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Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended June 30, 2017.

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)

Securities registered pursuant to Section 12(b) of the Act:

 

Common Units of Beneficial Interest   NYSE Arca, Inc.
(Title of each class)   (Name of exchange on which registered)

(Title of class)     

(Name of exchange on which registered)

Securities registered pursuant to Section 12(g) of the Act: None

 

 

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.    ☒  Yes    ☐  No

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

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

 

Large Accelerated Filer      Accelerated Filer  
Non-Accelerated Filer   ☐  (Do not check if a smaller reporting company)    Smaller Reporting Company  
Emerging Growth Company       

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.   ☐

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

 

 

 


Table of Contents

PROSHARES TRUST II

Table of Contents

 

     Page  

Part I. FINANCIAL INFORMATION

  
Item 1. Financial Statements      3  
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations      151  
Item 3. Quantitative and Qualitative Disclosures About Market Risk      210  
Item 4. Controls and Procedures      228  
Part II. OTHER INFORMATION   
Item 1. Legal Proceedings      229  
Item 1A. Risk Factors      229  
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds      229  
Item 3. Defaults Upon Senior Securities      234  
Item 4. Mine Safety Disclosures      234  
Item 5. Other Information      234  
Item 6. Exhibits      235  

 

2


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 VIX Short-Term Futures ETF

     4  

ProShares VIX Mid-Term Futures ETF

     9  

ProShares Short VIX Short-Term Futures ETF

     14  

ProShares Ultra VIX Short-Term Futures ETF

     19  

ProShares UltraShort Bloomberg Crude Oil

     24  

ProShares UltraPro 3x Short Crude Oil ETF

     29  

ProShares UltraShort Bloomberg Natural Gas

     34  

ProShares UltraShort Gold

     39  

ProShares UltraShort Silver

     44  

ProShares Short Euro

     49  

ProShares UltraShort Australian Dollar

     54  

ProShares UltraShort Euro

     59  

ProShares UltraShort Yen

     64  

ProShares Ultra Bloomberg Crude Oil

     69  

ProShares UltraPro 3x Crude Oil ETF

     74  

ProShares Ultra Bloomberg Natural Gas

     79  

ProShares Ultra Gold

     84  

ProShares Ultra Silver

     89  

ProShares Ultra Euro

     94  

ProShares Ultra Yen

     99  

ProShares Trust II

     104  

Notes to Financial Statements

     108  

 

3


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 4,113,393      $ 4,536,425  

Segregated cash balances with brokers for futures contracts

     14,949,395        17,235,855  

Short-term U.S. government and agency obligations (Note 3)
(cost $138,932,838 and $147,990,045, respectively)

     138,937,316        147,991,233  

Receivable on open futures contracts

     4,724,455        4,484,270  
  

 

 

    

 

 

 

Total assets

     162,724,559        174,247,783  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     611,490        —    

Payable to Sponsor

     59,975        87,637  
  

 

 

    

 

 

 

Total liabilities

     671,465        87,637  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     162,053,094        174,160,146  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 162,724,559      $ 174,247,783  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     3,796,113        2,052,363  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 42.69      $ 84.86  
  

 

 

    

 

 

 

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

   $ 42.52      $ 85.04  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(86% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.735% due 07/06/17

   $ 42,000,000      $ 41,997,392  

0.778% due 07/13/17†

     49,000,000        48,989,519  

0.776% due 07/20/17†

     20,000,000        19,992,586  

0.821% due 07/27/17†

     7,000,000        6,996,150  

0.828% due 08/24/17

     4,000,000        3,994,713  

0.908% due 09/07/17†

     12,000,000        11,979,100  

1.004% due 09/28/17

     5,000,000        4,987,856  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $138,932,838)

      $ 138,937,316  
     

 

 

 

 

Futures Contracts Purchased

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

VIX Futures - CBOE, expires July 2017

     7,526      $ 92,757,950      $ (1,396,895

VIX Futures - CBOE, expires August 2017

     5,474        69,382,950        287,035  
        

 

 

 
         $ (1,109,860 ) 
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 248,418     $ 134,426     $ 407,223     $ 180,575  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     313,196       520,759       622,968       735,862  

Brokerage commissions and fees

     45,990       100,699       79,244       153,034  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     359,186       621,458       702,212       888,896  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (110,768     (487,032     (294,989     (708,321
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (33,527,643     (40,266,848     (98,755,500     (32,560,699

Short-term U.S. government and agency obligations

     134       4,833       (1,362     2,291  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (33,527,509     (40,262,015     (98,756,862     (32,558,408
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     6,215,600       1,048,083       (641,208     (15,262,292

Short-term U.S. government and agency obligations

     5,578       (9,878     3,290       10,720  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     6,221,178       1,038,205       (637,918     (15,251,572
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (27,306,331     (39,223,810     (99,394,780     (47,809,980
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (27,417,099   $ (39,710,842   $ (99,689,769   $ (48,518,301
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 174,160,146  

Addition of 3,018,750 shares (Note 1)

     155,472,291  

Redemption of 1,275,000 shares (Note 1)

     (67,889,574
  

 

 

 

Net addition (redemption) of 1,743,750 shares (Note 1)

     87,582,717  
  

 

 

 

Net investment income (loss)

     (294,989

Net realized gain (loss)

     (98,756,862

Change in net unrealized appreciation/depreciation

     (637,918
  

 

 

 

Net income (loss)

     (99,689,769
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 162,053,094  
  

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (99,689,769   $ (48,518,301

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

     2,286,460       (33,123,745

Purchases of short-term U.S. government and agency obligations

     (372,565,894     (484,764,107

Proceeds from sales or maturities of short-term U.S government and agency obligations

     382,028,962       420,739,624  

Net amortization and accretion on short-term U.S government and agency obligations

     (407,223     (180,575

Net realized gain (loss) on investments

     1,362       (2,291

Change in unrealized appreciation/depreciation on investments

     (3,290     (10,720

Decrease (Increase) in receivable on futures contracts

     (240,185     1,263,933  

Increase (Decrease) in payable to Sponsor

     (27,662     115,646  

Increase (Decrease) in payable on futures contracts

     611,490       3,283,738  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (88,005,749     (141,196,798
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     155,472,291       301,185,920  

Payment on shares redeemed

     (67,889,574     (159,133,883
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     87,582,717       142,052,037  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (423,032     855,239  

Cash, beginning of period

     4,536,425       2,124,103  
  

 

 

   

 

 

 

Cash, end of period

   $ 4,113,393     $ 2,979,342  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 832,363      $ 1,155,115  

Segregated cash balances with brokers for futures contracts

     4,662,400        1,052,615  

Short-term U.S. government and agency obligations (Note 3)
(cost $24,967,693 and $45,486,489, respectively)

     24,968,264        45,486,235  

Receivable on open futures contracts

     107,107        242,541  
  

 

 

    

 

 

 

Total assets

     30,570,134        47,936,506  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          2,085,020  

Payable to Sponsor

     19,191        32,572  
  

 

 

    

 

 

 

Total liabilities

     19,191        2,117,592  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     30,550,943        45,818,914  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 30,570,134      $ 47,936,506  
  

 

 

    

 

 

 

Shares outstanding

     1,112,403        1,087,403  
  

 

 

    

 

 

 

Net asset value per share

   $ 27.46      $ 42.14  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 27.43      $ 42.34  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(82% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.750% due 07/13/17†

   $ 5,000,000      $ 4,998,931  

0.917% due 08/24/17

     13,000,000        12,982,818  

0.907% due 09/14/17

     7,000,000        6,986,515  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $24,967,693)

      $ 24,968,264  
     

 

 

 

 

Futures Contracts Purchased

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

VIX Futures - CBOE, expires October 2017

     391      $ 5,640,175      $ (869,000

VIX Futures - CBOE, expires November 2017

     675        10,074,375        (771,010

VIX Futures - CBOE, expires December 2017

     675        10,243,125        (630,345

VIX Futures - CBOE, expires January 2018

     284        4,607,900        (35,900
        

 

 

 
         $ (2,306,255
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 48,327     $ 21,839     $ 92,587     $ 34,098  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     70,059       84,727       155,244       142,725  

Brokerage commissions and fees

     1,409       6,853       5,051       12,609  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     71,468       91,580       160,295       155,334  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (23,141     (69,741     (67,708     (121,236
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (7,047,733     (2,943,655     (15,215,051     (349,195

Short-term U.S. government and agency obligations

     73       (61     (527     (12
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (7,047,660     (2,943,716     (15,215,578     (349,207
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     2,246,125       2,047,660       (1,018,010     (768,040

Short-term U.S. government and agency obligations

     632       (2,975     825       1,377  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,246,757       2,044,685       (1,017,185     (766,663
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (4,800,903     (899,031     (16,232,763     (1,115,870
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (4,824,044   $ (968,772   $ (16,300,471   $ (1,237,106
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 45,818,914  

Addition of 175,000 shares

     5,865,630  

Redemption of 150,000 shares

     (4,833,130
  

 

 

 

Net addition (redemption) of 25,000 shares

     1,032,500  
  

 

 

 

Net investment income (loss)

     (67,708

Net realized gain (loss)

     (15,215,578

Change in net unrealized appreciation/depreciation

     (1,017,185
  

 

 

 

Net income (loss)

     (16,300,471
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 30,550,943  
  

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (16,300,471   $ (1,237,106

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

     (3,609,785     (3,178,050

Purchases of short-term U.S. government and agency obligations

     (111,882,112     (73,285,681

Proceeds from sales or maturities of short-term U.S government and agency obligations

     132,492,968       63,975,223  

Net amortization and accretion on short-term U.S government and agency obligations

     (92,587     (34,098

Net realized gain (loss) on investments

     527       12  

Change in unrealized appreciation/depreciation on investments

     (825     (1,377

Decrease (Increase) in receivable on futures contracts

     135,434       42,188  

Increase (Decrease) in payable to Sponsor

     (13,381     10,484  

Increase (Decrease) in payable on futures contracts

     —         145,297  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     729,768       (13,563,108
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     5,865,630       23,209,404  

Payment on shares redeemed

     (6,918,150     (7,398,044
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,052,520     15,811,360  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (322,752     2,248,252  

Cash, beginning of period

     1,155,115       671,791  
  

 

 

   

 

 

 

Cash, end of period

   $ 832,363     $ 2,920,043  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 7,334,125      $ 1,850,760  

Segregated cash balances with brokers for futures contracts

     97,296,685        55,323,984  

Short-term U.S. government and agency obligations (Note 3)
(cost $660,214,896 and $170,391,741, respectively)

     660,218,440        170,396,436  

Receivable from capital shares sold

     48,910,135        —    

Receivable on open futures contracts

     19,879,950        1,059,418  
  

 

 

    

 

 

 

Total assets

     833,639,335        228,630,598  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     40,050,692        —    

Payable on open futures contracts

     —          325,000  

Payable to Sponsor

     528,220        230,211  
  

 

 

    

 

 

 

Total liabilities

     40,578,912        555,211  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     793,060,423        228,075,387  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 833,639,335      $ 228,630,598  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     9,900,000        5,000,000  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 80.11      $ 45.62  
  

 

 

    

 

 

 

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

   $ 80.64      $ 45.49  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal  Amount      Value  

Short-term U.S. government and agency obligations

 

  

(83% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.731% due 07/06/17†

   $ 41,000,000      $ 40,997,454  

0.746% due 07/13/17†

     36,000,000        35,992,300  

0.803% due 07/20/17†

     61,000,000        60,977,387  

0.779% due 07/27/17†

     88,000,000        87,951,600  

0.824% due 08/03/17†

     56,000,000        55,958,526  

0.803% due 08/10/17†

     41,000,000        40,962,780  

0.871% due 08/17/17†

     50,000,000        49,943,125  

0.826% due 08/24/17†

     27,000,000        26,964,314  

0.914% due 08/31/17†

     36,000,000        35,944,834  

0.922% due 09/07/17

     75,000,000        74,869,372  

0.917% due 09/14/17

     75,000,000        74,855,520  

0.998% due 10/05/17

     75,000,000        74,801,228  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $660,214,896)

      $ 660,218,440  
     

 

 

 

 

Futures Contracts Sold

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

VIX Futures - CBOE, expires July 2017

     36,797      $ 453,523,025      $ (4,155,130

VIX Futures - CBOE, expires August 2017

     26,760        339,183,000        (1,634,301
        

 

 

 
         $ (5,789,431
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 1,030,436     $ 281,446     $ 1,382,694     $ 599,158  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,516,291       1,218,924       2,260,276       2,610,743  

Brokerage commissions and fees

     880,345       572,711       1,394,810       1,053,458  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,396,636       1,791,635       3,655,086       3,664,201  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,366,200     (1,510,189     (2,272,392     (3,065,043
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     182,934,500       77,961,366       282,827,592       (14,221,443

Short-term U.S. government and agency obligations

     (7,200     6,052       (11,258     (21,526
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     182,927,300       77,967,418       282,816,334       (14,242,969
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (24,640,794     14,498,960       4,520,180       68,476,439  

Short-term U.S. government and agency obligations

     22,789       (41,241     (1,151     28,729  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (24,618,005     14,457,719       4,519,029       68,505,168  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     158,309,295       92,425,137       287,335,363       54,262,199  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 156,943,095     $ 90,914,948     $ 285,062,971     $ 51,197,156  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 228,075,387  

Addition of 29,000,000 shares (Note 1)

     1,956,920,015  

Redemption of 24,100,000 shares (Note 1)

     (1,676,997,950
  

 

 

 

Net addition (redemption) of 4,900,000 shares (Note 1)

     279,922,065  
  

 

 

 

Net investment income (loss)

     (2,272,392

Net realized gain (loss)

     282,816,334  

Change in net unrealized appreciation/depreciation

     4,519,029  
  

 

 

 

Net income (loss)

     285,062,971  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 793,060,423  
  

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 285,062,971     $ 51,197,156  

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

     (41,972,701     123,528,405  

Purchases of short-term U.S. government and agency obligations

     (1,954,981,505     (1,639,616,785

Proceeds from sales or maturities of short-term U.S government and agency obligations

     1,466,529,786       1,322,269,432  

Net amortization and accretion on short-term U.S government and agency obligations

     (1,382,694     (599,158

Net realized gain (loss) on investments

     11,258       21,526  

Change in unrealized appreciation/depreciation on investments

     1,151       (28,729

Decrease (Increase) in receivable on futures contracts

     (18,820,532     (17,926,028

Increase (Decrease) in payable to Sponsor

     298,009       (58,432

Increase (Decrease) in payable on futures contracts

     (325,000     (1,420,271
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (265,579,257     (162,632,884
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,908,009,880       1,569,809,560  

Payment on shares redeemed

     (1,636,947,258     (1,409,227,414
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     271,062,622       160,582,146  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     5,483,365       (2,050,738

Cash, beginning of period

     1,850,760       5,150,976  
  

 

 

   

 

 

 

Cash, end of period

   $ 7,334,125     $ 3,100,238  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,557,473      $ 10,969,955  

Segregated cash balances with brokers for futures contracts

     39,213,145        71,363,625  

Short-term U.S. government and agency obligations (Note 3)
(cost $356,160,031 and $434,676,067, respectively)

     356,168,275        434,671,795  

Receivable from capital shares sold

     6,882,380        —    

Receivable on open futures contracts

     28,939,641        35,967,191  
  

 

 

    

 

 

 

Total assets

     433,760,914        552,972,566  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     52,277,791        36,789,539  

Payable on open futures contracts

     2,445,960        —    

Payable to Sponsor

     322,527        424,273  
  

 

 

    

 

 

 

Total liabilities

     55,046,278        37,213,812  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     378,714,636        515,758,754  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 433,760,914      $ 552,972,566  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     9,631,952        2,965,383  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 39.32      $ 173.93  
  

 

 

    

 

 

 

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

   $ 38.96      $ 175.00  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(94% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.794% due 07/06/17

   $ 31,778,000      $ 31,776,026  

0.756% due 07/13/17†

     97,000,000        96,979,252  

0.815% due 07/20/17†

     64,658,000        64,634,031  

0.817% due 07/27/17†

     22,000,000        21,987,900  

0.901% due 08/03/17

     4,000,000        3,997,037  

0.803% due 08/10/17†

     26,000,000        25,976,397  

0.871% due 08/17/17

     10,000,000        9,988,625  

0.861% due 08/24/17†

     32,000,000        31,957,706  

0.918% due 08/31/17†

     11,000,000        10,983,144  

0.913% due 09/07/17†

     23,000,000        22,959,941  

0.907% due 09/14/17†

     15,000,000        14,971,104  

0.954% due 09/21/17†

     20,000,000        19,957,112  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $356,160,031)

      $ 356,168,275  
     

 

 

 

 

Futures Contracts Purchased

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

VIX Futures - CBOE, expires July 2017

     35,168      $ 433,445,600      $ (7,365,934

VIX Futures - CBOE, expires August 2017

     25,576        324,175,800        1,118,465  
        

 

 

 
         $ (6,247,469
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 595,569     $ 527,858     $ 966,554     $ 826,663  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     918,110       2,169,397       1,839,772       3,381,298  

Brokerage commissions and fees

     901,683       1,390,754       1,668,516       2,126,665  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,819,793       3,560,151       3,508,288       5,507,963  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,224,224     (3,032,293     (2,541,734     (4,681,300
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (153,988,983     (535,337,385     (519,504,171     (524,131,767

Short-term U.S. government and agency obligations

     1,564       35,562       (20,751     8,594  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (153,987,419     (535,301,823     (519,524,922     (524,123,173
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     30,318,423       33,204,771       1,724,768       (190,137,467

Short-term U.S. government and agency obligations

     11,633       (155,699     12,516       (18,563
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     30,330,056       33,049,072       1,737,284       (190,156,030
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (123,657,363     (502,252,751     (517,787,638     (714,279,203
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (124,881,587   $ (505,285,044   $ (520,329,372   $ (718,960,503
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 515,758,754  

Addition of 17,785,000 shares (Note 1)

     1,120,950,535  

Redemption of 11,118,431 shares (Note 1)

     (737,665,281
  

 

 

 

Net addition (redemption) of 6,666,569 shares (Note 1)

     383,285,254  
  

 

 

 

Net investment income (loss)

     (2,541,734

Net realized gain (loss)

     (519,524,922

Change in net unrealized appreciation/depreciation

     1,737,284  
  

 

 

 

Net income (loss)

     (520,329,372
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 378,714,636  
  

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (520,329,372   $ (718,960,503

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

     32,150,480       (172,839,836

Purchases of short-term U.S. government and agency obligations

     (1,436,930,485     (2,754,500,336

Proceeds from sales or maturities of short-term U.S government and agency obligations

     1,516,392,324       2,686,687,418  

Net amortization and accretion on short-term U.S government and agency obligations

     (966,554     (820,758

Net realized gain (loss) on investments

     20,751       (8,594

Change in unrealized appreciation/depreciation on investments

     (12,516     18,563  

Decrease (Increase) in receivable on futures contracts

     7,027,550       17,995,478  

Increase (Decrease) in payable to Sponsor

     (101,746     260,571  

Increase (Decrease) in payable on futures contracts

     2,445,960       109,234,928  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (400,303,608     (832,933,069
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,114,068,155       2,526,901,881  

Payment on shares redeemed

     (722,177,029     (1,697,724,402
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     391,891,126       829,177,479  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (8,412,482     (3,755,590

Cash, beginning of period

     10,969,955       9,081,964  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,557,473     $ 5,326,374  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,471,643      $ 2,715,772  

Segregated cash balances with brokers for futures contracts

     2,799,500        4,931,520  

Short-term U.S. government and agency obligations (Note 3)
(cost $101,937,156 and $205,694,828, respectively)

     101,940,269        205,694,385  

Unrealized appreciation on swap agreements

     12,252,695        —    

Receivable from capital shares sold

     4,344,275        —    
  

 

 

    

 

 

 

Total assets

     122,808,382        213,341,677  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,523,087        13,602  

Payable to Sponsor

     109,997        162,891  

Unrealized depreciation on swap agreements

     —          12,206,881  
  

 

 

    

 

 

 

Total liabilities

     1,633,084        12,383,374  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     121,175,298        200,958,303  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 122,808,382      $ 213,341,677  
  

 

 

    

 

 

 

Shares outstanding

     2,789,884        6,339,884  
  

 

 

    

 

 

 

Net asset value per share

   $ 43.43      $ 31.70  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 43.21      $ 31.65  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(84% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.758% due 07/06/17†

   $ 21,000,000      $ 20,998,696  

0.758% due 07/13/17†

     11,000,000        10,997,647  

0.794% due 07/20/17†

     18,000,000        17,993,327  

0.876% due 08/03/17†

     24,000,000        23,982,226  

0.803% due 08/10/17†

     13,000,000        12,988,199  

0.870% due 08/24/17†

     15,000,000        14,980,174  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $101,937,156)

      $ 101,940,269  
     

 

 

 

 

Futures Contracts Sold

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

WTI Crude Oil - NYMEX, expires September 2017

     1,018      $ 47,123,220      $ (841,763

 

Swap Agreements^

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

Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex

     (0.18 )%      07/07/17      $ (78,374,318   $ 3,917,917  

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

     (0.25     07/07/17        (48,374,448     3,686,141  

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

     (0.25     07/07/17        (11,656,686     602,764  

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

     (0.25     07/07/17        (56,894,461     4,045,873  
         

 

 

 
          $ 12,252,695  
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of June 30, 2017, 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.

