000       $ 59.62   

03/01/15 to 03/31/15

     2,400,000       $ 67.40   

ProShares Ultra VIX Short-Term Futures ETF

     

01/01/15 to 01/31/15

     8,250,000       $ 28.20   

02/01/15 to 02/28/15

     2,350,000       $ 26.50   

03/01/15 to 03/31/15

     5,900,000       $ 17.57   

ProShares UltraShort Bloomberg Commodity

     

01/01/15 to 01/31/15

     —         $ —     

02/01/15 to 02/28/15

     —         $ —     

03/01/15 to 03/31/15

     —         $ —     

ProShares UltraShort Bloomberg Crude Oil

     

01/01/15 to 01/31/15

     650,000       $ 93.27   

02/01/15 to 02/28/15

     500,000       $ 79.92   

03/01/15 to 03/31/15

     1,350,000       $ 86.23   

ProShares UltraShort Bloomberg Natural Gas

     

01/01/15 to 01/31/15

     50,000       $ 69.58   

02/01/15 to 02/28/15

     100,000       $ 88.15   

03/01/15 to 03/31/15

     50,000       $ 87.56   

ProShares UltraShort Gold

     

01/01/15 to 01/31/15

     —         $ —     

02/01/15 to 02/28/15

     50,000       $ 94.03   

03/01/15 to 03/31/15

     100,000       $ 101.53   

ProShares UltraShort Silver

     

01/01/15 to 01/31/15

     50,000       $ 86.90   

02/01/15 to 02/28/15

     —         $ —     

03/01/15 to 03/31/15

     100,000       $ 114.65   

ProShares Short Euro

     

01/01/15 to 01/31/15

     —         $ —     

02/01/15 to 02/28/15

     —         $ —     

03/01/15 to 03/31/15

     —         $ —     

ProShares UltraShort Australian Dollar

     

01/01/15 to 01/31/15

     —           —     

02/01/15 to 02/28/15

     —         $ —     

03/01/15 to 03/31/15

     150,000       $ 55.87   

ProShares UltraShort Euro

     

01/01/15 to 01/31/15

     1,400,000       $ 23.82   

02/01/15 to 02/28/15

     3,300,000       $ 24.00   

03/01/15 to 03/31/15

     1,750,000       $ 26.29   

ProShares UltraShort Yen

     

01/01/15 to 01/31/15

     300,000       $ 85.06   

02/01/15 to 02/28/15

     450,000       $ 87.41   

03/01/15 to 03/31/15

     900,000       $ 89.32   

 

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ProShares Ultra Bloomberg Commodity

01/01/15 to 01/31/15

  —      $ —     

02/01/15 to 02/28/15

  —      $ —     

03/01/15 to 03/31/15

  —      $ —     

ProShares Ultra Bloomberg Crude Oil

01/01/15 to 01/31/15

  —      $ —     

02/01/15 to 02/28/15

  12,850,000    $ 9.09   

03/01/15 to 03/31/15

  20,600,000    $ 7.64   

ProShares Ultra Bloomberg Natural Gas

01/01/15 to 01/31/15

  100,000    $ 17.57   

02/01/15 to 02/28/15

  600,000    $ 15.04   

03/01/15 to 03/31/15

  550,000    $ 13.33   

ProShares Ultra Gold

01/01/15 to 01/31/15

  100,000    $ 45.46   

02/01/15 to 02/28/15

  —      $ —     

03/01/15 to 03/31/15

  —      $ —     

ProShares Ultra Silver

01/01/15 to 01/31/15

  200,000    $ 43.96   

02/01/15 to 02/28/15

  —      $ —     

03/01/15 to 03/31/15

  250,000    $ 41.92   

ProShares Ultra Australian Dollar

01/01/15 to 01/31/15

  —      $ —     

02/01/15 to 02/28/15

  —      $ —     

03/01/15 to 03/31/15

  —      $ —     

ProShares Ultra Euro

01/01/15 to 01/31/15

  —      $ —     

02/01/15 to 02/28/15

  —      $ —     

03/01/15 to 03/31/15

  —      $ —     

ProShares Ultra Yen

01/01/15 to 01/31/15

  —      $ —     

02/01/15 to 02/28/15

  —      $ —     

03/01/15 to 03/31/15

  50,000    $ 13.74   

 

Item 3. Defaults Upon Senior Securities.

None.

 

Item 4. Mine Safety Disclosures.

Not applicable.

 

Item 5. Other Information.

None.

 

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Table of Contents
Item 6. Exhibits.

 

Exhibit
No.

  

Description of Document

  31.1    Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  31.2    Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  32.1    Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
  32.2    Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
101.INS    XBRL Instance Document(1)
101.SCH    XBRL Taxonomy Extension Schema(1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase(1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase(1)
101.LAB    XBRL Taxonomy Extension Label Linkbase(1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase(1)

 

(1) Filed herewith.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

PROSHARES TRUST II

 

/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer

Date: May 11, 2015

 

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: May 11, 2015