 

25


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 280,496     $ 144,387     $ 539,542     $ 233,499  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     381,832       516,946       917,856       885,196  

Brokerage commissions and fees

     19,058       39,895       32,780       97,759  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     400,890       556,841       950,636       982,955  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (120,394     (412,454     (411,094     (749,456
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     16,112,079       (32,306,031     18,645,592       (8,548,396

Swap agreements

     44,264,125       (77,193,275     40,580,745       (78,629,312

Short-term U.S. government and agency obligations

     (1,875     6,052       (1,483     (8,594
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     60,374,329       (109,493,254     59,224,854       (87,186,302
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,670,019     15,218,108       585,052       (2,244,033

Swap agreements

     (10,225,187     4,704,116       24,459,576       5,396,294  

Short-term U.S. government and agency obligations

     14,136       (18,960     3,556       13,857  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (14,881,070     19,903,264       25,048,184       3,166,118  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     45,493,259       (89,589,990     84,273,038       (84,020,184
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 45,372,865     $ (90,002,444   $ 83,861,944     $ (84,769,640
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 200,958,303  

Addition of 5,300,000 shares

     197,057,435  

Redemption of 8,850,000 shares

     (360,702,384
  

 

 

 

Net addition (redemption) of (3,550,000) shares

     (163,644,949
  

 

 

 

Net investment income (loss)

     (411,094

Net realized gain (loss)

     59,224,854  

Change in net unrealized appreciation/depreciation

     25,048,184  
  

 

 

 

Net income (loss)

     83,861,944  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 121,175,298  
  

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 83,861,944     $ (84,769,640

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

     2,132,020       4,862,330  

Purchases of short-term U.S. government and agency obligations

     (538,411,241     (644,528,972

Proceeds from sales or maturities of short-term U.S government and agency obligations

     642,706,972       581,449,984  

Net amortization and accretion on short-term U.S government and agency obligations

     (539,542     (233,499

Net realized gain (loss) on investments

     1,483       8,594  

Change in unrealized appreciation/depreciation on investments

     (24,463,132     (5,410,151

Decrease (Increase) in receivable on futures contracts

     —         (688,575

Increase (Decrease) in payable to Sponsor

     (52,894     64,755  

Increase (Decrease) in brokerage commissions and fees payable

     —         (5,046

Increase (Decrease) in payable on futures contracts

     1,509,485       (850,883
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     166,745,095       (150,101,103
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     192,713,160       675,203,153  

Payment on shares redeemed

     (360,702,384     (524,685,000
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (167,989,224     150,518,153  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,244,129     417,050  

Cash, beginning of period

     2,715,772       598,645  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,471,643     $ 1,015,695  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
 

Assets

  

Cash

   $ 4,742,795  

Segregated cash balances with brokers for futures contracts

     943,250  

Offering costs (Note 5)

     108,555  

Limitation by Sponsor

     22,116  
  

 

 

 

Total assets

     5,816,716  
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable on open futures contracts

     376,001  

Payable for offering costs

     148,400  
  

 

 

 

Total liabilities

     524,401  
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

     5,292,315  
  

 

 

 

Total liabilities and shareholders’ equity

   $ 5,816,716  
  

 

 

 

Shares outstanding

     200,008  
  

 

 

 

Net asset value per share

   $ 26.46  
  

 

 

 

Market value per share (Note 2)

   $ 26.24  
  

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

Futures Contracts Sold

 

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

WTI Crude Oil - NYMEX, expires September 2017

     343      $ 15,877,470      $ (245,274

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months
Ended

June 30, 2017
    January 13, 2017
(Inception)
through
June 30, 2017
 

Investment Income

    

Expenses

    

Brokerage commissions and fees

   $ 6,949     $ 7,901  

Offering costs

     36,999       39,845  

Limitation by Sponsor

     (20,149     (22,116
  

 

 

   

 

 

 

Total expenses

     23,799       25,630  
  

 

 

   

 

 

 

Net investment income (loss)

     (23,799     (25,630
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     1,878,109       1,772,343  
  

 

 

   

 

 

 

Net realized gain (loss)

     1,878,109       1,772,343  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     416,232       (245,274
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     416,232       (245,274
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     2,294,341       1,527,069  
  

 

 

   

 

 

 

Net income (loss)

   $ 2,270,542     $ 1,501,439  
  

 

 

   

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and six months ended June 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at January 13, 2017 (Inception)

   $ —    

Addition of 350,008 shares

     8,281,419  

Redemption of 150,000 shares

     (4,490,543
  

 

 

 

Net addition (redemption) of 200,008 shares

     3,790,876  
  

 

 

 

Net investment income (loss)

     (25,630

Net realized gain (loss)

     1,772,343  

Change in net unrealized appreciation/depreciation

     (245,274
  

 

 

 

Net income (loss)

     1,501,439  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 5,292,315  
  

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)

 

     January 13, 2017
(Inception) through

June 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

   $ 1,501,439  

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

     (943,250

Decrease (Increase) in Limitation by Sponsor

     (22,116

Change in offering cost

     (108,555

Increase (Decrease) in payable on futures contracts

     376,001  

Increase (Decrease) in payable for offering costs

     148,400  
  

 

 

 

Net cash provided by (used in) operating activities

     951,919  
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

     8,281,419  

Payment on shares redeemed

     (4,490,543
  

 

 

 

Net cash provided by (used in) financing activities

     3,790,876  
  

 

 

 

Net increase (decrease) in cash

     4,742,795  

Cash, beginning of period

     —    
  

 

 

 

Cash, end of period

   $ 4,742,795  
  

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the six months ended June 30, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 3,440,930      $ 326,631  

Segregated cash balances with brokers for futures contracts

     1,001,220        710,655  

Short-term U.S. government and agency obligations (Note 3)
(cost $2,996,378 and $2,899,188, respectively)

     2,996,035        2,899,151  

Receivable on open futures contracts

     23,228        105,872  
  

 

 

    

 

 

 

Total assets

     7,461,413        4,042,309  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Brokerage commissions and fees payable

     —          144  

Payable to Sponsor

     5,446        3,371  
  

 

 

    

 

 

 

Total liabilities

     5,446        3,515  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     7,455,967        4,038,794  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 7,461,413      $ 4,042,309  
  

 

 

    

 

 

 

Shares outstanding

     224,832        174,832  
  

 

 

    

 

 

 

Net asset value per share

   $ 33.16      $ 23.10  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.33      $ 23.05  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(40% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.807% due 08/24/17

   $ 3,000,000      $ 2,996,035  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $2,996,378)

      $ 2,996,035  
     

 

 

 

Futures Contracts Sold

 

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

Natural Gas—NYMEX September 2017

     492      $ 14,912,520      $ (266,680

 

^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 9,532     $ 4,550     $ 14,473     $ 14,118  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     17,846       20,104       33,091       57,023  

Brokerage commissions and fees

     6,845       16,355       12,357       45,302  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     24,691       36,459       45,448       102,325  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (15,159     (31,909     (30,975     (88,207
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     49,239       (3,556,836     1,907,620       557,513  

Short-term U.S. government and agency obligations

     —         1,894       (259     3,004  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     49,239       (3,554,942     1,907,361       560,517  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     881,105       (13,486     215,351       2,090,582  

Short-term U.S. government and agency obligations

     (181     (721     (306     86  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     880,924       (14,207     215,045       2,090,668  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     930,163       (3,569,149     2,122,406       2,651,185  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 915,004     $ (3,601,058   $ 2,091,431     $ 2,562,978  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 4,038,794  

Addition of 150,000 shares

     4,625,005  

Redemption of 100,000 shares

     (3,299,263
  

 

 

 

Net addition (redemption) of 50,000 shares

     1,325,742  
  

 

 

 

Net investment income (loss)

     (30,975

Net realized gain (loss)

     1,907,361  

Change in net unrealized appreciation/depreciation

     215,045  
  

 

 

 

Net income (loss)

     2,091,431  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 7,455,967  
  

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 2,091,431     $ 2,562,978  

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

     (290,565     1,719,410  

Purchases of short-term U.S. government and agency obligations

     (13,982,114     (32,506,214

Proceeds from sales or maturities of short-term U.S government and agency obligations

     13,899,138       38,452,855  

Net amortization and accretion on short-term U.S government and agency obligations

     (14,473     (14,118

Net realized gain (loss) on investments

     259       (3,004

Change in unrealized appreciation/depreciation on investments

     306       (86

Decrease (Increase) in receivable on futures contracts

     82,644       —    

Increase (Decrease) in payable to Sponsor

     2,075       (5,383

Increase (Decrease) in brokerage commissions and fees payable

     (144     (1,227

Increase (Decrease) in payable on futures contracts

     —         (663,370
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,788,557       9,541,841  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     4,625,005       22,431,178  

Payment on shares redeemed

     (3,299,263     (32,906,047
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,325,742       (10,474,869
  

 

 

   

 

 

 

Net increase (decrease) in cash

     3,114,299       (933,028

Cash, beginning of period

     326,631       1,099,140  
  

 

 

   

 

 

 

Cash, end of period

   $ 3,440,930     $ 166,112  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31,
2016
 

Assets

     

Cash

   $ 333,520      $ 120,840  

Segregated cash balances with brokers for futures contracts

     8,690        13,200  

Short-term U.S. government and agency obligations (Note 3)
(cost $34,948,428 and $60,540,275, respectively)

     34,947,973        60,540,555  

Unrealized appreciation on forward agreements

     2,655,979        3,033,566  

Receivable on open futures contracts

     700        1,280  
  

 

 

    

 

 

 

Total assets

     37,946,862        63,709,441  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     27,499        55,794  
  

 

 

    

 

 

 

Total liabilities

     27,499        55,794  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     37,919,363        63,653,647  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 37,946,862      $ 63,709,441  
  

 

 

    

 

 

 

Shares outstanding

     496,978        696,978  
  

 

 

    

 

 

 

Net asset value per share

   $ 76.30      $ 91.33  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 76.37      $ 90.54  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(92% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.834% due 08/03/17†

   $ 11,000,000      $ 10,991,853  

0.807% due 08/24/17†

     3,000,000        2,996,035  

0.908% due 09/07/17

     10,000,000        9,982,583  

0.907% due 09/14/17

     5,000,000        4,990,368  

0.954% due 09/21/17†

     6,000,000        5,987,134  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $34,948,428)

      $ 34,947,973  
     

 

 

 

Futures Contracts Sold

 

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

Gold Futures—COMEX, expires August 2017

     2      $ 248,460      $ (3,020

Forward Agreements^

 

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

Forward agreements with Citibank N.A. based on 0.995 Fine Troy Ounce Gold

    (1.10 )%      07/07/17     $ (20,600   $ (25,596,118   $ 923,664  

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

    (0.88     07/07/17       (16,598     (20,623,347     739,767  

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

    (0.83     07/07/17       (4,800     (5,964,096     259,230  

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

    (0.90     07/07/17       (18,850     (23,421,502     733,318  
         

 

 

 
                            $2,655,979  
         

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of June 30, 2017, 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.

 

40


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 64,930     $ 45,076     $ 116,347     $ 74,265  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     83,084       159,878       181,359       305,990  

Brokerage commissions and fees

     10       8       29       25  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     83,094       159,886       181,388       306,015  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (18,164     (114,810     (65,041     (231,750
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (3,321     (2,040     5,759       (38,480

Forward agreements

     (3,420,316     (254,589     (8,300,556     (19,630,156

Short-term U.S. government and agency obligations

     (71     206       (1,072     (943
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (3,423,708     (256,423     (8,295,869     (19,669,579
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     5,740       (14,480     (22,000     (12,820

Forward agreements

     3,805,355       (9,905,391     (377,587     (9,989,782

Short-term U.S. government and agency obligations

     (938     (10,366     (735     4,298  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     3,810,157       (9,930,237     (400,322     (9,998,304
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     386,449       (10,186,660     (8,696,191     (29,667,883
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 368,285     $ (10,301,470   $ (8,761,232   $ (29,899,633
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 63,653,647  

Addition of 250,000 shares

     18,960,067  

Redemption of 450,000 shares

     (35,933,119
  

 

 

 

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

     (16,973,052
  

 

 

 

Net investment income (loss)

     (65,041

Net realized gain (loss)

     (8,295,869

Change in net unrealized appreciation/depreciation

     (400,322
  

 

 

 

Net income (loss)

     (8,761,232
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 37,919,363  
  

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (8,761,232   $ (29,899,633

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

     4,510       79,150  

Decrease (Increase) in segregated cash balances with brokers for forward agreements

     —         (501,000

Purchases of short-term U.S. government and agency obligations

     (98,854,629     (146,296,845

Proceeds from sales or maturities of short-term U.S government and agency obligations

     124,561,735       155,730,448  

Net amortization and accretion on short-term U.S government and agency obligations

     (116,331     (74,265

Net realized gain (loss) on investments

     1,072       943  

Change in unrealized appreciation/depreciation on investments

     378,322       9,985,484  

Decrease (Increase) in receivable on futures contracts

     580       (1,260

Increase (Decrease) in payable to Sponsor

     (28,295     (9,501

Increase (Decrease) in payable on futures contracts

     —         (80
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     17,185,732       (10,986,559
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     18,960,067       58,266,824  

Payment on shares redeemed

     (35,933,119     (47,301,845
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (16,973,052     10,964,979  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     212,680       (21,580

Cash, beginning of period

     120,840       151,638  
  

 

 

   

 

 

 

Cash, end of period

   $ 333,520     $ 130,058  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31,
2016
 

Assets

     

Cash

   $ 4,905,398      $ 86,051  

Segregated cash balances with brokers for futures contracts

     11,000        14,300  

Segregated cash balances with brokers for forward agreements

     738,500        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $14,988,085 and $21,549,766, respectively)

     14,988,576        21,550,319  

Unrealized appreciation on forward agreements

     2,548,749        1,384,246  

Receivable on open futures contracts

     270        2,290  
  

 

 

    

 

 

 

Total assets

     23,192,493        23,037,206  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     16,944        19,550  
  

 

 

    

 

 

 

Total liabilities

     16,944        19,550  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     23,175,549        23,017,656  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 23,192,493      $ 23,037,206  
  

 

 

    

 

 

 

Shares outstanding

     666,976        616,976  
  

 

 

    

 

 

 

Net asset value per share

   $ 34.75      $ 37.31  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 34.09      $ 38.76  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(65% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.789% due 07/06/17†

   $ 3,000,000      $ 2,999,814  

0.749% due 07/20/17†

     4,000,000        3,998,517  

0.793% due 07/27/17†

     2,000,000        1,998,900  

0.861% due 08/03/17†

     3,000,000        2,997,778  

0.954% due 09/21/17

     3,000,000        2,993,567  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $14,988,085)

      $ 14,988,576  
     

 

 

 

Futures Contracts Sold

 

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

Silver Futures—COMEX, expires September 2017

     2      $ 166,270      $ 2,380  

Forward Agreements^

 

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

Forward agreements with Citibank N.A. based on 0.999 Fine Troy Ounce Silver

     (1.20 )%      07/07/17      $ (1,067,000   $ (17,577,758   $ 911,231  

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

     (1.00     07/07/17        (614,500     (10,123,150     675,652  

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

     (0.94     07/07/17        (156,000     (2,569,913     171,589  

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

     (0.97     07/07/17        (966,000     (15,913,787     790,277  
           

 

 

 
                              $2,548,749  
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of June 30, 2017, 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.

 

45


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 36,403     $ 29,058     $ 58,906     $ 48,742  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     50,752       99,330       96,805       194,741  

Brokerage commissions and fees

     19       17       29       25  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     50,771       99,347       96,834       194,766  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (14,368     (70,289     (37,928     (146,024
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     12,900       (16,550     20,550       (29,400

Forward agreements

     618,212       (6,424,268     (2,246,699     (11,759,922

Short-term U.S. government and agency obligations

     (20     589       (144     (2,372
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     631,092       (6,440,229     (2,226,293     (11,791,694
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     4,790       (14,090     (24,930     (18,150

Forward agreements

     3,017,592       (9,526,266     1,164,503       (13,756,304

Short-term U.S. government and agency obligations

     376       (4,305     (62     1,465  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     3,022,758       (9,544,661     1,139,511       (13,772,989
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     3,653,850       (15,984,890     (1,086,782     (25,564,683
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 3,639,482     $ (16,055,179   $ (1,124,710   $ (25,710,707
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 23,017,656  

Addition of 500,000 shares

     16,158,593  

Redemption of 450,000 shares

     (14,875,990
  

 

 

 

Net addition (redemption) of 50,000 shares

     1,282,603  
  

 

 

 

Net investment income (loss)

     (37,928

Net realized gain (loss)

     (2,226,293

Change in net unrealized appreciation/depreciation

     1,139,511  
  

 

 

 

Net income (loss)

     (1,124,710
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 23,175,549  
  

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (1,124,710   $ (25,710,707

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

     3,300       880  

Decrease (Increase) in segregated cash balances with brokers for forward agreements

     (738,500     —    

Purchases of short-term U.S. government and agency obligations

     (62,933,625     (87,581,881

Proceeds from sales or maturities of short-term U.S government and agency obligations

     69,554,048       99,261,715  

Net amortization and accretion on short-term U.S government and agency obligations

     (58,886     (48,742

Net realized gain (loss) on investments

     144       2,372  

Change in unrealized appreciation/depreciation on investments

     (1,164,441     13,754,839  

Decrease (Increase) in receivable on futures contracts

     2,020       390  

Increase (Decrease) in payable to Sponsor

     (2,606     (17,255

Increase (Decrease) in payable on futures contracts

     —         2,160  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     3,536,744       (336,229
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     16,158,593       50,115,414  

Payment on shares redeemed

     (14,875,990     (48,325,425
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,282,603       1,789,989  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     4,819,347       1,453,760  

Cash, beginning of period

     86,051       514,784  
  

 

 

   

 

 

 

Cash, end of period

   $ 4,905,398     $ 1,968,544  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,269,918      $ 2,292,012  

Segregated cash balances with brokers for futures contracts

     168,630        402,600  

Short-term U.S. government and agency obligations (Note 3)
(cost $8,993,712 and $13,164,807, respectively)

     8,993,811        13,164,828  

Receivable on open futures contracts

     11,406        —    
  

 

 

    

 

 

 

Total assets

     10,443,765        15,859,440  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —          76,666  

Payable to Sponsor

     9,773        12,686  
  

 

 

    

 

 

 

Total liabilities

     9,773        89,352  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     10,433,992        15,770,088  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 10,443,765      $ 15,859,440  
  

 

 

    

 

 

 

Shares outstanding

     250,000        350,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 41.74      $ 45.06  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 41.71      $ 45.12  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(86% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.813% due 07/20/17

   $ 6,000,000      $ 5,997,776  

0.828% due 08/24/17

     3,000,000        2,996,035  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $8,993,712)

      $ 8,993,811  
     

 

 

 

Futures Contracts Sold

 

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

Euro Fx Currency Futures—CME, expires September 2017

     73      $ 10,463,638      $ (185,581

 

^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 22,784     $ 8,531     $ 38,480     $ 14,669  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     34,086       38,959       70,653       79,492  

Brokerage commissions and fees

     453       679       1,103       1,429  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     34,539       39,638       71,756       80,921  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (11,755     (31,107     (33,276     (66,252
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (817,763     (472,606     (735,506     (526,800

Short-term U.S. government and agency obligations

     (277     —         (277     33  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (818,040     (472,606     (735,783     (526,767
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (65,818     926,538       (318,481     218,031  

Short-term U.S. government and agency obligations

     (231     (1,087     78       387  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (66,049     925,451       (318,403     218,418  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (884,089     452,845       (1,054,186     (308,349
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (895,844   $ 421,738     $ (1,087,462   $ (374,601
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 15,770,088  

Redemption of 100,000 shares

     (4,248,634
  

 

 

 

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

     (4,248,634
  

 

 

 

Net investment income (loss)

     (33,276

Net realized gain (loss)

     (735,783

Change in net unrealized appreciation/depreciation

     (318,403
  

 

 

 

Net income (loss)

     (1,087,462
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 10,433,992  
  

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (1,087,462   $ (374,601

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

     233,970       6,517  

Purchases of short-term U.S. government and agency obligations

     (39,955,220     (29,469,778

Proceeds from sales or maturities of short-term U.S government and agency obligations

     44,164,518       29,851,934  

Net amortization and accretion on short-term U.S government and agency obligations

     (38,480     (14,669

Net realized gain (loss) on investments

     277       (33

Change in unrealized appreciation/depreciation on investments

     (78     (387

Decrease (Increase) in receivable on futures contracts

     (11,406     37,341  

Increase (Decrease) in payable to Sponsor

     (2,913     (948

Increase (Decrease) in payable on futures contracts

     (76,666     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     3,226,540       35,376  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —         2,109,382  

Payment on shares redeemed

     (4,248,634     (2,120,031
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (4,248,634     (10,649
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,022,094     24,727  

Cash, beginning of period

     2,292,012       1,783,802  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,269,918     $ 1,808,529  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

53


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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,558,681      $ 2,834,389  

Segregated cash balances with brokers for futures contracts

     446,160        914,760  

Short-term U.S. government and agency obligations (Note 3)
(cost $9,995,712 and $12,909,895, respectively)

     9,996,293        12,909,619  
  

 

 

    

 

 

 

Total assets

     12,001,134        16,658,768  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     15,600        32,340  

Payable to Sponsor

     10,560        12,955  
  

 

 

    

 

 

 

Total liabilities

     26,160        45,295  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     11,974,974        16,613,473  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 12,001,134      $ 16,658,768  
  

 

 

    

 

 

 

Shares outstanding

     250,000        300,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 47.90      $ 55.38  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 47.80      $ 55.24  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(83% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.813% due 07/20/17

   $ 10,000,000      $ 9,996,293  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $9,995,712)

     

$

9,996,293

 

     

 

 

 

 

Futures Contracts Sold

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

Australian Dollar Fx Currency Futures—CME, expires September 2017

     312      $ 23,946,000      $ (458,310

 

^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 21,253     $ 12,258     $ 35,524     $ 20,043  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     34,714       44,642       69,846       93,486  

Brokerage commissions and fees

     2,065       3,774       4,533       7,744  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     36,779       48,416       74,379       101,230  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (15,526     (36,158     (38,855     (81,187
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     64,976       (455,053     (467,251     (2,143,492

Short-term U.S. government and agency obligations

     (155     219       (155     219  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     64,821       (454,834     (467,406     (2,143,273
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (208,036     1,177,517       (1,640,650     475,987  

Short-term U.S. government and agency obligations

     570       (1,319     857       1,513  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (207,466     1,176,198       (1,639,793     477,500  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (142,645     721,364       (2,107,199     (1,665,773
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (158,171   $ 685,206     $ (2,146,054   $ (1,746,960
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 16,613,473  

Redemption of 50,000 shares

     (2,492,445
  

 

 

 

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

     (2,492,445
  

 

 

 

Net investment income (loss)

     (38,855

Net realized gain (loss)

     (467,406

Change in net unrealized appreciation/depreciation

     (1,639,793
  

 

 

 

Net income (loss)

     (2,146,054
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 11,974,974  
  

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (2,146,054   $ (1,746,960

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

     468,600       (936,895

Purchases of short-term U.S. government and agency obligations

     (48,960,668     (21,186,216

Proceeds from sales or maturities of short-term U.S government and agency obligations

     51,910,220       23,690,750  

Net amortization and accretion on short-term U.S government and agency obligations

     (35,524     (20,043

Net realized gain (loss) on investments

     155       (219

Change in unrealized appreciation/depreciation on investments

     (857     (1,513

Decrease (Increase) in receivable on futures contracts

     —         52,491  

Increase (Decrease) in payable to Sponsor

     (2,395     (1,942

Increase (Decrease) in payable on futures contracts

     (16,740     24,787  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,216,737       (125,760
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (2,492,445     (314
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,492,445     (314
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,275,708     (126,074

Cash, beginning of period

     2,834,389       1,958,996  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,558,681     $ 1,832,922  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 585,186      $ 2,916,502  

Short-term U.S. government and agency obligations (Note 3)
(cost $242,820,951 and $337,373,566, respectively)

     242,826,389        337,375,787  

Unrealized appreciation on foreign currency forward contracts

     810,212        16,519,070  
  

 

 

    

 

 

 

Total assets

     244,221,787        356,811,359  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          6,771,472  

Payable to Sponsor

     195,229        291,098  

Unrealized depreciation on foreign currency forward contracts

     7,013,652        356,139  
  

 

 

    

 

 

 

Total liabilities

     7,208,881        7,418,709  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     237,012,906        349,392,650  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 244,221,787      $ 356,811,359  
  

 

 

    

 

 

 

Shares outstanding

     10,250,000        12,900,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 23.12      $ 27.08  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 23.12      $ 27.08  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(102% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.784% due 07/06/17†

   $ 36,000,000      $ 35,997,764  

0.785% due 07/13/17†

     47,000,000        46,989,947  

0.818% due 07/20/17†

     60,000,000        59,977,758  

0.864% due 07/27/17

     21,000,000        20,988,450  

0.832% due 08/24/17†

     45,000,000        44,940,523  

0.908% due 09/07/17

     15,000,000        14,973,875  

0.907% due 09/14/17

     5,000,000        4,990,368  

0.954% due 09/21/17†

     6,000,000        5,987,134  

1.004% due 09/28/17

     8,000,000        7,980,570  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $242,820,951)

     

$

242,826,389

 

     

 

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     07/07/17        50,410,500     $ 57,577,190     $ 810,212  

Euro with UBS AG

     07/07/17        10,265,000       11,724,340       (1,437
         

 

 

 
          $ 808,775  
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     07/07/17        (259,346,725   $ (296,217,173   $ (3,884,633

Euro with UBS AG

     07/07/17        (216,746,100     (247,560,161     (3,127,582
         

 

 

 
          $ (7,012,215
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 508,339     $ 255,428     $ 893,083     $ 516,867  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     633,812       921,922       1,377,577       1,988,314  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     633,812       921,922       1,377,577       1,988,314  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (125,473     (666,494     (484,494     (1,471,447
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (36,508,674     (26,140,318     (20,829,055     (55,054,450

Short-term U.S. government and agency obligations

     (837     6,294       (2,462     (1,618
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (36,509,511     (26,134,024     (20,831,517     (55,056,068
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     1,694,586       45,156,342       (22,366,371     32,953,944  

Short-term U.S. government and agency obligations

     9,774       (62,232     3,217       31,042  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     1,704,360       45,094,110       (22,363,154     32,984,986  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (34,805,151     18,960,086       (43,194,671     (22,071,082
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (34,930,624   $ 18,293,592     $ (43,679,165   $ (23,542,529
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 349,392,650  

Addition of 450,000 shares

     11,821,984  

Redemption of 3,100,000 shares

     (80,522,563
  

 

 

 

Net addition (redemption) of (2,650,000) shares

     (68,700,579
  

 

 

 

Net investment income (loss)

     (484,494

Net realized gain (loss)

     (20,831,517

Change in net unrealized appreciation/depreciation

     (22,363,154
  

 

 

 

Net income (loss)

     (43,679,165
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 237,012,906  
  

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

    Six Months Ended June 30,  
  2017     2016  

Cash flow from operating activities

   

Net income (loss)

  $ (43,679,165   $ (23,542,529

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

   

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

    —         (15,803,000

Purchases of short-term U.S. government and agency obligations

    (907,040,479     (665,608,389

Proceeds from sales or maturities of short-term U.S government and agency obligations

    1,002,483,715       845,593,256  

Net amortization and accretion on short-term U.S government and agency obligations

    (893,083     (516,867

Net realized gain (loss) on investments

    2,462       1,618  

Change in unrealized appreciation/depreciation on investments

    22,363,154       (32,984,986

Increase (Decrease) in payable to Sponsor

    (95,869     (117,845
 

 

 

   

 

 

 

Net cash provided by (used in) operating activities

    73,140,735       107,021,258  
 

 

 

   

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

    11,821,984       10,558,897  

Payment on shares redeemed

    (87,294,035     (127,770,211
 

 

 

   

 

 

 

Net cash provided by (used in) financing activities

    (75,472,051     (117,211,314
 

 

 

   

 

 

 

Net increase (decrease) in cash

    (2,331,316     (10,190,056

Cash, beginning of period

    2,916,502       10,372,583  
 

 

 

   

 

 

 

Cash, end of period

  $ 585,186     $ 182,527  
 

 

 

   

 

 

 

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 212,590      $ 3,166,988  

Short-term U.S. government and agency obligations (Note 3)
(cost $160,904,345 and $257,103,135, respectively)

     160,907,022        257,102,313  

Unrealized appreciation on foreign currency forward contracts

     10,340,251        16,870,357  
  

 

 

    

 

 

 

Total assets

     171,459,863        277,139,658  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     133,848        232,491  

Unrealized depreciation on foreign currency forward contracts

     1,009,863        125,420  
  

 

 

    

 

 

 

Total liabilities

     1,143,711        357,911  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     170,316,152        276,781,747  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 171,459,863      $ 277,139,658  
  

 

 

    

 

 

 

Shares outstanding

     2,299,290        3,449,290  
  

 

 

    

 

 

 

Net asset value per share

   $ 74.07      $ 80.24  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 74.05      $ 80.25  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(95% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.784% due 07/06/17†

   $ 36,000,000      $ 35,997,764  

0.758% due 07/13/17†

     25,000,000        24,994,653  

0.810% due 07/20/17†

     53,000,000        52,980,353  

0.839% due 08/24/17†

     41,000,000        40,945,810  

0.907% due 09/14/17†

     6,000,000        5,988,442  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $160,904,345)

      $ 160,907,022  
     

 

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     07/07/17        3,810,442,000     $ 33,877,771     $ (843,357

Yen with UBS AG

     07/07/17        948,807,900       8,435,635       (166,506
         

 

 

 
          $ (1,009,863
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     07/07/17        (23,235,467,800   $ (206,581,246   $ 5,573,347  

Yen with UBS AG

     07/07/17        (19,833,775,700     (176,337,578     4,766,904  
         

 

 

 
          $ 10,340,251  
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 360,252     $ 104,491     $ 683,531     $ 172,839  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     457,413       429,269       1,092,436       898,414  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     457,413       429,269       1,092,436       898,414  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (97,161     (324,778     (408,905     (725,575
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (16,189,926     (15,080,710     (16,461,160     (52,697,386

Short-term U.S. government and agency obligations

     (1,402     341       (2,822     (5,794
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (16,191,328     (15,080,369     (16,463,982     (52,703,180
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     19,220,415       (17,976,490     (7,414,549     (9,064,322

Short-term U.S. government and agency obligations

     10,384       (8,597     3,499       24,591  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     19,230,799       (17,985,087     (7,411,050     (9,039,731
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     3,039,471       (33,065,456     (23,875,032     (61,742,911
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 2,942,310     $ (33,390,234   $ (24,283,937   $ (62,468,486
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 276,781,747  

Addition of 750,000 shares

     58,094,887  

Redemption of 1,900,000 shares

     (140,276,545
  

 

 

 

Net addition (redemption) of (1,150,000) shares

     (82,181,658
  

 

 

 

Net investment income (loss)

     (408,905

Net realized gain (loss)

     (16,463,982

Change in net unrealized appreciation/depreciation

     (7,411,050
  

 

 

 

Net income (loss)

     (24,283,937
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 170,316,152  
  

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

    Six Months Ended June 30,  
  2017     2016  

Cash flow from operating activities

   

Net income (loss)

  $ (24,283,937   $ (62,468,486

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

   

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

    —         (1,274,000

Purchases of short-term U.S. government and agency obligations

    (725,268,046     (375,205,996

Proceeds from sales or maturities of short-term U.S government and agency obligations

    822,147,545       426,390,868  

Net amortization and accretion on short-term U.S government and agency obligations

    (683,531     (172,839

Net realized gain (loss) on investments

    2,822       5,794  

Change in unrealized appreciation/depreciation on investments

    7,411,050       9,039,731  

Increase (Decrease) in payable to Sponsor

    (98,643     (62,803
 

 

 

   

 

 

 

Net cash provided by (used in) operating activities

    79,227,260       (3,747,731
 

 

 

   

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

    58,094,887       48,751,977  

Payment on shares redeemed

    (140,276,545     (45,072,219
 

 

 

   

 

 

 

Net cash provided by (used in) financing activities

    (82,181,658     3,679,758  
 

 

 

   

 

 

 

Net increase (decrease) in cash

    (2,954,398     (67,973

Cash, beginning of period

    3,166,988       276,968  
 

 

 

   

 

 

 

Cash, end of period

  $ 212,590     $ 208,995  
 

 

 

   

 

 

 

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 6,038,406      $ 1,401,555  

Segregated cash balances with brokers for futures contracts

     23,234,750        20,609,600  

Short-term U.S. government and agency obligations (Note 3)
(cost $1,011,011,518 and $885,046,303, respectively)

     1,011,044,484        885,050,007  

Unrealized appreciation on swap agreements

     —          55,358,571  

Receivable on open futures contracts

     9,209,410        —    
  

 

 

    

 

 

 

Total assets

     1,049,527,050        962,419,733  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     31,402,424        25,879,004  

Payable on open futures contracts

     —          1,993,438  

Brokerage commissions and fees payable

     —          2,332  

Payable to Sponsor

     665,676        813,099  

Unrealized depreciation on swap agreements

     58,755,439        —    
  

 

 

    

 

 

 

Total liabilities

     90,823,539        28,687,873  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     958,703,511        933,731,860  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 1,049,527,050      $ 962,419,733  
  

 

 

    

 

 

 

Shares outstanding

     64,761,317        40,013,933  
  

 

 

    

 

 

 

Net asset value per share

   $ 14.80      $ 23.34  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 14.86      $ 23.36  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(105% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.768% due 07/06/17†

   $ 74,000,000      $ 73,995,405  

0.773% due 07/13/17†

     80,000,000        79,982,888  

0.800% due 07/20/17†

     139,000,000        138,948,473  

0.820% due 07/27/17†

     152,000,000        151,916,400  

0.869% due 08/03/17†

     121,000,000        120,910,387  

0.912% due 08/10/17†

     91,000,000        90,917,390  

0.865% due 08/17/17

     22,000,000        21,974,975  

0.868% due 08/24/17†

     91,000,000        90,879,725  

0.899% due 08/31/17

     18,000,000        17,972,417  

0.909% due 09/07/17

     74,000,000        73,871,114  

0.907% due 09/14/17†

     50,000,000        49,903,680  

0.954% due 09/21/17†

     51,000,000        50,890,636  

1.004% due 09/28/17

     49,000,000        48,880,994  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $1,011,011,518)

     

$

1,011,044,484

 

     

 

 

 

 

Futures Contracts Purchased

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

WTI Crude Oil—NYMEX, expires September 2017

     8,449      $ 391,104,210      $ 546,865  

 

Swap Agreements^

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

Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex

    0.18     07/07/17     $ 530,103,536     $ (21,112,406

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

    0.25       07/07/17       440,733,506       (16,228,837

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

    0.25       07/07/17       128,321,260       (6,679,835

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

    0.25       07/07/17       427,123,991       (14,734,361
       

 

 

 
        $ (58,755,439
       

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of June 30, 2017, 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.

 

70


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 1,572,668     $ 498,531     $ 2,617,079     $ 949,595  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     2,013,640       2,100,452       3,975,239       3,913,130  

Brokerage commissions and fees

     68,950       166,881       106,267       331,194  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,082,590       2,267,333       4,081,506       4,244,324  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (509,922     (1,768,802     (1,464,427     (3,294,729
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (32,269,690     143,306,155       (34,964,008     36,948,486  

Swap agreements

     (136,327,308     223,376,017       (134,045,077     76,397,686  

Short-term U.S. government and agency obligations

     (1,238     12,969       (6,249     (15,690
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (168,598,236     366,695,141       (169,015,334     113,330,482  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     14,488,348       (67,940,201     (4,990,300     5,835,668  

Swap agreements

     14,272,649       (2,455,855     (114,114,010     18,897,819  

Short-term U.S. government and agency obligations

     28,195       (107,007     29,262       26,005  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     28,789,192       (70,503,063     (119,075,048     24,759,492  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (139,809,044     296,192,078       (288,090,382     138,089,974  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (140,318,966   $ 294,423,276     $ (289,554,809   $ 134,795,245  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

71


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 933,731,860  

Addition of 61,200,000 shares

     1,039,652,714  

Redemption of 36,452,616 shares

     (725,126,254
  

 

 

 

Net addition (redemption) of 24,747,384 shares

     314,526,460  
  

 

 

 

Net investment income (loss)

     (1,464,427

Net realized gain (loss)

     (169,015,334

Change in net unrealized appreciation/depreciation

     (119,075,048
  

 

 

 

Net income (loss)

     (289,554,809
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 958,703,511  
  

 

 

 

See accompanying notes to financial statements.

 

72


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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (289,554,809   $ 134,795,245  

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

     (2,625,150     19,521,810  

Decrease (Increase) in segregated cash balances with brokers for forward agreements

     —         (6,961,000

Purchases of short-term U.S. government and agency obligations

     (2,966,410,064     (1,945,030,052

Proceeds from sales or maturities of short-term U.S government and agency obligations

     2,843,055,679       1,828,604,878  

Net amortization and accretion on short-term U.S government and agency obligations

     (2,617,079     (949,595

Net realized gain (loss) on investments

     6,249       15,690  

Change in unrealized appreciation/depreciation on investments

     114,084,748       (18,923,824

Decrease (Increase) in receivable on futures contracts

     (9,209,410     5,150,763  

Increase (Decrease) in payable to Sponsor

     (147,423     59,258  

Increase (Decrease) in brokerage commissions and fees payable

     (2,332     (3,308

Increase (Decrease) in payable on futures contracts

     (1,993,438     10,498,791  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (315,413,029     26,778,656  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,039,652,714       535,278,182  

Payment on shares redeemed

     (719,602,834     (561,445,160
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     320,049,880       (26,166,978
  

 

 

   

 

 

 

Net increase (decrease) in cash

     4,636,851       611,678  

Cash, beginning of period

     1,401,555       4,008,379  
  

 

 

   

 

 

 

Cash, end of period

   $ 6,038,406     $ 4,620,057  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

73


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
 

Assets

  

Cash

   $ 15,658,710  

Segregated cash balances with brokers for futures contracts

     3,654,750  

Receivable on open futures contracts

     1,217,969  

Offering costs (Note 5)

     108,555  

Limitation by Sponsor

     8,302  
  

 

 

 

Total assets

     20,648,286  
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

     148,400  
  

 

 

 

Total liabilities

     148,400  
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

     20,499,886  
  

 

 

 

Total liabilities and shareholders’ equity

   $ 20,648,286  
  

 

 

 

Shares outstanding

     1,050,008  
  

 

 

 

Net asset value per share

   $ 19.52  
  

 

 

 

Market value per share (Note 2)

   $ 19.68  
  

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

 

74


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

Futures Contracts Purchased

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

WTI Crude Oil—NYMEX, expires September 2017

     1,329      $ 61,519,410      $ 578,453  

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
June 30, 2017
    January 13, 2017
(Inception)
through

June 30, 2017
 

Investment Income

    

Expenses

    

Brokerage commissions and fees

   $ 10,401     $ 11,274  

Offering costs

     36,999       39,845  

Limitation by Sponsor

     (6,401     (8,302
  

 

 

   

 

 

 

Total expenses

     40,999       42,817  
  

 

 

   

 

 

 

Net investment income (loss)

     (40,999     (42,817
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (1,832,876     (1,833,835
  

 

 

   

 

 

 

Net realized gain (loss)

     (1,832,876     (1,833,835
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (272,129     578,453  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (272,129     578,453  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (2,105,005     (1,255,382
  

 

 

   

 

 

 

Net income (loss)

   $ (2,146,004   $ (1,298,199
  

 

 

   

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and six months ended June 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

 

76


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at January 13, 2017 (Inception)

   $ —    

Addition of 1,150,008 shares

     24,649,481  

Redemption of 100,000 shares

     (2,851,396
  

 

 

 

Net addition (redemption) of 1,050,008 shares

     21,798,085  
  

 

 

 

Net investment income (loss)

     (42,817

Net realized gain (loss)

     (1,833,835

Change in net unrealized appreciation/depreciation

     578,453  
  

 

 

 

Net income (loss)

     (1,298,199
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 20,499,886  
  

 

 

 

See accompanying notes to financial statements.

 

77


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)

 

     January 13, 2017
(Inception) through
June 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

   $ (1,298,199

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

     (3,654,750

Decrease (Increase) in receivable on futures contracts

     (1,217,969

Decrease (Increase) in Limitation by Sponsor

     (8,302

Change in offering cost

     (108,555

Increase (Decrease) in payable for offering costs

     148,400  
  

 

 

 

Net cash provided by (used in) operating activities

     (6,139,375
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

     24,649,481  

Payment on shares redeemed

     (2,851,396
  

 

 

 

Net cash provided by (used in) financing activities

     21,798,085  
  

 

 

 

Net increase (decrease) in cash

     15,658,710  

Cash, beginning of period

     —    
  

 

 

 

Cash, end of period

   $ 15,658,710  
  

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the six months ended June 30, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

 

78


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 247,588      $ 971,442  

Segregated cash balances with brokers for futures contracts

     5,893,360        7,612,770  

Short-term U.S. government and agency obligations (Note 3)
(cost $37,939,135 and $36,183,384, respectively)

     37,938,991        36,183,648  
  

 

 

    

 

 

 

Total assets

     44,079,939        44,767,860  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     161,716        1,528,005  

Brokerage commissions and fees payable

     —          433  

Payable to Sponsor

     31,609        36,036  
  

 

 

    

 

 

 

Total liabilities

     193,325        1,564,474  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     43,886,614        43,203,386  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 44,079,939      $ 44,767,860  
  

 

 

    

 

 

 

Shares outstanding

     4,492,169        2,292,169  
  

 

 

    

 

 

 

Net asset value per share

   $ 9.77      $ 18.85  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 9.74      $ 18.96  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(86% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.861% due 08/17/17

   $ 3,000,000      $ 2,996,587  

0.895% due 08/24/17

     15,000,000        14,980,175  

0.908% due 09/07/17

     10,000,000        9,982,583  

0.907% due 09/14/17

     5,000,000        4,990,368  

0.954% due 09/21/17

     5,000,000        4,989,278  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $37,939,135)

      $ 37,938,991  
     

 

 

 

 

Futures Contracts Purchased

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

Natural Gas—NYMEX September 2017

     2,896      $ 87,777,760      $ 106,821  

 

^^ Rates shown represents discount rate at the time of the purchase.

See accompanying notes to financial statements.

 

80


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 62,796     $ 15,411     $ 106,835     $ 27,143  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     99,053       75,122       207,945       143,866  

Brokerage commissions and fees

     25,411       40,615       47,065       72,364  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     124,464       115,737       255,010       216,230  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (61,668     (100,326     (148,175     (189,087
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,648,049     10,484,507       (19,025,765     4,627,286  

Short-term U.S. government and agency obligations

     (253     829       (672     (669
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,648,302     10,485,336       (19,026,437     4,626,617  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (3,330,323     7,854,286       (2,429,899     657,141  

Short-term U.S. government and agency obligations

     (901     (2,350     (408     (151
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (3,331,224     7,851,936       (2,430,307     656,990  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (7,979,526     18,337,272       (21,456,744     5,283,607  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (8,041,194   $ 18,236,946     $ (21,604,919   $ 5,094,520  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 43,203,386  

Addition of 4,000,000 shares

     44,413,082  

Redemption of 1,800,000 shares

     (22,124,935
  

 

 

 

Net addition (redemption) of 2,200,000 shares

     22,288,147  
  

 

 

 

Net investment income (loss)

     (148,175

Net realized gain (loss)

     (19,026,437

Change in net unrealized appreciation/depreciation

     (2,430,307
  

 

 

 

Net income (loss)

     (21,604,919
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 43,886,614  
  

 

 

 

See accompanying notes to financial statements.

 

82


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (21,604,919   $ 5,094,520  

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

     1,719,410       2,037,640  

Purchases of short-term U.S. government and agency obligations

     (127,836,007     (68,130,394

Proceeds from sales or maturities of short-term U.S government and agency obligations

     126,186,419       60,123,414  

Net amortization and accretion on short-term U.S government and agency obligations

     (106,835     (27,143

Net realized gain (loss) on investments

     672       669  

Change in unrealized appreciation/depreciation on investments

     408       151  

Decrease (Increase) in receivable on futures contracts

     —         1,911,687  

Increase (Decrease) in payable to Sponsor

     (4,427     5,032  

Increase (Decrease) in brokerage commissions and fees payable

     (433     67  

Increase (Decrease) in payable on futures contracts

     (1,366,289     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (23,012,001     1,015,643  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     44,413,082       14,615,097  

Payment on shares redeemed

     (22,124,935     (15,204,840
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     22,288,147       (589,743
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (723,854     425,900  

Cash, beginning of period

     971,442       1,411,137  
  

 

 

   

 

 

 

Cash, end of period

   $ 247,588     $ 1,837,037  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

83


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 721,726      $ 1,262,351  

Segregated cash balances with brokers for futures contracts

     8,690        13,200  

Short-term U.S. government and agency obligations (Note 3)
(cost $95,955,579 and $95,356,703, respectively)

     95,959,312        95,356,621  
  

 

 

    

 

 

 

Total assets

     96,689,728        96,632,172  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,360        1,280  

Payable to Sponsor

     73,048        72,585  

Unrealized depreciation on forward agreements

     7,897,486        4,431,107  
  

 

 

    

 

 

 

Total liabilities

     7,971,894        4,504,972  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     88,717,834        92,127,200  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 96,689,728      $ 96,632,172  
  

 

 

    

 

 

 

Shares outstanding

     2,350,000        2,800,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 37.75      $ 32.90  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 37.68      $ 33.20  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

84


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(108% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.784% due 07/06/17

   $ 3,000,000      $ 2,999,814  

0.757% due 07/13/17†

     49,000,000        48,989,519  

0.817% due 07/20/17†

     34,000,000        33,987,396  

0.908% due 09/07/17

     10,000,000        9,982,583  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $95,955,579)

      $ 95,959,312  
     

 

 

 

 

Futures Contracts Purchased

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

Gold Futures - COMEX, expires August 2017

     2      $ 248,460      $ 3,000  

 

Forward Agreements^

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

Forward agreements with Citibank N.A. based on 0.995 Fine Troy Ounce Gold

    1.60     07/07/17     $ 48,800     $ 60,635,464     $ (2,727,933

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

    1.73       07/07/17       37,520       46,619,350       (2,089,538

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

    1.73       07/07/17       18,000       22,365,360       (1,052,226

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

    1.70       07/07/17       38,300       47,588,516       (2,027,789
         

 

 

 
          $ (7,897,486
         

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of June 30, 2017, 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.

 

85


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 178,660     $ 59,634     $ 300,135     $ 106,020  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     225,316       221,251       467,757       420,073  

Brokerage commissions and fees

     10       8       29       25  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     225,326       221,259       467,786       420,098  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (46,666     (161,625     (167,651     (314,078
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     3,280       2,040       (5,821     38,600  

Forward agreements

     8,449,061       (4,911,577     17,905,652       21,035,479  

Short-term U.S. government and agency obligations

     653       177       548       103  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     8,452,994       (4,909,360     17,900,379       21,074,182  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (5,740     14,460       21,960       12,780  

Forward agreements

     (9,839,036     16,117,052       (3,466,379     13,200,000  

Short-term U.S. government and agency obligations

     3,638       (9,368     3,815       1,958  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (9,841,138     16,122,144       (3,440,604     13,214,738  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (1,388,144     11,212,784       14,459,775       34,288,920  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,434,810   $ 11,051,159     $ 14,292,124     $ 33,974,842  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 92,127,200  

Addition of 350,000 shares

     12,476,159  

Redemption of 800,000 shares

     (30,177,649
  

 

 

 

Net addition (redemption) of (450,000) shares

     (17,701,490
  

 

 

 

Net investment income (loss)

     (167,651

Net realized gain (loss)

     17,900,379  

Change in net unrealized appreciation/depreciation

     (3,440,604
  

 

 

 

Net income (loss)

     14,292,124  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 88,717,834  
  

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 14,292,124     $ 33,974,842  

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

     4,510       (3,850

Purchases of short-term U.S. government and agency obligations

     (248,693,041     (166,483,272

Proceeds from sales or maturities of short-term U.S government and agency obligations

     248,394,829       149,554,859  

Net amortization and accretion on short-term U.S government and agency obligations

     (300,116     (106,020

Net realized gain (loss) on investments

     (548     (103

Change in unrealized appreciation/depreciation on investments

     3,462,564       (13,201,958

Decrease (Increase) in receivable on futures contracts

     —         80  

Increase (Decrease) in payable to Sponsor

     463       16,426  

Increase (Decrease) in payable on futures contracts

     80       1,260  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     17,160,865       3,752,264  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     12,476,159       4,103,970  

Payment on shares redeemed

     (30,177,649     (7,153,734
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (17,701,490     (3,049,764
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (540,625     702,500  

Cash, beginning of period

     1,262,351       251,524  
  

 

 

   

 

 

 

Cash, end of period

   $ 721,726     $ 954,024  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

88


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 620,096      $ 1,664,601  

Segregated cash balances with brokers for futures contracts

     11,000        14,300  

Short-term U.S. government and agency obligations (Note 3)
(cost $280,769,796 and $295,296,440, respectively)

     280,780,815        295,300,799  
  

 

 

    

 

 

 

Total assets

     281,411,911        296,979,700  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     270        2,290  

Payable to Sponsor

     207,122        221,281  

Unrealized depreciation on forward agreements

     35,405,955        20,976,189  
  

 

 

    

 

 

 

Total liabilities

     35,613,347        21,199,760  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     245,798,564        275,779,940  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 281,411,911      $ 296,979,700  
  

 

 

    

 

 

 

Shares outstanding

     7,396,526        8,246,526  
  

 

 

    

 

 

 

Net asset value per share

   $ 33.23      $ 33.44  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.82      $ 32.09  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(114% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.786% due 07/06/17†

   $ 37,000,000      $ 36,997,702  

0.766% due 07/13/17†

     90,000,000        89,980,749  

0.866% due 07/20/17

     25,000,000        24,990,733  

0.871% due 07/27/17†

     41,000,000        40,977,450  

0.917% due 08/24/17

     14,000,000        13,981,496  

0.908% due 09/07/17

     30,000,000        29,947,749  

0.907% due 09/14/17†

     15,000,000        14,971,104  

0.954% due 09/21/17†

     15,000,000        14,967,834  

1.004% due 09/28/17

     14,000,000        13,965,998  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $280,769,796)

      $ 280,780,815  
     

 

 

 

 

Futures Contracts Purchased

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

Silver Futures - COMEX, expires September 2017

     2      $ 166,270      $ (2,380

 

Forward Agreements^

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

Forward agreements with Citibank N.A. based on 0.999 Fine Troy Ounce Silver

    1.70     07/07/17     $ 10,614,000     $ 174,855,036     $ (12,900,135

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

    1.85       07/07/17       7,710,800       127,026,177       (8,565,734

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

    1.84       07/07/17       3,784,000       62,336,859       (4,889,267

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

    1.87       07/07/17       7,721,000       127,194,982       (9,050,819
         

 

 

 
          $ (35,405,955
         

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of June 30, 2017, 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.

 

90


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 518,829     $ 188,656     $ 884,169     $ 310,266  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     651,232       741,794       1,358,786       1,322,264  

Brokerage commissions and fees

     29       17       39       27  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     651,261       741,811       1,358,825       1,322,291  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (132,432     (553,155     (474,656     (1,012,025
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (13,026     15,900       (20,826     35,100  

Forward agreements

     (10,926,116     21,367,809       19,283,572       55,463,053  

Short-term U.S. government and agency obligations

     97       2,806       198       2,226  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (10,939,045     21,386,515       19,262,944       55,500,379  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,740     14,741       24,980       21,160  

Forward agreements

     (41,681,649     86,641,014       (14,429,766     98,045,726  

Short-term U.S. government and agency obligations

     12,512       (39,264     6,660       13,743  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (41,673,877     86,616,491       (14,398,126     98,080,629  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (52,612,922     108,003,006       4,864,818       153,581,008  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (52,745,354   $ 107,449,851     $ 4,390,162     $ 152,568,983  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 275,779,940  

Addition of 650,000 shares

     22,323,954  

Redemption of 1,500,000 shares

     (56,695,492
  

 

 

 

Net addition (redemption) of (850,000) shares

     (34,371,538
  

 

 

 

Net investment income (loss)

     (474,656

Net realized gain (loss)

     19,262,944  

Change in net unrealized appreciation/depreciation

     (14,398,126
  

 

 

 

Net income (loss)

     4,390,162  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 245,798,564  
  

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

    Six Months Ended June 30,  
  2017     2016  

Cash flow from operating activities

   

Net income (loss)

  $ 4,390,162     $ 152,568,983  

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

    3,300       6,600  

Decrease (Increase) in segregated cash balances with brokers for forward agreements

    —         (2,162,000

Purchases of short-term U.S. government and agency obligations

    (969,953,635     (596,954,106

Proceeds from sales or maturities of short-term U.S government and agency obligations

    985,364,623       529,322,860  

Net amortization and accretion on short-term U.S government and agency obligations

    (884,146     (310,266

Net realized gain (loss) on investments

    (198     (2,226

Change in unrealized appreciation/depreciation on investments

    14,423,106       (98,059,469

Decrease (Increase) in receivable on futures contracts

    —         (2,160

Increase (Decrease) in payable to Sponsor

    (14,159     80,771  

Increase (Decrease) in payable on futures contracts

    (2,020     (1,875
 

 

 

   

 

 

 

Net cash provided by (used in) operating activities

    33,327,033       (15,512,888
 

 

 

   

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

    22,323,954       45,318,583  

Payment on shares redeemed

    (56,695,492     (29,742,661
 

 

 

   

 

 

 

Net cash provided by (used in) financing activities

    (34,371,538     15,575,922  
 

 

 

   

 

 

 

Net increase (decrease) in cash

    (1,044,505     63,034  

Cash, beginning of period

    1,664,601       243,900  
 

 

 

   

 

 

 

Cash, end of period

  $ 620,096     $ 306,934  
 

 

 

   

 

 

 

See accompanying notes to financial statements.

 

93


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 631,804      $ 606,393  

Short-term U.S. government and agency obligations (Note 3)
(cost $11,995,787 and $11,891,729, respectively)

     11,996,425        11,891,831  

Unrealized appreciation on foreign currency forward contracts

     346,084        2,548  
  

 

 

    

 

 

 

Total assets

     12,974,313        12,500,772  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     10,063        9,629  

Unrealized depreciation on foreign currency forward contracts

     36,171        576,558  
  

 

 

    

 

 

 

Total liabilities

     46,234        586,187  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     12,928,079        11,914,585  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 12,974,313      $ 12,500,772  
  

 

 

    

 

 

 

Shares outstanding

     800,000        850,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 16.16      $ 14.02  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 16.17      $ 14.09  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(93% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.777% due 07/13/17†

   $ 9,000,000      $ 8,998,075  

0.871% due 07/27/17

     3,000,000        2,998,350  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $11,995,787)

      $ 11,996,425  
     

 

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     07/07/17        14,796,725     $ 16,900,325     $ 208,555  

Euro with UBS AG

     07/07/17        9,722,000       11,104,144       137,529  
         

 

 

 
                        $346,084  
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     07/07/17        (429,500   $ (490,561   $ (9,425

Euro with UBS AG

     07/07/17        (1,459,900     (1,667,449     (26,746
         

 

 

 
          $ (36,171
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 24,972     $ 6,834     $ 39,752     $ 11,797  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     34,480       23,237       64,547       48,943  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     34,480       23,237       64,547       48,943  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (9,508     (16,403     (24,795     (37,146
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     2,035,177       605,039       1,406,509       1,109,709  

Short-term U.S. government and agency obligations

     147       217       147       147  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     2,035,324       605,256       1,406,656       1,109,856  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (10,405     (1,161,976     883,923       (772,534

Short-term U.S. government and agency obligations

     345       (1,141     536       1,367  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (10,060     (1,163,117     884,459       (771,167
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     2,025,264       (557,861     2,291,115       338,689  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 2,015,756     $ (574,264   $ 2,266,320     $ 301,543  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 11,914,585  

Addition of 750,000 shares

     10,734,541  

Redemption of 800,000 shares

     (11,987,367
  

 

 

 

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

     (1,252,826
  

 

 

 

Net investment income (loss)

     (24,795

Net realized gain (loss)

     1,406,656  

Change in net unrealized appreciation/depreciation

     884,459  
  

 

 

 

Net income (loss)

     2,266,320  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 12,928,079  
  

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Six Months Ended June 30,  
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 2,266,320     $ 301,543  

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

    

Purchases of short-term U.S. government and agency obligations

     (26,852,756     (26,640,527

Proceeds from sales or maturities of short-term U.S government and agency obligations

     26,788,597       28,736,795  

Net amortization and accretion on short-term U.S government and agency obligations

     (39,752     (11,797

Net realized gain (loss) on investments

     (147     (147

Change in unrealized appreciation/depreciation on investments

     (884,459     771,167  

Increase (Decrease) in payable to Sponsor

     434       (2,402
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,278,237       3,154,632  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     10,734,541       831,691  

Payment on shares redeemed

     (11,987,367     (4,027,778
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,252,826     (3,196,087
  

 

 

   

 

 

 

Net increase (decrease) in cash

     25,411       (41,455

Cash, beginning of period

     606,393       227,310  
  

 

 

   

 

 

 

Cash, end of period

   $ 631,804     $ 185,855  
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

98


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,070,096      $ 604,691  

Segregated cash balances with brokers for foreign currency forward contracts

     145,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $3,998,660 and $5,283,104, respectively)

     3,998,906        5,282,879  

Unrealized appreciation on foreign currency forward contracts

     4,960        379  
  

 

 

    

 

 

 

Total assets

     6,218,962        5,887,949  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     4,730        4,537  

Unrealized depreciation on foreign currency forward contracts

     347,829        342,455  
  

 

 

    

 

 

 

Total liabilities

     352,559        346,992  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     5,866,403        5,540,957  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 6,218,962      $ 5,887,949  
  

 

 

    

 

 

 

Shares outstanding

     99,970        99,970  
  

 

 

    

 

 

 

Net asset value per share

   $ 58.68      $ 55.43  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 58.68      $ 55.52  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

99


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(68% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.789% due 07/06/17†

   $ 3,000,000      $ 2,999,814  

0.912% due 08/10/17

     1,000,000        999,092  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,998,660)

      $ 3,998,906  
     

 

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     07/07/17        759,505,400     $ 6,752,589     $ (193,364

Yen with UBS AG

     07/07/17        607,794,000       5,403,758       (154,465
         

 

 

 
          $ (347,829
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     07/07/17        (32,285,500   $ (287,043   $ 4,499  

Yen with UBS AG

     07/07/17        (15,379,200     (136,733     461  
         

 

 

 
          $ 4,960  
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of June 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

 

100


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 6,876     $ 4,255     $ 11,186     $ 7,149  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     14,326       15,811       27,969       29,811  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     14,326       15,811       27,969       29,811  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (7,450     (11,556     (16,783     (22,662
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     424,094       485,862       342,583       1,318,083  

Short-term U.S. government and agency obligations

     —         —         (32     —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     424,094       485,862       342,551       1,318,083  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (590,497     597,266       (793     496,157  

Short-term U.S. government and agency obligations

     533       (315     471       37  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (589,964     596,951       (322     496,194  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (165,870     1,082,813       342,229       1,814,277  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (173,320   $ 1,071,257     $ 325,446     $ 1,791,615  
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 5,540,957  

Net investment income (loss)

     (16,783

Net realized gain (loss)

     342,551  

Change in net unrealized appreciation/depreciation

     (322
  

 

 

 

Net income (loss)

     325,446  
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 5,866,403  
  

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

    Six Months Ended June 30,  
  2017     2016  

Cash flow from operating activities

   

Net income (loss)

  $ 325,446     $ 1,791,615  

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

   

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

    (145,000     —    

Purchases of short-term U.S. government and agency obligations

    (8,989,185     (11,855,352

Proceeds from sales or maturities of short-term U.S government and agency obligations

    10,284,783       10,720,000  

Net amortization and accretion on short-term U.S government and agency obligations

    (11,186     (7,149

Net realized gain (loss) on investments

    32       —    

Change in unrealized appreciation/depreciation on investments

    322       (496,194

Increase (Decrease) in payable to Sponsor

    193       1,115  
 

 

 

   

 

 

 

Net cash provided by (used in) operating activities

    1,465,405       154,035  
 

 

 

   

 

 

 

Cash flow from financing activities

   

Payment on shares redeemed

    —         (199
 

 

 

   

 

 

 

Net cash provided by (used in) financing activities

    —         (199
 

 

 

   

 

 

 

Net increase (decrease) in cash

    1,465,405       153,836  

Cash, beginning of period

    604,691       147,371  
 

 

 

   

 

 

 

Cash, end of period

  $ 2,070,096     $ 301,207  
 

 

 

   

 

 

 

See accompanying notes to financial statements.

 

103


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     June 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 59,346,441      $ 39,482,473  

Segregated cash balances with brokers for futures contracts

     194,302,625        180,212,984  

Segregated cash balances with brokers for forward agreements

     738,500        —    

Segregated cash balances with brokers for foreign currency forward contracts

     145,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $3,199,530,700 and $3,038,837,465, respectively)

     3,199,607,596        3,038,848,441  

Unrealized appreciation on swap agreements

     12,252,695        55,358,571  

Unrealized appreciation on forward agreements

     5,204,728        4,417,812  

Unrealized appreciation on foreign currency forward contracts

     11,501,507        33,392,354  

Receivable from capital shares sold

     60,136,790        —    

Receivable on open futures contracts

     64,114,136        41,862,862  

Offering costs (Note 5)

     217,110        —    

Limitation by Sponsor

     30,418        —    
  

 

 

    

 

 

 

Total assets

     3,607,597,546        3,393,575,497  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     123,730,907        71,525,035  

Payable on open futures contracts

     5,135,484        3,972,621  

Brokerage commissions and fees payable

     —          2,909  

Payable to Sponsor

     2,431,457        2,722,696  

Payable for offering costs

     296,800        —    

Unrealized depreciation on swap agreements

     58,755,439        12,206,881  

Unrealized depreciation on forward agreements

     43,303,441        25,407,296  

Unrealized depreciation on foreign currency forward contracts

     8,407,515        1,400,572  
  

 

 

    

 

 

 

Total liabilities

     242,061,043        117,238,010  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     3,365,536,503        3,276,337,487  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,607,597,546      $ 3,393,575,497  
  

 

 

    

 

 

 

Shares outstanding

     122,818,426        90,235,707  
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

104


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended June 30,     Six Months Ended June 30,  
   2017     2016*     2017     2016*  

Investment Income

        

Interest

   $ 5,591,540     $ 2,351,155     $ 9,188,100     $ 4,161,392  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     7,549,242       9,442,881       14,820,126       17,336,602  

Brokerage commissions and fees

     1,969,627       2,339,266       3,371,027       3,903,387  

Offering costs

     73,998       —         79,690       —    

Limitation by Sponsor

     (26,550     —         (30,418     —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     9,566,317       11,782,147       18,240,425       21,239,989  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (3,974,777     (9,430,992     (9,052,325     (17,078,597
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (33,094,001     (383,587,036     (385,348,278     (540,391,505

Swap agreements

     (92,063,183     146,492,089       (93,464,332     (2,339,938

Forward agreements

     (5,279,159     9,777,375       26,641,969       45,108,454  

Foreign currency forward contracts

     (50,239,329     (40,130,127     (35,541,123     (105,324,044

Short-term U.S. government and agency obligations

     (10,660     79,123       (48,632     (40,651
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (180,686,332     (267,368,576     (487,760,396     (602,987,684
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     21,378,764       8,022,867       (3,660,008     (130,712,193

Swap agreements

     4,047,462       2,297,762       (89,654,434     24,335,948  

Forward agreements

     (44,697,738     83,326,409       (17,109,229     87,499,640  

Foreign currency forward contracts

     20,314,099       26,615,142       (28,897,790     23,613,245  

Short-term U.S. government and agency obligations

     118,844       (478,052     65,920       142,530  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     1,161,431       119,784,128       (139,255,541     4,879,170  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (179,524,901     (147,584,448     (627,015,937     (598,108,514
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (183,499,678   $ (157,015,440   $ (636,068,262   $ (615,187,111
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity Fund through September 1, 2016 (dates of liquidation). See Note 1.

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 3,276,337,487  

Addition of 125,828,766 shares

     4,708,457,792  

Redemption of 93,246,047 shares

     (3,983,190,514
  

 

 

 

Net addition (redemption) of 32,582,719 shares

     725,267,278  
  

 

 

 

Net investment income (loss)

     (9,052,325

Net realized gain (loss)

     (487,760,396

Change in net unrealized appreciation/depreciation

     (139,255,541
  

 

 

 

Net income (loss)

     (636,068,262
  

 

 

 

Shareholders’ equity, at June 30, 2017

   $ 3,365,536,503  
  

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

 

    Six Months Ended June 30,  
  2017     2016*  

Cash flow from operating activities

   

Net income (loss)

  $ (636,068,262   $ (615,187,111

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

    (14,089,641     (58,039,312

Decrease (Increase) in segregated cash balances with brokers for swap agreements

    —         (7,376,000

Decrease (Increase) in segregated cash balances with brokers for forward agreements

    (738,500     (2,663,000

Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts

    (145,000     (17,077,000

Purchases of short-term U.S. government and agency obligations

    (10,660,500,706     (9,799,037,036

Proceeds from sales or maturities of short-term U.S government and agency obligations

    10,508,946,861       9,328,106,607  

Net amortization and accretion on short-term U.S government and agency obligations

    (9,188,022     (4,155,471

Net realized gain (loss) on investments

    48,632       40,651  

Change in unrealized appreciation/depreciation on investments

    135,595,533       (135,591,363

Decrease (Increase) in receivable on futures contracts

    (22,251,274     7,836,328  

Decrease (Increase) in Limitation by Sponsor

    (30,418     —    

Change in offering cost

    (217,110     —    

Increase (Decrease) in payable to Sponsor

    (291,239     335,230  

Increase (Decrease) in brokerage commissions and fees payable

    (2,909     (9,678

Increase (Decrease) in payable on futures contracts

    1,162,863       120,234,492  

Increase (Decrease) in payable for offering costs

    296,800       —    
 

 

 

   

 

 

 

Net cash provided by (used in) operating activities

    (697,472,392     (1,182,582,663
 

 

 

   

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

    4,648,321,002       5,894,737,733  

Payment on shares redeemed

    (3,930,984,642     (4,729,033,466
 

 

 

   

 

 

 

Net cash provided by (used in) financing activities

    717,336,360       1,165,704,267  
 

 

 

   

 

 

 

Net increase (decrease) in cash

    19,863,968       (16,878,396

Cash, beginning of period

    39,482,599       48,049,225  
 

 

 

   

 

 

 

Cash, end of period

  $ 59,346,567     $ 31,170,829  
 

 

 

   

 

 

 

 

* The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity Fund through September 1, 2016 (dates of liquidation). See Note 1.

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2017

(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 June 30, 2017, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) 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”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF , ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) 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.

 

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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 Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, 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 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.

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, 2016 and during

six months ended June 30, 2017. 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 UltraShort Bloomberg Natural Gas    July 20, 2016    3-for-1 Share split    July 25, 2016
ProShares VIX Short-Term Futures ETF    July 25, 2016    1-for-5 reverse Share split    July 25, 2016
ProShares Ultra VIX Short-Term Futures ETF    July 25, 2016    1-for-5 reverse Share split    July 25, 2016
ProShares UltraShort Bloomberg Crude Oil    January 11, 2017    2-for-1 Share split    January 12, 2017
ProShares Ultra Bloomberg Crude Oil    January 11, 2017    1-for-2 reverse Share split    January 12, 2017
ProShares Ultra VIX Short-Term Futures ETF    January 11, 2017    1-for-5 reverse Share split    January 12, 2017
ProShares Short VIX Short-Term Futures ETF    July 12, 2017    2-for-1 Share split    July 17, 2017
ProShares VIX Short-Term Futures ETF    July 14, 2017    1-for-4 reverse Share split    July 17, 2017
ProShares Ultra VIX Short-Term Futures ETF    July 14, 2017    1-for-4 reverse Share split    July 17, 2017

 

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The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, 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 splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

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 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, 2016, as filed with the SEC on March 1, 2017.

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 of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. 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 U.S. Securities and Exchange Commission (“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 June 30, 2017, and represents non-segregated cash with the custodian and does not include short-term investments.

 

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Final Net Asset Value for Fiscal Period

The 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 six months ended June 30, 2017 were as follows. All times are Eastern Standard Time:

 

    

Create/Redeem

Cut-off*

  

NAV Calculation

Time

  

NAV

Calculation Date

  

 

  

 

  

 

UltraShort Silver, Ultra Silver

   6:30 a.m.    7:00 a.m.    June 30, 2017

UltraShort Gold, Ultra Gold

   9:30 a.m.    10:00 a.m.    June 30, 2017

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

   2:00 p.m.    2:30 p.m.    June 30, 2017

UltraPro 3x Short Crude Oil ETF

        

UltraPro 3x Crude Oil ETF

        

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

   2:00 p.m.    2:30 p.m.    June 30, 2017

UltraShort Australian Dollar

   3:00 p.m.    4:00 p.m.    June 30, 2017

Short Euro

   3:00 p.m.    4:00 p.m.    June 30, 2017

UltraShort Euro,

Ultra Euro

        

UltraShort Yen,

Ultra Yen

   3:00 p.m.    4:00 p.m.    June 30, 2017

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.    June 30, 2017

VIX Mid-Term Futures ETF

   2:00 p.m.    4:15 p.m.    June 30, 2017

 

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended June 30, 2017.

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 six months ended June 30, 2017.

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

 

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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 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. 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.

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.

 

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The following table summarizes the valuation of investments at June 30, 2017 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  

VIX Short-Term Futures ETF

  $ 138,937,316     $ (1,109,860   $ —       $ —       $ —       $ 137,827,456  

VIX Mid-Term Futures ETF

    24,968,264       (2,306,255     —         —         —         22,662,009  

Short VIX Short-Term Futures ETF

    660,218,440       (5,789,431     —         —         —         654,429,009  

Ultra VIX Short-Term Futures ETF

    356,168,275       (6,247,469     —         —         —         349,920,806  

UltraShort Bloomberg Crude Oil

    101,940,269       (841,763     —         —         12,252,695       113,351,201  

UltraPro 3X Short Crude Oil ETF

    —         (245,274     —         —         —         (245,274

UltraShort Bloomberg Natural Gas

    2,996,035       (266,680     —         —         —         2,729,355  

UltraShort Gold

    34,947,973       (3,020     2,655,979       —         —         37,600,932  

UltraShort Silver

    14,988,576       2,380       2,548,749       —         —         17,539,705  

Short Euro

    8,993,811       (185,581     —         —         —         8,808,230  

UltraShort Australian Dollar

    9,996,293       (458,310     —         —         —         9,537,983  

UltraShort Euro

    242,826,389       —         —         (6,203,440     —         236,622,949  

UltraShort Yen

    160,907,022       —         —         9,330,388       —         170,237,410  

Ultra Bloomberg Crude Oil

    1,011,044,484       546,865       —         —         (58,755,439     952,835,910  

UltraPro 3X Crude Oil ETF

    —         578,453       —         —         —         578,453  

Ultra Bloomberg Natural Gas

    37,938,991       106,821       —         —         —         38,045,812  

Ultra Gold

    95,959,312       3,000       (7,897,486     —         —         88,064,826  

Ultra Silver

    280,780,815       (2,380     (35,405,955     —         —         245,372,480  

Ultra Euro

    11,996,425       —         —         309,913       —         12,306,338  

Ultra Yen

    3,998,906       —         —         (342,869     —         3,656,037  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

  $ 3,199,607,596     $ (16,218,504   $ (38,098,713   $ 3,093,992     $ (46,502,744   $ 3,101,881,627  

 

* 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.

At June 30, 2017, 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 June 30, 2017, 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.

 

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The following table summarizes the valuation of investments at December 31, 2016 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  

VIX Short-Term Futures ETF

  $ 147,991,233     $ (468,652   $ —       $ —       $ —       $ 147,522,581  

VIX Mid-Term Futures ETF

    45,486,235       (1,288,245     —         —         —         44,197,990  

Short VIX Short-Term Futures ETF

    170,396,436       (10,309,611     —         —         —         160,086,825  

Ultra VIX Short-Term Futures ETF

    434,671,795       (7,972,237     —         —         —         426,699,558  

UltraShort Bloomberg Crude Oil

    205,694,385       (1,426,815     —         —         (12,206,881     192,060,689  

UltraShort Bloomberg Natural Gas

    2,899,151       (482,031     —         —         —         2,417,120  

UltraShort Gold

    60,540,555       18,980       3,033,566       —         —         63,593,101  

UltraShort Silver

    21,550,319       27,310       1,384,246       —         —         22,961,875  

Short Euro

    13,164,828       132,900       —         —         —         13,297,728  

UltraShort Australian Dollar

    12,909,619       1,182,340       —         —         —         14,091,959  

UltraShort Euro

    337,375,787       —         —         16,162,931       —         353,538,718  

UltraShort Yen

    257,102,313       —         —         16,744,937       —         273,847,250  

Ultra Bloomberg Crude Oil

    885,050,007       5,537,165       —         —         55,358,571       945,945,743  

Ultra Bloomberg Natural Gas

    36,183,648       2,536,720       —         —         —         38,720,368  

Ultra Gold

    95,356,621       (18,960     (4,431,107     —         —         90,906,554  

Ultra Silver

    295,300,799       (27,360     (20,976,189     —         —         274,297,250  

Ultra Euro

    11,891,831       —         —         (574,010     —         11,317,821  

Ultra Yen

    5,282,879       —         —         (342,076     —         4,940,803  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

  $ 3,038,848,441     $ (12,558,496   $ (20,989,484   $ 31,991,782     $ 43,151,690     $ 3,080,443,933  

 

* 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.

At December 31, 2016, 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, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

Investment Transactions and Related Income

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

 

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Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“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 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. The Sponsor 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.

New Accounting Pronouncements

In November 2016, the FASB issued Accounting Standards Update No. 2016-18, “Statement of Cash Flows (Topic 230): Restricted

Cash” (“ASU 2016-18”), which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted

cash and restricted cash equivalents on the statement of cash flows. The ASU is effective for annual periods beginning after

December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these

changes on the financial statements.

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.

 

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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 affected. The initial margin is segregated as cash and/or securities 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 and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

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

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and 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

 

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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 Fund’s Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

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

Swap agreements involve, to varying degrees, elements of market risk 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 June 30, 2017 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2017, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

 

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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.

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 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 June 30, 2017, 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.

 

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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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The following tables indicate the location of derivative related items on the Statement of Financial Condition as well as the effect of derivative instruments on the Statement of Operations during the reporting period.

 

Fair Value of Derivative Instruments

as of June 30, 2017

 

   

Assets 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
 

VIX Futures Contracts

 

Receivables on open futures contracts

 

ProShares VIX Short-Term Futures ETF

    287,035  

Payable on open futures contracts

 

ProShares VIX Short-Term Futures ETF

    1,396,895
   

ProShares Ultra VIX Short-Term Futures ETF

    1,118,465    

ProShares VIX Mid-Term Futures ETF

    2,306,255
         

ProShares Short VIX Short-Term Futures ETF

    5,789,431
         

ProShares Ultra VIX Short-Term Futures ETF

    7,365,934

Commodities Contracts

 

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

 

ProShares UltraShort Bloomberg Crude Oil

    12,252,695    

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

 

ProShares UltraShort Bloomberg Crude Oil

    841,763
   

ProShares UltraShort Gold

    2,655,979      

ProShares UltraPro 3X Short Crude Oil ETF

    245,274
   

ProShares UltraShort Silver

    2,551,129    

ProShares UltraShort Bloomberg Natural Gas

    266,680
   

ProShares Ultra Bloomberg Crude Oil

    546,865    

ProShares UltraShort Gold

    3,020
   

ProShares UltraPro 3X Crude Oil ETF

    578,453    

ProShares Ultra Bloomberg Crude Oil

    58,755,439
   

ProShares Ultra Bloomberg Natural Gas

    106,821    

ProShares Ultra Gold

    7,897,486  
   

ProShares Ultra Gold

    3,000    

ProShares Ultra Silver

    35,408,335

Foreign Exchange Contracts

 

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

 

ProShares UltraShort Euro

    810,212    

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

 

ProShares Short Euro

    185,581
   

ProShares UltraShort Yen

    10,340,251      

ProShares UltraShort Australian Dollar

    458,310
   

ProShares Ultra Euro

    346,084      

ProShares UltraShort Euro

    7,013,652  
   

ProShares Ultra Yen

    4,960      

ProShares UltraShort Yen

    1,009,863  
         

ProShares Ultra Euro

    36,171  
         

ProShares Ultra Yen

    347,829  
     

 

 

       

 

 

 
   

Total Trust

    31,601,949    

Total Trust

    129,327,918

 

* 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, 2016

 

   

Assets 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
 

VIX Futures Contracts

 

Receivables on open futures contracts

 

ProShares VIX Short-Term Futures ETF

  $ 2,273,874  

Payable on open futures contracts

 

ProShares VIX Short-Term Futures ETF

  $ 2,742,526
   

ProShares VIX Mid-Term Futures ETF

    68,375    

ProShares VIX Mid-Term Futures ETF

    1,356,620
   

ProShares Ultra VIX

Short-Term Futures ETF

    13,594,875    

ProShares Short VIX Short-Term Futures ETF

    10,309,611
         

ProShares Ultra VIX Short-Term Futures ETF

    21,567,112

Commodities Contracts

 

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

 

ProShares UltraShort Gold

    3,052,546  

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

 

ProShares UltraShort Bloomberg Crude Oil

    13,633,696
   

ProShares UltraShort Silver

    1,411,556    

ProShares UltraShort Bloomberg Natural Gas

    482,031
   

ProShares Ultra Bloomberg Crude Oil

    60,895,736    

ProShares Ultra Gold

    4,450,067
   

ProShares Ultra Bloomberg Natural Gas

    2,536,720    

ProShares Ultra Silver

    21,003,549

Foreign Exchange Contracts

 

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

 

ProShares Short Euro

    132,900  

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

 

ProShares UltraShort Euro

    356,139  
   

ProShares UltraShort Australian Dollar

    1,182,340    

ProShares UltraShort Yen

    125,420  
   

ProShares UltraShort Euro

    16,519,070      

ProShares Ultra Euro

    576,558  
   

ProShares UltraShort Yen

    16,870,357      

ProShares Ultra Yen

    342,455  
   

ProShares Ultra Euro

    2,548        
   

ProShares Ultra Yen

    379        
     

 

 

       

 

 

 
   

Total Trust

  $ 118,541,276    

Total Trust

  $ 76,945,784

 

* 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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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2017

 

Derivatives not accounted

for as hedging instruments

 

Location of Gain

(Loss) on Derivatives

Recognized in Income

 

Fund

  Realized Gain
(Loss) on
Derivatives

Recognized in
Income
    Change in
Unrealized
Appreciation/
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

  $ (33,527,643   $ 6,215,600  
   

ProShares VIX Mid-Term Futures ETF

    (7,047,733     2,246,125  
   

ProShares Short VIX
Short-Term Futures ETF

    182,934,500       (24,640,794
   

ProShares Ultra VIX
Short-Term Futures ETF

    (153,988,983     30,318,423  

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 Crude Oil

    60,376,204       (14,895,206
   

ProShares UltraPro 3X Short Crude Oil ETF

    1,878,109       416,232  
   

ProShares UltraShort Bloomberg Natural Gas

    49,239       881,105  
   

ProShares UltraShort Gold

    (3,423,637     3,811,095  
   

ProShares UltraShort Silver

    631,112       3,022,382  
   

ProShares Ultra Bloomberg Crude Oil

    (168,596,998     28,760,997  
   

ProShares UltraPro 3X Crude Oil ETF

    (1,832,876     (272,129
   

ProShares Ultra Bloomberg Natural Gas

    (4,648,049     (3,330,323
   

ProShares Ultra Gold

    8,452,341       (9,844,776
   

ProShares Ultra Silver

    (10,939,142     (41,686,389

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

    (817,763     (65,818
   

ProShares UltraShort Australian Dollar

    64,976       (208,036
   

ProShares UltraShort Euro

    (36,508,674     1,694,586  
   

ProShares UltraShort Yen

    (16,189,926     19,220,415  
   

ProShares Ultra Euro

    2,035,177       (10,405
   

ProShares Ultra Yen

    424,094       (590,497
     

 

 

   

 

 

 
   

Total Trust

  $ (180,675,672   $ 1,042,587  

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2016

 

Derivatives not accounted

for as hedging instruments

 

Location of Gain

(Loss) on Derivatives

Recognized in Income

 

Fund

  Realized Gain
(Loss) on
Derivatives

Recognized in
Income
    Change in
Unrealized
Appreciation/
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

  $ (40,266,848   $ 1,048,083  
   

ProShares VIX Mid-Term Futures ETF

    (2,943,655     2,047,660  
   

ProShares Short VIX
Short-Term Futures ETF

    77,961,366       14,498,960  
   

ProShares Ultra VIX
Short-Term Futures ETF

    (535,337,385     33,204,771  

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 Crude Oil

    (109,499,306     19,922,224  
   

ProShares UltraShort Bloomberg Natural Gas

    (3,556,836     (13,486
   

ProShares UltraShort Gold

    (256,629     (9,919,871
   

ProShares UltraShort Silver

    (6,440,818     (9,540,356
   

ProShares Ultra Bloomberg Crude Oil

    366,682,172       (70,396,056
   

ProShares Ultra Bloomberg Natural Gas

    10,484,507       7,854,286  
   

ProShares Ultra Gold

    (4,909,537     16,131,512  
   

ProShares Ultra Silver

    21,383,709       86,655,755  

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

    (472,606     926,538  
   

ProShares UltraShort Australian Dollar

    (455,053     1,177,517  
   

ProShares UltraShort Euro

    (26,140,318     45,156,342  
   

ProShares UltraShort Yen

    (15,080,710     (17,976,490
   

ProShares Ultra Euro

    605,039       (1,161,976
   

ProShares Ultra Yen

    485,862       597,266  
     

 

 

   

 

 

 
   

Total Trust*

  $ (267,757,046   $ 120,212,679  

 

* Amount excludes the activity of ProShares Managed Futures Strategy which liquidated on March 30, 2016, and ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity both of which liquidated on September 1, 2016.

 

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The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2017

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

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

   $ (98,755,500   $ (641,208
     

ProShares VIX Mid-Term Futures ETF

     (15,215,051     (1,018,010
     

ProShares Short VIX
Short-Term Futures ETF

     282,827,592       4,520,180  
     

ProShares Ultra VIX
Short-Term Futures ETF

     (519,504,171     1,724,768  

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 Crude Oil

     59,226,337       25,044,628  
     

ProShares UltraPro 3X Short Crude Oil ETF

     1,772,343       (245,274
     

ProShares UltraShort Bloomberg Natural Gas

     1,907,620       215,351  
     

ProShares UltraShort Gold

     (8,294,797     (399,587
     

ProShares UltraShort Silver

     (2,226,149     1,139,573  
     

ProShares Ultra Bloomberg Crude Oil

     (169,009,085     (119,104,310
     

ProShares UltraPro 3X Crude Oil ETF

     (1,833,835     578,453  
     

ProShares Ultra Bloomberg Natural Gas

     (19,025,765     (2,429,899
     

ProShares Ultra Gold

     17,899,831       (3,444,419
     

ProShares Ultra Silver

     19,262,746       (14,404,786

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

     (735,506     (318,481
     

ProShares UltraShort Australian Dollar

     (467,251     (1,640,650
     

ProShares UltraShort Euro

     (20,829,055     (22,366,371
     

ProShares UltraShort Yen

     (16,461,160     (7,414,549
     

ProShares Ultra Euro

     1,406,509       883,923  
     

ProShares Ultra Yen

     342,583       (793
        

 

 

   

 

 

 
     

Total Trust

   $ (487,711,764   $ (139,321,461

 

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The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2016

 

Derivatives not accounted

for as hedging instruments

 

Location of Gain

(Loss) on Derivatives

Recognized in Income

 

Fund

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

  $ (32,560,699   $ (15,262,292
   

ProShares VIX Mid-Term Futures ETF

    (349,195     (768,040
   

ProShares Short VIX
Short-Term Futures ETF

    (14,221,443     68,476,439  
   

ProShares Ultra VIX
Short-Term Futures ETF

    (524,131,767     (190,137,467

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 Crude Oil

    (87,177,708     3,152,261  
   

ProShares UltraShort Bloomberg Natural Gas

    557,513       2,090,582  
   

ProShares UltraShort Gold

    (19,668,636     (10,002,602
   

ProShares UltraShort Silver

    (11,789,322     (13,774,454
   

ProShares Ultra Bloomberg Crude Oil

    113,346,172       24,733,487  
   

ProShares Ultra Bloomberg Natural Gas

    4,627,286       657,141  
   

ProShares Ultra Gold

    21,074,079       13,212,780  
   

ProShares Ultra Silver

    55,498,153       98,066,886  

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

    (526,800     218,031  
   

ProShares UltraShort Australian Dollar

    (2,143,492     475,987  
   

ProShares UltraShort Euro

    (55,054,450     32,953,944  
   

ProShares UltraShort Yen

    (52,697,386     (9,064,322
   

ProShares Ultra Euro

    1,109,709       (772,534
   

ProShares Ultra Yen

    1,318,083       496,157  
     

 

 

   

 

 

 
    Total Trust*   $ (602,789,903   $ 4,751,984  

 

* Amount excludes the activity of ProShares Managed Futures Strategy which liquidated on March 30, 2016, and ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity both of which liquidated on September 1, 2016.

 

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Table of Contents

Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund 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 June 30, 2017.

 

Fair Values of Derivative Instruments as of June 30, 2017

 
    Assets     Liabilities  
    Gross
Amounts of
Recognized
Assets
presented in
the Statements
of Financial
Condition
    Gross
Amounts
Offset in the
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 Crude Oil Swap agreements

  $ 12,252,695     $ —       $ 12,252,695     $ —       $ —       $ —    

ProShares UltraShort Gold Forward agreements

    2,655,979       —         2,655,979       —         —         —    

ProShares UltraShort Silver Forward agreements

    2,548,749       —         2,548,749       —         —         —    

ProShares UltraShort Euro Foreign currency forward contracts

    810,212       —         810,212       7,013,652       —         7,013,652  

ProShares UltraShort Yen Foreign currency forward contracts

    10,340,251       —         10,340,251       1,009,863       —         1,009,863  

ProShares Ultra

Bloomberg Crude Oil Swap agreements

    —         —         —         58,755,439       —         58,755,439  

ProShares Ultra Gold Forward agreements

    —         —         —         7,897,486       —         7,897,486  

ProShares Ultra Silver Forward agreements

    —         —         —         35,405,955       —         35,405,955  

ProShares Ultra Euro Foreign currency forward contracts

    346,084       —         346,084       36,171       —         36,171  

ProShares Ultra Yen Foreign currency forward contracts

    4,960       —         4,960       347,829       —         347,829  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2017. 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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Table of Contents

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2017

 
     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 Crude Oil

        

Citibank N.A.

   $ 3,917,917     $ —       $ —       $ 3,917,917  

Goldman Sachs International

     3,686,141       (3,686,141     —         —    

Societe Generale S.A.

     602,764       (602,764     —         —    

UBS AG

     4,045,873       —         (4,045,873     —    

ProShares UltraShort Gold

        

Citibank N.A.

     923,664       —         —         923,664  

Goldman Sachs International

     739,767       (633,285     —         106,482  

Societe Generale S.A.

     259,230       (259,230     —         —    

UBS AG

     733,318       —         (600,000     133,318  

ProShares UltraShort Silver

        

Citibank N.A.

     911,231       —         —         911,231  

Goldman Sachs International

     675,652       (544,217     —         131,435  

Societe Generale S.A.

     171,589       (144,495     —         27,094  

UBS AG

     790,277       —         (600,000     190,277  

ProShares UltraShort Euro

        

Goldman Sachs International

     (3,074,421     3,074,421       —         —    

UBS AG

     (3,129,019     3,129,019       —         —    

ProShares UltraShort Yen

        

Goldman Sachs International

     4,729,990       (4,107,542     —         622,448  

UBS AG

     4,600,398       —         (4,010,000     590,398  

ProShares Ultra Bloomberg Crude Oil

        

Citibank N.A.

     (21,112,406     21,112,406       —         —    

Goldman Sachs International

     (16,228,837     16,228,837       —         —    

Societe Generale S.A.

     (6,679,835     6,679,835       —         —    

UBS AG

     (14,734,361     14,734,361       —         —    

ProShares Ultra Gold

        

Citibank N.A.

     (2,727,933     2,727,933       —         —    

Goldman Sachs International

     (2,089,538     2,089,538       —         —    

Societe Generale S.A.

     (1,052,226     1,052,226       —         —    

UBS AG

     (2,027,789     2,027,789       —         —    

ProShares Ultra Silver

        

Citibank N.A.

     (12,900,135     12,900,135       —         —    

Goldman Sachs International

     (8,565,734     8,565,734       —         —    

Societe Generale S.A.

     (4,889,267     4,889,267       —         —    

UBS AG

     (9,050,819     9,050,819       —         —    

ProShares Ultra Euro

        

Goldman Sachs International

     199,130       —         —         199,130  

UBS AG

     110,783       —         —         110,783  

ProShares Ultra Yen

        

Goldman Sachs International

     (188,865     188,865       —         —    

UBS AG

     (154,004     9,004       145,000       —    

 

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Table of Contents

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, 2016:

 

Fair Values of Derivative Instruments as of December 31, 2016

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

                 

Swap agreements

   $ —        $ —        $ —        $ 12,206,881      $ —        $ 12,206,881  

ProShares UltraShort Gold

                 

Forward agreements

     3,033,566        —          3,033,566        —          —          —    

ProShares UltraShort Silver

                 

Forward agreements

     1,384,246        —          1,384,246        —          —          —    

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     16,519,070        —          16,519,070        356,139        —          356,139  

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     16,870,357        —          16,870,357        125,420        —          125,420  

ProShares Ultra Bloomberg Crude Oil

                 

Swap agreements

     55,358,571        —          55,358,571        —          —          —    

ProShares Ultra Gold

                 

Forward agreements

     —          —          —          4,431,107        —          4,431,107  

ProShares Ultra Silver

                 

Forward agreements

     —          —          —          20,976,189        —          20,976,189  

ProShares Ultra Euro

                 

Foreign currency forward contracts

     2,548        —          2,548        576,558        —          576,558  

ProShares Ultra Yen

                 

Foreign currency forward contracts

     379        —          379        342,455        —          342,455  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2016. 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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Table of Contents

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2016

 
     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 Crude Oil

        

Citibank N.A.

   $ (4,742,191   $ 4,742,191     $ —       $ —    

Goldman Sachs International

     (3,061,395     3,061,395       —         —    

Societe Generale S.A.

     (1,050,699     1,050,699       —         —    

UBS AG

     (3,352,596     3,352,596       —         —    

ProShares UltraShort Gold

        

Citibank N.A.

     1,147,811       —         —         1,147,811  

Goldman Sachs International

     881,454       (874,948     —         6,506  

Societe Generale S.A.

     393,006       (393,006     —         —    

UBS AG

     611,295       —         (611,295     —    

ProShares UltraShort Silver

        

Citibank N.A.

     610,478       —         —         610,478  

Goldman Sachs International

     323,829       (323,829     —         —    

Societe Generale S.A.

     86,543       (86,543     —         —    

UBS AG

     363,396       —         (363,396     —    

ProShares UltraShort Euro

        

Goldman Sachs International

     8,109,067       (8,109,067     —         —    

UBS AG

     8,053,864       —         (8,053,864     —    

ProShares UltraShort Yen

        

Goldman Sachs International

     8,256,779       (7,771,819     —         484,960  

UBS AG

     8,488,158       —         (7,980,000     508,158  

ProShares Ultra Bloomberg Crude Oil

        

Citibank N.A.

     18,427,009       —         —         18,427,009  

Goldman Sachs International

     14,016,906       (14,016,906     —         —    

Societe Generale S.A.

     8,661,821       (8,661,821     —         —    

UBS AG

     14,252,835       —         (14,252,835     —    

ProShares Ultra Gold

        

Citibank N.A.

     (1,464,982     1,464,982       —         —    

Goldman Sachs International

     (1,112,916     1,112,916       —         —    

Societe Generale S.A.

     (643,587     643,587       —         —    

UBS AG

     (1,209,622     1,209,622       —         —    

ProShares Ultra Silver

        

Citibank N.A.

     (6,946,009     6,946,009       —         —    

Goldman Sachs International

     (5,869,092     5,869,092       —         —    

Societe Generale S.A.

     (2,532,729     2,532,729       —         —    

UBS AG

     (5,628,359     5,628,359       —         —    

ProShares Ultra Euro

        

Goldman Sachs International

     (239,256     239,256       —         —    

UBS AG

     (334,754     334,754       —         —    

ProShares Ultra Yen

        

Goldman Sachs International

     (219,736     219,736       —         —    

UBS AG

     (122,340     122,340       —         —    

 

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Table of Contents

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 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 and will reimburse 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.

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 that 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.

 

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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. The Sponsor pays SEI for performing its duties on behalf of the Funds.

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 will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a 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 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 and six months ended June 30, 2017 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

Fund    Three Months Ended
June 30, 2017
     Six Months Ended
June 30, 2017
 

VIX Short-Term Futures ETF

   $ 37,861      $ 66,495  

VIX Mid-Term Futures ETF

     1,585        3,212  

Short VIX Short-Term Futures ETF

     255,866        425,854  

Ultra VIX Short-Term Futures ETF

     245,987        452,486  

UltraShort Bloomberg Crude Oil

     79,893        118,408  

UltraPro 3X Short Crude Oil ETF

     2,511        3,199  

UltraShort Bloomberg Natural Gas

     488        765  

UltraShort Gold

     5,708        11,989  

UltraShort Silver

     —          —    

Short Euro

     —          —    

UltraShort Australian Dollar

     —          —    

UltraShort Euro

     —          —    

UltraShort Yen

     —          —    

Ultra Bloomberg Crude Oil

     226,384        395,871  

UltraPro 3X Crude Oil ETF

     8,116        9,112  

Ultra Bloomberg Natural Gas

     2,003        6,870  

Ultra Gold

     2,492        9,375  

Ultra Silver

     11,627        17,688  

Ultra Euro

     —          —    

Ultra Yen

     —          —    
  

 

 

    

 

 

 

Total Trust

   $ 880,521      $ 1,521,324  

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2017:

For the Three Months Ended June 30, 2017 (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
Crude Oil
    UltraPro 3X
Short Crude Oil
ETF
 

Net asset value, at March 31, 2017

   $ 52.7150     $ 31.8965     $ 70.5439     $ 64.7746     $ 36.7016     $ 21.1581  

Net investment income (loss)

     (0.0359     (0.0210     (0.1568     (0.1586     (0.0292     (0.0802

Net realized and unrealized gain (loss)#

     (9.9899     (4.4116     9.7200       (25.2974     6.7614       5.3826  

Change in net asset value from operations

     (10.0258     (4.4326     9.5632       (25.4560     6.7322       5.3024  

Net asset value, at June 30, 2017

   $ 42.6892     $ 27.4639     $ 80.1071     $ 39.3186     $ 43.4338     $ 26.4605  

Market value per share, at March 31, 2017†

   $ 52.68     $ 31.95     $ 70.58     $ 64.68     $ 36.57     $ 21.07  

Market value per share, at June 30, 2017†

   $ 42.52     $ 27.43     $ 80.64     $ 38.96     $ 43.21     $ 26.24  

Total Return, at net asset value^

     (19.0 )%      (13.9 )%      13.6     (39.3 )%      18.3     25.1

Total Return, at market value^

     (19.3 )%      (14.1 )%      14.3     (39.8 )%      18.2     24.5

Ratios to Average Net Assets**

            

Expense ratio

     0.97     0.87     1.50     1.88     1.00     1.34

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.30 )%      (0.28 )%      (0.86 )%      (1.27 )%      (0.30 )%      (1.34 )% 

 

* 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.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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For the Three Months Ended June 30, 2017 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at March 31, 2017

   $ 29.2434     $ 76.4038     $ 29.3775     $ 44.5099     $ 48.7520     $ 26.4161  

Net investment income (loss)

     (0.0602     (0.0386     (0.0215     (0.0354     (0.0534     (0.0117

Net realized and unrealized gain (loss)#

     3.9792       (0.0653     5.3912       (2.7385     (0.7987     (3.2812

Change in net asset value from operations

     3.9190       (0.1039     5.3697       (2.7739     (0.8521     (3.2929

Net asset value, at June 30, 2017

   $ 33.1624     $ 76.2999     $ 34.7472     $ 41.7360     $ 47.8999     $ 23.1232  

Market value per share, at March 31, 2017†

   $ 29.25     $ 75.93     $ 28.90     $ 44.29     $ 49.00     $ 26.39  

Market value per share, at June 30, 2017†

   $ 33.33     $ 76.37     $ 34.09     $ 41.71     $ 47.80     $ 23.12  

Total Return, at net asset value^

     13.4     (0.1 )%      18.3     (6.2 )%      (1.7 )%      (12.5 )% 

Total Return, at market value^

     13.9     0.6     18.0     (5.8 )%      (2.4 )%      (12.4 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.31     0.95     0.95     0.96     1.01     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.81 )%      (0.21 )%      (0.27 )%      (0.33 )%      (0.42 )%      (0.19 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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For the Three Months Ended June 30, 2017 (unaudited)

 

Per Share Operating Performance

   UltraShort Yen     Ultra
Bloomberg
Crude Oil
    UltraPro 3X
Crude Oil ETF
    Ultra
Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at March 31, 2017

   $ 72.5519     $ 18.9587     $ 29.2438     $ 12.2730     $ 38.3348     $ 40.5970  

Net investment income (loss)

     (0.0363     (0.0100     (0.0715     (0.0166     (0.0191     (0.0178

Net realized and unrealized gain (loss)#

     1.5578       (4.1451     (9.6487     (2.4868     (0.5634     (7.3476

Change in net asset value from operations

     1.5215       (4.1551     (9.7202     (2.5034     (0.5825     (7.3654

Net asset value, at June 30, 2017

   $ 74.0734     $ 14.8036     $ 19.5236     $ 9.7696     $ 37.7523     $ 33.2316  

Market value per share, at March 31, 2017†

   $ 72.50     $ 19.02     $ 29.42     $ 12.27     $ 38.45     $ 41.23  

Market value per share, at June 30, 2017†

   $ 74.05     $ 14.86     $ 19.68     $ 9.74     $ 37.68     $ 33.82  

Total Return, at net asset value^

     2.1     (21.9 )%      (33.2 )%      (20.4 )%      (1.5 )%      (18.1 )% 

Total Return, at market value^

     2.1     (21.9 )%      (33.1 )%      (20.6 )%      (2.0 )%      (18.0 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.98     1.27     1.19     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.20 )%      (0.24 )%      (1.27 )%      (0.59 )%      (0.20 )%      (0.19 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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For the Three Months Ended June 30, 2017 (unaudited)

 

Per Share Operating Performance

   Ultra Euro     Ultra Yen  

Net asset value, at March 31, 2017

   $ 14.2445     $ 60.4154  

Net investment income (loss)

     (0.0098     (0.0745

Net realized and unrealized gain (loss)#

     1.9254       (1.6593

Change in net asset value from operations

     1.9156       (1.7338

Net asset value, at June 30, 2017

   $ 16.1601     $ 58.6816  

Market value per share, at March 31, 2017†

   $ 14.27     $ 60.19  

Market value per share, at June 30, 2017†

   $ 16.17     $ 58.68  

Total Return, at net asset value^

     13.4     (2.9 )% 

Total Return, at market value^

     13.3     (2.5 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95

Net investment income (loss)

     (0.26 )%      (0.49 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the three months ended June 30, 2016:

For the Three Months Ended June 30, 2016 (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
Crude Oil*
    UltraShort
Bloomberg
Natural Gas
 

Net asset value, at March 31, 2016

   $ 232.6568     $ 52.7219     $ 25.3165     $ 1,925.3153     $ 64.8940     $ 66.7299  

Net investment income (loss)

     (0.4022     (0.0931     (0.0783     (4.6958     (0.0873     (0.1967

Net realized and unrealized gain (loss)#

     (51.6801     (0.6535     (0.3211     (1,008.0205     (23.8390     (32.4440

Change in net asset value from operations

     (52.0823     (0.7466     (0.3994     (1,012.7163     (23.9263     (32.6407

Net asset value, at June 30, 2016

   $ 180.5745     $ 51.9753     $ 24.9171     $ 912.5990     $ 40.9677     $ 34.0892  

Market value per share, at March 31, 2016†

   $ 233.60     $ 52.87     $ 25.27     $ 1,933.00     $ 65.47     $ 65.93  

Market value per share, at June 30, 2016†

   $ 183.20     $ 52.53     $ 24.53     $ 943.00     $ 40.81     $ 34.06  

Total Return, at net asset value^

     (22.4 )%      (1.4 )%      (1.6 )%      (52.6 )%      (36.9 )%      (48.9 )% 

Total Return, at market value^

     (21.6 )%      (0.6 )%      (2.9 )%      (51.2 )%      (37.7 )%      (48.3 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.01     0.92     1.40     1.56     1.02     1.72

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.79 )%      (0.70 )%      (1.18 )%      (1.33 )%      (0.76 )%      (1.51 )% 

 

* 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.
^ Percentages are not annualized for the period ended June 30, 2016.
** Percentages are annualized.

 

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For the Three Months Ended June 30, 2016 (unaudited)

 

Per Share Operating Performance

   UltraShort Gold     UltraShort
Silver
    Short
Euro
    UltraShort
Australian
Dollar
    UltraShort Euro     UltraShort Yen  

Net asset value, at March 31, 2016

   $ 82.0751     $ 49.6365     $ 41.6987     $ 51.5091     $ 23.1947     $ 76.5139  

Net investment income (loss)

     (0.1336     (0.0690     (0.0793     (0.1033     (0.0402     (0.1249

Net realized and unrealized gain (loss)#

     (11.6295     (16.4051     1.1947       2.0611       1.1638       (12.8555

Change in net asset value from operations

     (11.7631     (16.4741     1.1154       1.9578       1.1236       (12.9804

Net asset value, at June 30, 2016

   $ 70.3120     $ 33.1624     $ 42.8141     $ 53.4669     $ 24.3183     $ 63.5335  

Market value per share, at March 31, 2016†

   $ 83.03     $ 49.42     $ 41.66     $ 51.65     $ 23.19     $ 76.50  

Market value per share, at June 30, 2016†

   $ 70.00     $ 31.65     $ 42.81     $ 53.47     $ 24.32     $ 63.53  

Total Return, at net asset value^

     (14.3 )%      (33.2 )%      2.7     3.8     4.8     (17.0 )% 

Total Return, at market value^

     (15.7 )%      (36.0 )%      2.7     3.5     4.9     (17.0 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.95     0.97     1.03     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.68 )%      (0.67 )%      (0.76 )%      (0.77 )%      (0.69 )%      (0.72 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2016.
** Percentages are annualized.

 

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For the Three Months Ended June 30, 2016 (unaudited)

 

Per Share Operating Performance

   Ultra
Bloomberg
Crude Oil*
    Ultra
Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver     Ultra Euro     Ultra Yen  

Net asset value, at March 31, 2016

   $ 17.9885     $ 10.8292     $ 39.8802     $ 32.7270     $ 16.8643     $ 61.9587  

Net investment income (loss)

     (0.0453     (0.0397     (0.0707     (0.0677     (0.0276     (0.1156

Net realized and unrealized gain (loss)#

     6.3825       6.9636       4.9860       12.8697       (0.9485     10.8313  

Change in net asset value from operations

     6.3372       6.9239       4.9153       12.8020       (0.9761     10.7157  

Net asset value, at June 30, 2016

   $ 24.3257     $ 17.7531     $ 44.7955     $ 45.5290     $ 15.8882     $ 72.6744  

Market value per share, at March 31, 2016†

   $ 17.82     $ 10.88     $ 39.69     $ 32.82     $ 16.87     $ 61.98  

Market value per share, at June 30, 2016†

   $ 24.44     $ 17.65     $ 45.03     $ 47.67     $ 15.86     $ 72.71  

Total Return, at net asset value^

     35.2     63.9     12.3     39.1     (5.8 )%      17.3

Total Return, at market value^

     37.1     62.2     13.5     45.2     (6.0 )%      17.3

Ratios to Average Net Assets**

            

Expense ratio

     1.03     1.46     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.80 )%      (1.27 )%      (0.69 )%      (0.71 )%      (0.67 )%      (0.69 )% 

 

* 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.
^ Percentages are not annualized for the period ended June 30, 2016.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the six months ended June 30, 2017:

For the Six Months Ended June 30, 2017 (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
Crude Oil
    UltraPro 3X
Short Crude Oil
ETF+
 

Net asset value, at December 31, 2016

   $ 84.8584     $ 42.1361     $ 45.6151     $ 173.9265     $ 31.6975     $ 25.0000  

Net investment income (loss)

     (0.1078     (0.0610     (0.3270     (0.4209     (0.0764     (0.0884

Net realized and unrealized gain (loss)#

     (42.0614     (14.6112     34.8190       (134.1870     11.8127       1.5489  

Change in net asset value from operations

     (42.1692     (14.6722     34.4920       (134.6079     11.7363       1.4605  

Net asset value, at June 30, 2017

   $ 42.6892     $ 27.4639     $ 80.1071     $ 39.3186     $ 43.4338     $ 26.4605  

Market value per share, at December 31, 2016†

   $ 85.04     $ 42.34     $ 45.49     $ 175.00     $ 31.65     $ 25.00  

Market value per share, at June 30, 2017†

   $ 42.52     $ 27.43     $ 80.64     $ 38.96     $ 43.21     $ 26.24  

Total Return, at net asset value^

     (49.7 )%      (34.8 )%      75.6     (77.4 )%      37.0     5.8

Total Return, at market value^

     (50.0 )%      (35.2 )%      77.3     (77.7 )%      36.5     5.0

Ratios to Average Net Assets**

            

Expense ratio

     0.96     0.88     1.54     1.81     0.98     1.37

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.40 )%      (0.37 )%      (0.96 )%      (1.31 )%      (0.43 )%      (1.37 )% 

 

* See Note 1 of these Notes to Financial Statements.
+ From commencement of operations, March 24, 2017 through June 30, 2017.
# 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.
     The returns of shares outstanding for the period from commencement of operations through June 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Short Crude Oil ETF.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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For the Six Months Ended June 30, 2017 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at December 31, 2016

   $ 23.1010     $ 91.3281     $ 37.3072     $ 45.0574     $ 55.3782     $ 27.0847  

Net investment income (loss)

     (0.1343     (0.1318     (0.0595     (0.0976     (0.1316     (0.0427

Net realized and unrealized gain (loss)#

     10.1957       (14.8964     (2.5005     (3.2238     (7.3467     (3.9188

Change in net asset value from operations

     10.0614       (15.0282     (2.5600     (3.3214     (7.4783     (3.9615

Net asset value, at June 30, 2017

   $ 33.1624     $ 76.2999     $ 34.7472     $ 41.7360     $ 47.8999     $ 23.1232  

Market value per share, at December 31, 2016†

   $ 23.05     $ 90.54     $ 38.76     $ 45.12     $ 55.24     $ 27.08  

Market value per share, at June 30, 2017†

   $ 33.33     $ 76.37     $ 34.09     $ 41.71     $ 47.80     $ 23.12  

Total Return, at net asset value^

     43.6     (16.5 )%      (6.9 )%      (7.4 )%      (13.5 )%      (14.6 )% 

Total Return, at market value^

     44.6     (15.7 )%      (12.0 )%      (7.6 )%      (13.5 )%      (14.6 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.30     0.95     0.95     0.96     1.01     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.89 )%      (0.34 )%      (0.37 )%      (0.45 )%      (0.53 )%      (0.33 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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For the Six Months Ended June 30, 2017 (unaudited)

 

Per Share Operating Performance

   UltraShort Yen     Ultra Bloomberg
Crude Oil
    UltraPro 3X
Crude Oil ETF+
    Ultra Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at December 31, 2016

   $ 80.2431     $ 23.3352     $ 25.0000     $ 18.8483     $ 32.9026     $ 33.4420  

Net investment income (loss)

     (0.1309     (0.0320     (0.0783     (0.0397     (0.0638     (0.0616

Net realized and unrealized gain (loss)#

     (6.0388     (8.4996     (5.3981     (9.0390     4.9135       (0.1488

Change in net asset value from operations

     (6.1697     (8.5316     (5.4764     (9.0787     4.8497       (0.2104

Net asset value, at June 30, 2017

   $ 74.0734     $ 14.8036     $ 19.5236     $ 9.7696     $ 37.7523     $ 33.2316  

Market value per share, at December 31, 2016†

   $ 80.25     $ 23.36     $ 25.00     $ 18.96     $ 33.20     $ 32.09  

Market value per share, at June 30, 2017†

   $ 74.05     $ 14.86     $ 19.68     $ 9.74     $ 37.68     $ 33.82  

Total Return, at net asset value^

     (7.7 )%      (36.6 )%      (21.9 )%      (48.2 )%      14.7     (0.6 )% 

Total Return, at market value^

     (7.7 )%      (36.4 )%      (21.3 )%      (48.6 )%      13.5     5.4

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.98     1.29     1.17     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.36 )%      (0.35 )%      (1.29 )%      (0.68 )%      (0.34 )%      (0.33 )% 

 

+ From commencement of operations, March 24, 2017 through June 30, 2017.
# 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.
^ Percentages are not annualized for the period ended June 30, 2017.

The returns of shares outstanding for the period from commencement of operations through June 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Crude Oil ETF.

** Percentages are annualized.

 

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For the Six Months Ended June 30, 2017 (unaudited)

 

Per Share Operating Performance

   Ultra Euro     Ultra Yen  

Net asset value, at December 31, 2016

   $ 14.0172     $ 55.4262  

Net investment income (loss)

     (0.0265     (0.1679

Net realized and unrealized gain (loss)#

     2.1694       3.4233  

Change in net asset value from operations

     2.1429       3.2554  

Net asset value, at June 30, 2017

   $ 16.1601     $ 58.6816  

Market value per share, at December 31, 2016†

   $ 14.09     $ 55.52  

Market value per share, at June 30, 2017†

   $ 16.17     $ 58.68  

Total Return, at net asset value^

     15.3     5.9

Total Return, at market value^

     14.8     5.7

Ratios to Average Net Assets**

    

Expense ratio

     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95

Net investment income (loss)

     (0.36 )%      (0.57 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2017.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the six months ended June 30, 2016:

For the Six Months Ended June 30, 2016 (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
Crude Oil*
    UltraShort
Bloomberg
Natural Gas
 

Net asset value, at December 31, 2015

   $ 264.8433     $ 53.9626     $ 25.4075     $ 2,808.4027     $ 66.6009     $ 46.5314  

Net investment income (loss)

     (0.9172     (0.2001     (0.1250     (11.5661     (0.2219     (0.4217

Net realized and unrealized gain (loss)#

     (83.3516     (1.7872     (0.3654     (1,884.2376     (25.4113     (12.0205

Change in net asset value from operations

     (84.2688     (1.9873     (0.4904     (1,895.8037     (25.6332     (12.4422

Net asset value, at June 30, 2016

   $ 180.5745     $ 51.9753     $ 24.9171     $ 912.5990     $ 40.9677     $ 34.0892  

Market value per share, at December 31, 2015†

   $ 266.60     $ 53.99     $ 25.23     $ 2,835.00     $ 66.82     $ 46.55  

Market value per share, at June 30, 2016†

   $ 183.20     $ 52.53     $ 24.53     $ 943.00     $ 40.81     $ 34.06  

Total Return, at net asset value^

     (31.8 )%      (3.7 )%      (1.9 )%      (67.5 )%      (38.5 )%      (26.7 )% 

Total Return, at market value^

     (31.3 )%      (2.7 )%      (2.8 )%      (66.7 )%      (38.9 )%      (26.8 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.03     0.93     1.33     1.55     1.05     1.70

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.82 )%      (0.72 )%      (1.12 )%      (1.32 )%      (0.80 )%      (1.47 )% 

 

* 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.
^ Percentages are not annualized for the period ended June 30, 2016.
** Percentages are annualized.

 

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For the Six Months Ended June 30, 2016 (unaudited)

 

Per Share Operating Performance

   UltraShort Gold     UltraShort
Silver
    Short Euro     UltraShort
Australian
Dollar
    UltraShort Euro     UltraShort Yen  

Net asset value, at December 31, 2015

   $ 115.8799     $ 64.5783     $ 43.7767     $ 58.4582     $ 25.5406     $ 87.9389  

Net investment income (loss)

     (0.3036     (0.1668     (0.1676     (0.2320     (0.0845     (0.2872

Net realized and unrealized gain (loss)#

     (45.2643     (31.2491     (0.7950     (4.7593     (1.1378     (24.1182

Change in net asset value from operations

     (45.5679     (31.4159     (0.9626     (4.9913     (1.2223     (24.4054

Net asset value, at June 30, 2016

   $ 70.3120     $ 33.1624     $ 42.8141     $ 53.4669     $ 24.3183     $ 63.5335  

Market value per share, at December 31, 2015†

   $ 115.83     $ 64.55     $ 43.74     $ 58.15     $ 25.53     $ 87.89  

Market value per share, at June 30, 2016†

   $ 70.00     $ 31.65     $ 42.81     $ 53.47     $ 24.32     $ 63.53  

Total Return, at net asset value^

     (39.3 )%      (48.6 )%      (2.2 )%      (8.5 )%      (4.8 )%      (27.8 )% 

Total Return, at market value^

     (39.6 )%      (51.0 )%      (2.1 )%      (8.0 )%      (4.7 )%      (27.7 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.95     0.97     1.03     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.72 )%      (0.71 )%      (0.79 )%      (0.83 )%      (0.70 )%      (0.77 )% 

 

# 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.
^ Percentages are not annualized for the period ended June 30, 2016.
** Percentages are annualized.

 

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For the Six Months Ended June 30, 2016 (unaudited)

 

Per Share Operating Performance

   Ultra Bloomberg
Crude Oil*
    Ultra Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver     Ultra Euro     Ultra Yen  

Net asset value, at December 31, 2015

   $ 25.1548     $ 18.5698     $ 29.7295     $ 27.0638     $ 15.5107     $ 54.7527  

Net investment income (loss)

     (0.0792     (0.0787     (0.1371     (0.1255     (0.0581     (0.2267

Net realized and unrealized gain (loss)#

     (0.7499     (0.7380     15.2031       18.5907       0.4356       18.1484  

Change in net asset value from operations

     (0.8291     (0.8167     15.0660       18.4652       0.3775       17.9217  

Net asset value, at June 30, 2016

   $ 24.3257     $ 17.7531     $ 44.7955     $ 45.5290     $ 15.8882     $ 72.6744  

Market value per share, at December 31, 2015†

   $ 25.08     $ 18.48     $ 29.73     $ 27.08     $ 15.51     $ 54.70  

Market value per share, at June 30, 2016†

   $ 24.44     $ 17.65     $ 45.03     $ 47.67     $ 15.86     $ 72.71  

Total Return, at net asset value^

     (3.3 )%      (4.4 )%      50.7     68.2     2.4     32.7

Total Return, at market value^

     (2.6 )%      (4.5 )%      51.5     76.0     2.3     32.9

Ratios to Average Net Assets**

            

Expense ratio

     1.03     1.43     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.80 )%      (1.25 )%      (0.71 )%      (0.73 )%      (0.72 )%      (0.72 )% 

 

* 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
^ Percentages are not annualized for the period ended June 30, 2016.
** Percentages are annualized.

 

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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 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.

 

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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.

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.

 

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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.

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 2016 may specify a January 2017 expiration. As that contract nears expiration, it may be replaced by selling the January 2017 contract and purchasing the contract expiring in March 2017. 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 2017 contract would take place at a price that is higher than the price at which the March 2017 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 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 and Matching VIX Funds.

 

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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.

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. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

 

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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, 2017, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) 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”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) 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.

 

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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 ten Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, 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.

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 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 net asset value (“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

 

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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”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF and ProShares Ultra Bloomberg Natural Gas 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.

Each Geared 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 NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and 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 and six months ended June 30, 2017 and 2016, each of the Funds earned interest income as follows:

 

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Interest Income

 

Fund

   Interest Income
Three Months
Ended June 30,
2017
     Interest Income
Three Months
Ended June 30,
2016
     Interest Income
Six Months
Ended June 30,
2017
     Interest Income
Six Months
Ended June 30,
2016
 

ProShares VIX Short-Term Futures ETF

   $ 248,418      $ 134,426      $ 407,223      $ 180,575  

ProShares VIX Mid-Term Futures ETF

     48,327        21,839        92,587        34,098  

ProShares Short VIX Short-Term Futures ETF

     1,030,436        281,446        1,382,694        599,158  

ProShares Ultra VIX Short-Term Futures ETF

     595,569        527,858        966,554        826,663  

ProShares UltraShort Bloomberg Crude Oil

     280,496        144,387        539,542        233,499  

ProShares UltraPro 3X Short Crude Oil ETF

     —          —          —          —    

ProShares UltraShort Bloomberg Natural Gas

     9,532        4,550        14,473        14,118  

ProShares UltraShort Gold

     64,930        45,076        116,347        74,265  

ProShares UltraShort Silver

     36,403        29,058        58,906        48,742  

ProShares Short Euro

     22,784        8,531        38,480        14,669  

ProShares UltraShort Australian Dollar

     21,253        12,258        35,524        20,043  

ProShares UltraShort Euro

     508,339        255,428        893,083        516,867  

ProShares UltraShort Yen

     360,252        104,491        683,531        172,839  

ProShares Ultra Bloomberg Crude Oil

     1,572,668        498,531        2,617,079        949,595  

ProShares UltraPro 3X Crude Oil ETF

     —          —          —          —    

ProShares Ultra Bloomberg Natural Gas

     62,796        15,411        106,835        27,143  

ProShares Ultra Gold

     178,660        59,634        300,135        106,020  

ProShares Ultra Silver

     518,829        188,656        884,169        310,266  

ProShares Ultra Euro

     24,972        6,834        39,752        11,797  

ProShares Ultra Yen

     6,876        4,255        11,186        7,149  

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).

 

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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 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.

 

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Off-Balance Sheet Arrangements and Contractual Obligations

As of August 2, 2017, 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.

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 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 Funds’ final creation/redemption NAV for the three and six months ended June 30, 2017.

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.

 

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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.

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. The Sponsor 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 June 30, 2017 Compared to the Three Months Ended June 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 137,512,969     $ 159,076,994  

NAV end of period

   $ 162,053,094     $ 190,955,944  

Percentage change in NAV

     17.8     20.0

Shares outstanding beginning of period

     2,608,613       683,741  

Shares outstanding end of period

     3,796,113       1,057,491  

Percentage change in shares outstanding

     45.5     54.7

Shares created

     1,937,500       917,500  

Shares redeemed

     750,000       543,750  

Per share NAV beginning of period

   $ 52.71     $ 232.66  

Per share NAV end of period

   $ 42.69     $ 180.57  

Percentage change in per share NAV

     (19.0 )%      (22.4 )% 

Percentage change in benchmark

     (18.7 )%      (22.5 )% 

Benchmark annualized volatility

     56.3     102.3

 

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,608,613 outstanding Shares at March 31, 2017 to 3,796,113 outstanding Shares at June 30, 2017. 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 June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 683,741 outstanding Shares at March 31, 2016 to 1,057,491 outstanding Shares at June 30, 2016. 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.

For the three months ended June 30, 2017 and 2016, 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 19.0% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.4% for the three months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $61.29 per Share and reached its low for the period on June 26, 2017 at $40.75 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 11, 2016 at $250.48 per Share and reached its low for the period on June 6, 2016 at $170.20 per Share.

The benchmark’s decline of 18.7% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 22.5% for the three months ended June 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (110,768    $ (487,032

Management fee

     313,196        520,759  

Brokerage commissions

     45,990        100,699  

Net realized gain (loss)

     (33,527,509      (40,262,015

Change in net unrealized appreciation/depreciation

     6,221,178        1,038,205  

Net income (loss)

   $ (27,417,099    $ (39,710,842

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2017.

 

* 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 splits for the ProShares VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 37,873,983     $ 29,650,967  

NAV end of period

   $ 30,550,943     $ 42,224,892  

Percentage change in NAV

     (19.3 )%      42.4

Shares outstanding beginning of period

     1,187,403       562,403  

Shares outstanding end of period

     1,112,403       812,403  

Percentage change in shares outstanding

     (6.3 )%      44.5

Shares created

     50,000       275,000  

Shares redeemed

     125,000       25,000  

Per share NAV beginning of period

   $ 31.90     $ 52.72  

Per share NAV end of period

   $ 27.46     $ 51.98  

Percentage change in per share NAV

     (13.9 )%      (1.4 )% 

Percentage change in benchmark

     (13.6 )%      (1.2 )% 

Benchmark annualized volatility

     18.6     45.6

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,187,403 outstanding Shares at March 31, 2017 to 1,112,403 outstanding Shares at June 30, 2017. 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 daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 562,403 outstanding Shares at March 31, 2016 to 812,403 outstanding Shares at June 30, 2016. 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 June 30, 2017 and 2016, 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 13.9% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended June 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

 

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During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $32.97 per Share and reached its low for the period on June 28, 2017 at $27.30 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $58.82 per Share and reached its low for the period on June 23, 2016 at $49.89 per Share.

The benchmark’s decline of 13.6% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 1.2% for the three months ended June 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (23,141    $ (69,741

Management fee

     70,059        84,727  

Brokerage commissions

     1,409        6,853  

Net realized gain (loss)

     (7,047,660      (2,943,716

Change in net unrealized appreciation/depreciation

     2,246,757        2,044,685  

Net income (loss)

   $ (4,824,044    $ (968,772

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a greater 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 June 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 486,752,851     $ 508,862,366  

NAV end of period

   $ 793,060,423     $ 687,712,265  

Percentage change in NAV

     62.9     35.1

Shares outstanding beginning of period

     6,900,000       20,100,000  

Shares outstanding end of period

     9,900,000       27,600,000  

Percentage change in shares outstanding

     43.5     37.3

Shares created

     16,500,000       39,800,000  

Shares redeemed

     13,500,000       32,300,000  

Per share NAV beginning of period

   $ 70.54     $ 25.32  

Per share NAV end of period

   $ 80.11     $ 24.92  

Percentage change in per share NAV

     13.6     (1.6 )% 

Percentage change in benchmark

     (18.7 )%      (22.5 )% 

Benchmark annualized volatility

     56.3     102.3

 

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During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,900,000 outstanding Shares at March 31, 2017 to 9,900,000 outstanding Shares at June 30, 2017. 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 S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 20,100,000 outstanding Shares at March 31, 2016 to 27,600,000 outstanding Shares at June 30, 2016. 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 June 30, 2017 and 2016, 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 13.6% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.6% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 26, 2017 at $84.17 per Share and reached its low for the period on April 13, 2017 at $60.18 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 6, 2016 at $32.59 per Share and reached its low for the period on June 27, 2016 at $19.38 per Share.

The benchmark’s decline of 18.7% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 22.5% for the three months ended June 30, 2016, can be attributed to a lesser decline of the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (1,366,200    $ (1,510,189

Management fee

     1,516,291        1,218,924  

Brokerage commissions

     880,345        572,711  

Net realized gain (loss)

     182,927,300        77,967,418  

Change in net unrealized appreciation/depreciation

     (24,618,005      14,457,719  

Net income (loss)

   $ 156,943,095      $ 90,914,948  

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2017.

 

* 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.

 

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ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 359,949,459     $ 892,431,755  

NAV end of period

   $ 378,714,636     $ 839,613,853  

Percentage change in NAV

     5.2     (5.9 )% 

Shares outstanding beginning of period

     5,556,952       463,525  

Shares outstanding end of period

     9,631,952       920,025  

Percentage change in shares outstanding

     73.3     98.5

Shares created

     11,787,500       1,023,500  

Shares redeemed

     7,712,500       567,000  

Per share NAV beginning of period

   $ 64.77     $ 1,925.32  

Per share NAV end of period

   $ 39.32     $ 912.60  

Percentage change in per share NAV

     (39.3 )%      (52.6 )% 

Percentage change in benchmark

     (18.7 )%      (22.5 )% 

Benchmark annualized volatility

     56.3     102.3

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 5,556,952 outstanding Shares at March 31, 2017 to 9,631,952 outstanding Shares at June 30, 2017. 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 June 30, 2016, 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 S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 463,525 outstanding Shares at March 31, 2016 to 920,025 outstanding Shares at June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 39.3% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 52.6% for the three months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $86.96 per Share and reached its low for the period on June 26, 2017 at $35.93 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 11, 2016 at $2,197.60 per Share and reached its low for the period on June 30, 2016 at $912.60 per Share.

The benchmark’s decline of 18.7% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 22.5% for the three months ended June 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

    Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

Net investment income (loss)

  $ (1,224,224   $ (3,032,293

Management fee

    918,110       2,169,397  

Brokerage commissions

    901,683       1,390,754  

Net realized gain (loss)

    (153,987,419     (535,301,823

Change in net unrealized appreciation/depreciation

    30,330,056       33,049,072  

Net income (loss)

  $ (124,881,587   $ (505,285,044

 

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The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a lesser decline n the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2017.

 

* 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 splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 205,157,522     $ 223,228,004  

NAV end of period

   $ 121,175,298     $ 165,504,746  

Percentage change in NAV

     (40.9 )%      (25.9 )% 

Shares outstanding beginning of period

     5,589,884       3,439,884  

Shares outstanding end of period

     2,789,884       4,039,884  

Percentage change in shares outstanding

     (50.1 )%      17.4

Shares created

     3,200,000       4,600,000  

Shares redeemed

     6,000,000       4,000,000  

Per share NAV beginning of period

   $ 36.70     $ 64.89  

Per share NAV end of period

   $ 43.43     $ 40.97  

Percentage change in per share NAV

     18.3     (36.9 )% 

Percentage change in benchmark

     (10.5 )%      18.7

Benchmark annualized volatility

     27.7     38.6

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 5,589,884 outstanding Shares at March 31, 2017 to 2,789,884 outstanding Shares at June 30, 2017. 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 WTI Crude Oil SubindexSM. By comparison, during the three months ended June 30, 2016, 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 WTI Crude Oil SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 3,439,884 outstanding Shares at March 31, 2016 to 4,039,884 outstanding Shares at June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 18.3% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.9% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on April 11, 2017 at $32.87 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 4, 2016 at $74.28 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.

The benchmark’s decline of 10.5% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 18.7% for the three months ended June 30, 2016, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

    Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

Net investment income (loss)

  $ (120,394   $ (412,454

Management fee

    381,832       516,946  

Brokerage commissions

    19,058       39,895  

Net realized gain (loss)

    60,374,329       (109,493,254

Change in net unrealized appreciation/depreciation

    (14,881,070     19,903,264  

Net income (loss)

  $ 45,372,865     $ (90,002,444

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

 

* 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 UltraShort Bloomberg Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended June 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended June 30, 2017:

 

     Three Months
Ended June 30, 2017
 

NAV beginning of period

   $ 4,231,785  

NAV end of period

   $ 5,292,315  

Percentage change in NAV

     25.1

Shares outstanding beginning of period

     200,008  

Shares outstanding end of period

     200,008  

Percentage change in shares outstanding

     0.0

Shares created

     150,000  

Shares redeemed

     150,000  

Per share NAV beginning of period

   $ 21.16  

Per share NAV end of period

   $ 26.46  

Percentage change in per share NAV

     25.0

Percentage change in benchmark

     (10.5 )% 

Benchmark annualized volatility

     27.7

During the three months ended June 30, 2017, 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 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. There was no net change in the Fund’s outstanding Shares from March 31, 2017 to June 30, 2017.

For the three months ended June 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on April 11, 2017 at $17.91 per Share.

 

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The benchmark’s decline of 10.5% for the three months ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017:

 

     Three Months
Ended June 30, 2017
 

Net investment income (loss)

   $ (23,799

Brokerage commissions

     6,949  

Offering costs

     36,999  

Limitation by Sponsor

     (20,149

Net realized gain (loss)

     1,878,109  

Change in net unrealized appreciation/depreciation

     416,232  

Net income (loss)

   $ 2,270,542  

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016 :

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 8,037,027     $ 4,993,531  

NAV end of period

   $ 7,455,967     $ 2,550,965  

Percentage change in NAV

     (7.2 )%      (48.9 )% 

Shares outstanding beginning of period

     274,832       74,832  

Shares outstanding end of period

     224,832       74,832  

Percentage change in shares outstanding

     (18.2 )%      0.0

Shares created

     50,000       300,000  

Shares redeemed

     100,000       300,000  

Per share NAV beginning of period

   $ 29.24     $ 66.73  

Per share NAV end of period

   $ 33.16     $ 34.09  

Percentage change in per share NAV

     13.4     (48.9 )% 

Percentage change in benchmark

     (9.4 )%      31.0

Benchmark annualized volatility

     31.3     40.0

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 274,832 outstanding Shares at March 31, 2017 to 224,832 outstanding Shares at June 30, 2017. 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 June 30, 2016, 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 Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from March 31, 2016 to June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 13.4% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 48.9% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 19, 2017 at $36.17 per Share and reached its low for the period on May 12, 2017 at $25.70 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 6, 2016 at $69.79 per Share and reached its low for the period on June 30, 2016 at $34.09 per Share.

 

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The benchmark’s decline of 9.4% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 31.0% for the three months ended June 30, 2016, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (15,159    $ (31,909

Management fee

     17,846        20,104  

Brokerage commissions

     6,845        16,355  

Net realized gain (loss)

     49,239        (3,554,942

Change in net unrealized appreciation/depreciation

     880,924        (14,207

Net income (loss)

   $ 915,004      $ (3,601,058

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas, during the three months ended June 30, 2017.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016 :

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 34,150,818     $ 69,515,807  

NAV end of period

   $ 37,919,363     $ 56,037,110  

Percentage change in NAV

     11.0     (19.4 )% 

Shares outstanding beginning of period

     446,978       846,978  

Shares outstanding end of period

     496,978       796,978  

Percentage change in shares outstanding

     11.2     (5.9 )% 

Shares created

     200,000       100,000  

Shares redeemed

     150,000       150,000  

Per share NAV beginning of period

   $ 76.40     $ 82.08  

Per share NAV end of period

   $ 76.30     $ 70.31  

Percentage change in per share NAV

     (0.1 )%      (14.3 )% 

Percentage change in benchmark

     (0.2 )%      6.8

Benchmark annualized volatility

     11.1     17.7

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 446,978 outstanding Shares at March 31, 2017 to 496,978 outstanding Shares at June 30, 2017. 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 846,978 outstanding Shares at March 31, 2016 to 796,978 outstanding Shares at June 30, 2016. 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. LBMA Gold Price.

 

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For the three months ended June 30, 2017 and 2016, 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 0.1% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 14.3% for the three months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 9, 2017 at $79.26 per Share and reached its low for the period on June 6, 2017 at $70.47 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $85.16 per Share and reached its low for the period on June 27, 2016 at $69.95 per Share.

The benchmark’s decline of 0.2% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2016, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

    Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

Net investment income (loss)

  $ (18,164   $ (114,810

Management fee

    83,084       159,878  

Brokerage commissions

    10       8  

Net realized gain (loss)

    (3,423,708     (256,423

Change in net unrealized appreciation/depreciation

    3,810,157       (9,930,237

Net income (loss)

  $ 368,285     $ (10,301,470

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

 

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ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 18,125,235     $ 50,479,106  

NAV end of period

   $ 23,175,549     $ 32,067,220  

Percentage change in NAV

     27.9     (36.5 )% 

Shares outstanding beginning of period

     616,976       1,016,976  

Shares outstanding end of period

     666,976       966,976  

Percentage change in shares outstanding

     8.1     (4.9 )% 

Shares created

     300,000       250,000  

Shares redeemed

     250,000       300,000  

Per share NAV beginning of period

   $ 29.38     $ 49.64  

Per share NAV end of period

   $ 34.75     $ 33.16  

Percentage change in per share NAV

     18.3     (33.2 )% 

Percentage change in benchmark

     (8.8 )%      19.4

Benchmark annualized volatility

     16.5     25.3

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 616,976 outstanding Shares at March 31, 2017 to 666,976 outstanding Shares at June 30, 2017. 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 silver bullion as measured by the London Silver Price. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,016,976 outstanding Shares at March 31, 2016 to 966,976 outstanding Shares at June 30, 2016. 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 London Silver Price.

For the three months ended June 30, 2017 and 2016, 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 18.3% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 33.2% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 9, 2017 at $36.09 per Share and reached its low for the period on April 13, 2017 at $27.71 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 4, 2016 at $52.34 per Share and reached its low for the period on June 30, 2016 at $33.16 per Share.

The benchmark’s decline of 8.8% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 19.4% for the three months ended June 30, 2016, can be attributed to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

    Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

Net investment income (loss)

  $ (14,368   $ (70,289

Management fee

    50,752       99,330  

Brokerage commissions

    19       17  

Net realized gain (loss)

    631,092       (6,440,229

Change in net unrealized appreciation/depreciation

    3,022,758       (9,544,661

Net income (loss)

  $ 3,639,482     $ (16,055,179

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 15,578,470     $ 14,594,528  

NAV end of period

   $ 10,433,992     $ 17,125,648  

Percentage change in NAV

     (33.0 )%      17.3

Shares outstanding beginning of period

     350,000       350,000  

Shares outstanding end of period

     250,000       400,000  

Percentage change in shares outstanding

     (28.6 )%      14.3

Shares created

     —         50,000  

Shares redeemed

     100,000       —    

Per share NAV beginning of period

   $ 44.51     $ 41.70  

Per share NAV end of period

   $ 41.74     $ 42.81  

Percentage change in per share NAV

     (6.2 )%      2.7

Percentage change in benchmark

     7.1     (2.5 )% 

Benchmark annualized volatility

     7.4     9.1

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at March 31, 2017 to 250,000 outstanding Shares at June 30, 2017. 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. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 350,000 outstanding Shares at March 31, 2016 to 400,000 outstanding Shares at June 30, 2016. 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.

For the three months ended June 30, 2017 and 2016, 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 decrease of 6.2% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 2.7% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

 

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During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 10, 2017 at $44.89 per Share and reached its low for the period on June 29, 2017 at $41.66 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $43.03 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 7.1% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2016, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

    Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

Net investment income (loss)

  $ (11,755   $ (31,107

Management fee

    34,086       38,959  

Brokerage commissions

    453       679  

Net realized gain (loss)

    (818,040     (472,606

Change in net unrealized appreciation/depreciation

    (66,049     925,451  

Net income (loss)

  $ (895,844   $ 421,738  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 14,625,590     $ 18,028,199  

NAV end of period

   $ 11,974,974     $ 18,713,405  

Percentage change in NAV

     (18.1 )%      3.8

Shares outstanding beginning of period

     300,000       350,000  

Shares outstanding end of period

     250,000       350,000  

Percentage change in shares outstanding

     (16.7 )%      0.0

Shares created

     —         —    

Shares redeemed

     50,000       —    

Per share NAV beginning of period

   $ 48.75     $ 51.51  

Per share NAV end of period

   $ 47.90     $ 53.47  

Percentage change in per share NAV

     (1.7 )%      3.8

Percentage change in benchmark

     0.6     (2.7 )% 

Benchmark annualized volatility

     7.1     13.2

 

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During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at March 31, 2017 to 250,000 outstanding Shares at June 30, 2017. 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. By comparison, during the three months ended June 30, 2016, 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 Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2016 to June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 1.7% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 3.8% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

 

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 9, 2017 at $52.68 per Share and reached its low for the period on June 29, 2017 at $47.90 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 24, 2016 at $58.10 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 0.6% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.7% for the three months ended June 30, 2016, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

    Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

Net investment income (loss)

  $ (15,526   $ (36,158

Management fee

    34,714       44,642  

Brokerage commissions

    2,065       3,774  

Net realized gain (loss)

    64,821       (454,834

Change in net unrealized appreciation/depreciation

    (207,466     1,176,198  

Net income (loss)

  $ (158,171   $ 685,206  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2017.

 

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 297,181,632     $ 398,948,519  

NAV end of period

   $ 237,012,906     $ 386,660,905  

Percentage change in NAV

     (20.2 )%      (3.1 )% 

Shares outstanding beginning of period

     11,250,000       17,200,000  

Shares outstanding end of period

     10,250,000       15,900,000  

Percentage change in shares outstanding

     (8.9 )%      (7.6 )% 

Shares created

     150,000       200,000  

Shares redeemed

     1,150,000       1,500,000  

Per share NAV beginning of period

   $ 26.42     $ 23.19  

Per share NAV end of period

   $ 23.12     $ 24.32  

Percentage change in per share NAV

     (12.5 )%      4.9

Percentage change in benchmark

     7.1     (2.5 )% 

Benchmark annualized volatility

     7.4     9.1

 

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,250,000 outstanding Shares at March 31, 2017 to 10,250,000 outstanding Shares at June 30, 2017. 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. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 17,200,000 outstanding Shares at March 31, 2016 to 15,900,000 outstanding Shares at June 30, 2016. 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 euro versus the U.S. dollar.

For the three months ended June 30, 2017 and 2016, 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 June 30, 2017, as compared to the Fund’s per Share NAV increase of 4.9% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

 

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 7, 2017 at $26.79 per Share and reached its low for the period on June 29, 2017 at $23.04 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $24.67 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 7.1% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2016, can be attributed to rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (125,473    $ (666,494

Management fee

     633,812        921,922  

Net realized gain (loss)

     (36,509,511      (26,134,024

Change in net unrealized appreciation/depreciation

     1,704,360        45,094,110  

Net income (loss)

   $ (34,930,624    $ 18,293,592  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 221,231,848     $ 175,927,655  

NAV end of period

   $ 170,316,152     $ 193,732,080  

Percentage change in NAV

     (23.0 )%      10.1

Shares outstanding beginning of period

     3,049,290       2,299,290  

Shares outstanding end of period

     2,299,290       3,049,290  

Percentage change in shares outstanding

     (24.6 )%      32.6

Shares created

     —         750,000  

Shares redeemed

     750,000       —    

Per share NAV beginning of period

   $ 72.55     $ 76.51  

Per share NAV end of period

   $ 74.07     $ 63.53  

Percentage change in per share NAV

     2.1     (17.0 )% 

Percentage change in benchmark

     (1.0 )%      9.0

Benchmark annualized volatility

     8.0     14.6

 

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 3,049,290 outstanding Shares at March 31, 2017 to 2,299,290 outstanding Shares at June 30, 2017. 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 June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,299,290 outstanding Shares at March 31, 2016 to 3,049,290 outstanding Shares at June 30, 2016. 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 spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 30, 2017 and 2016, 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 2.1% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 17.0% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

 

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During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 10, 2017 at $76.41 per Share and reached its low for the period on April 18, 2017 at $68.84 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $75.29 per Share and reached its low for the period on June 27, 2016 at $62.01 per Share.

The benchmark’s decline of 1.0% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 9.0% for the three months ended June 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (97,161    $ (324,778

Management fee

     457,413        429,269  

Net realized gain (loss)

     (16,191,328      (15,080,369

Change in net unrealized appreciation/depreciation

     19,230,799        (17,985,087

Net income (loss)

   $ 2,942,310      $ (33,390,234

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2017.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 883,692,281     $ 807,934,402  

NAV end of period

   $ 958,703,511     $ 898,563,742  

Percentage change in NAV

     8.5     11.2

Shares outstanding beginning of period

     46,611,317       44,913,933  

Shares outstanding end of period

     64,761,317       36,938,933  

Percentage change in shares outstanding

     38.9     (17.8 )% 

Shares created

     39,500,000       5,975,000  

Shares redeemed

     21,350,000       13,950,000  

Per share NAV beginning of period

   $ 18.96     $ 17.99  

Per share NAV end of period

   $ 14.80     $ 24.33  

Percentage change in per share NAV

     (21.9 )%      35.3

Percentage change in benchmark

     (10.5 )%      18.7

Benchmark annualized volatility

     27.7     38.6

 

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During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 46,611,317 outstanding Shares at March 31, 2017 to 64,761,317 outstanding Shares at June 30, 2017. 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 June 30, 2016, 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 WTI Crude Oil SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 44,913,933 outstanding Shares at March 31, 2016 to 36,938,933 outstanding Shares at June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 21.9% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 35.3% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

 

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $21.09 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on April 4, 2016 at $15.54 per Share.

The benchmark’s decline of 10.5% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 18.7% for the three months ended June 30, 2016, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (509,922    $ (1,768,802

Management fee

     2,013,640        2,100,452  

Brokerage commissions

     68,950        166,881  

Net realized gain (loss)

     (168,598,236      366,695,141  

Change in net unrealized appreciation/depreciation

     28,789,192        (70,503,063

Net income (loss)

   $ (140,318,966    $ 294,423,276  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

 

* 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 ProShares Ultra Bloomberg Crude Oil.

 

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ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended June 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended June 30, 2017:

 

     Three Months
Ended June 30, 2017
 

NAV beginning of period

   $ 5,849,001  

NAV end of period

   $ 20,499,886  

Percentage change in NAV

     250.5

Shares outstanding beginning of period

     200,008  

Shares outstanding end of period

     1,050,008  

Percentage change in shares outstanding

     425.0

Shares created

     950,000  

Shares redeemed

     100,000  

Per share NAV beginning of period

   $ 29.24  

Per share NAV end of period

   $ 19.52  

Percentage change in per share NAV

     (33.2 )% 

Percentage change in benchmark

     (10.5 )% 

Benchmark annualized volatility

     27.7

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 200,008 outstanding Shares at March 31, 2017 to 1,050,008 outstanding Shares at June 30, 2017. 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 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended June 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s decline of 10.5% for the three months ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017:

 

     Three Months
Ended June 30, 2017
 

Net investment income (loss)

   $ (40,999

Brokerage commissions

     10,401  

Offering costs

     36,999  

Limitation by Sponsor

     (6,401

Net realized gain (loss)

     (1,832,876

Change in net unrealized appreciation/depreciation

     (272,129

Net income (loss)

   $ (2,146,004

 

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ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 47,154,853     $ 28,612,516  

NAV end of period

   $ 43,886,614     $ 43,355,961  

Percentage change in NAV

     (6.9 )%      51.5

Shares outstanding beginning of period

     3,842,169       2,642,169  

Shares outstanding end of period

     4,492,169       2,442,169  

Percentage change in shares outstanding

     16.9     (7.6 )% 

Shares created

     1,250,000       400,000  

Shares redeemed

     600,000       600,000  

Per share NAV beginning of period

   $ 12.27     $ 10.83  

Per share NAV end of period

   $ 9.77     $ 17.75  

Percentage change in per share NAV

     (20.4 )%      63.9

Percentage change in benchmark

     (9.4 )%      31.0

Benchmark annualized volatility

     31.3     40.0

 

During the three months ended June 30, 2017, 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 in the Fund’s NAV was offset by an increase from 3,842,169 outstanding Shares at March 31, 2017 to 4,492,169 outstanding Shares at June 30, 2017. By comparison, during the three months ended June 30, 2016, 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 Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 2,642,169 outstanding Shares at March 31, 2016 to 2,442,169 outstanding Shares at June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 20.4% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 63.9% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

 

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 12, 2017 at $13.37 per Share and reached its low for the period on June 19, 2017 at $9.02 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $17.75 per Share and reached its low for the period on April 6, 2016 at $10.29 per Share.

The benchmark’s decline of 9.4% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 31.0% for the three months ended June 30, 2016, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (61,668    $ (100,326

Management fee

     99,053        75,122  

Brokerage commissions

     25,411        40,615  

Net realized gain (loss)

     (4,648,302      10,485,336  

Change in net unrealized appreciation/depreciation

     (3,331,224      7,851,936  

Net income (loss)

   $ (8,041,194    $ 18,236,946  

 

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The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 97,753,642     $ 91,724,555  

NAV end of period

   $ 88,717,834     $ 100,789,893  

Percentage change in NAV

     (9.2 )%      9.9

Shares outstanding beginning of period

     2,550,000       2,300,000  

Shares outstanding end of period

     2,350,000       2,250,000  

Percentage change in shares outstanding

     (7.8 )%      (2.2 )% 

Shares created

     50,000       –    

Shares redeemed

     250,000       50,000  

Per share NAV beginning of period

   $ 38.33     $ 39.88  

Per share NAV end of period

   $ 37.75     $ 44.80  

Percentage change in per share NAV

     (1.5 )%      12.3

Percentage change in benchmark

     (0.2 )%      6.8

Benchmark annualized volatility

     11.1     17.7

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at March 31, 2017 to 2,350,000 outstanding Shares at June 30, 2017. 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 June 30, 2016, 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. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,300,000 outstanding Shares at March 31, 2016 to 2,250,000 outstanding Shares at June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 1.5% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 12.3% for the three months ended June 30, 2016 was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

 

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 6, 2017 at $41.06 per Share and reached its low for the period on May 9, 2017 at $36.67 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $45.07 per Share and reached its low for the period on May 31, 2016 at $37.96 per Share.

The benchmark’s decline of 0.2% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2016, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (46,666    $ (161,625

Management fee

     225,316        221,251  

Brokerage commissions

     10        8  

Net realized gain (loss)

     8,452,994        (4,909,360

Change in net unrealized appreciation/depreciation

     (9,841,138      16,122,144  

Net income (loss)

   $ (1,434,810    $ 11,051,159  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 306,366,355     $ 263,338,473  

NAV end of period

   $ 245,798,564     $ 386,838,399  

Percentage change in NAV

     (19.8 )%      46.9

Shares outstanding beginning of period

     7,546,526       8,046,526  

Shares outstanding end of period

     7,396,526       8,496,526  

Percentage change in shares outstanding

     (2.0 )%      5.6

Shares created

     650,000       700,000  

Shares redeemed

     800,000       250,000  

Per share NAV beginning of period

   $ 40.60     $ 32.73  

Per share NAV end of period

   $ 33.23     $ 45.53  

Percentage change in per share NAV

     (18.2 )%      39.1

Percentage change in benchmark

     (8.8 )%      19.4

Benchmark annualized volatility

     16.5     25.3

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,546,526 outstanding Shares at March 31, 2017 to 7,396,526 outstanding Shares at June 30, 2017. 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 silver bullion as measured by the London Silver Price. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 8,046,526 outstanding Shares at March 31, 2016 to 8,496,526 outstanding Shares at June 30, 2016. 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 London Silver Price.

For the three months ended June 30, 2017 and 2016, 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 18.2% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 39.1% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

 

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During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on May 9, 2017 at $32.50 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $45.53 per Share and reached its low for the period on April 4, 2016 at $30.92 per Share.

The benchmark’s decline of 8.8% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 19.4% for the three months ended June 30, 2016, can be attributed to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30,
2016
 

Net investment income (loss)

   $ (132,432    $ (553,155

Management fee

     651,232        741,794  

Brokerage commissions

     29        17  

Net realized gain (loss)

     (10,939,045      21,386,515  

Change in net unrealized appreciation/depreciation

     (41,673,877      86,616,491  

Net income (loss)

   $ (52,745,354    $ 107,449,851  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 14,244,522     $ 10,961,778  

NAV end of period

   $ 12,928,079     $ 9,532,904  

Percentage change in NAV

     (9.2 )%      (13.0 )% 

Shares outstanding beginning of period

     1,000,000       650,000  

Shares outstanding end of period

     800,000       600,000  

Percentage change in shares outstanding

     (20.0 )%      (7.7 )% 

Shares created

     550,000       50,000  

Shares redeemed

     750,000       100,000  

Per share NAV beginning of period

   $ 14.24     $ 16.86  

Per share NAV end of period

   $ 16.16     $ 15.89  

Percentage change in per share NAV

     13.5     (5.8 )% 

Percentage change in benchmark

     7.1     (2.5 )% 

Benchmark annualized volatility

     7.4     9.1

 

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During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,000,000 outstanding Shares at March 31, 2017 to 800,000 outstanding Shares at June 30, 2017. 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 spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at March 31, 2016 to 600,000 outstanding Shares at June 30, 2016. 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 the spot price of the euro versus the U.S. dollar.

For the three months ended June 30, 2017 and 2016, 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 13.5% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 29, 2017 at $16.22 per Share and reached its low for the period on April 7, 2017 at $14.04 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 2, 2016 at $17.23 per Share and reached its low for the period on June 27, 2016 at $15.67 per Share.

The benchmark’s rise of 7.1% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2016, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (9,508    $ (16,403

Management fee

     34,480        23,237  

Net realized gain (loss)

     2,035,324        605,256  

Change in net unrealized appreciation/depreciation

     (10,060      (1,163,117

Net income (loss)

   $ 2,015,756      $ (574,264

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

 

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ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
    Three Months
Ended June 30, 2016
 

NAV beginning of period

   $ 6,039,723     $ 6,194,007  

NAV end of period

   $ 5,866,403     $ 7,265,264  

Percentage change in NAV

     (2.9 )%      17.3

Shares outstanding beginning of period

     99,970       99,970  

Shares outstanding end of period

     99,970       99,970  

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —         —    

Shares redeemed

     —         —    

Per share NAV beginning of period

   $ 60.42     $ 61.96  

Per share NAV end of period

   $ 58.68     $ 72.67  

Percentage change in per share NAV

     (2.9 )%      17.3

Percentage change in benchmark

     (1.0 )%      9.0

Benchmark annualized volatility

     8.0     14.6

During the three months ended June 30, 2017, 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 Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2017 to June 30, 2017. By comparison, during the three months ended June 30, 2016, 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 March 31, 2016 to June 30, 2016.

For the three months ended June 30, 2017 and 2016, 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 2.9% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 17.3% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on May 10, 2017 at $57.18 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $74.48 per Share and reached its low for the period on April 22, 2016 at $62.83 per Share.

The benchmark’s decline of 1.0% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 9.0% for the three months ended June 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:

 

     Three Months
Ended June 30, 2017
     Three Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (7,450    $ (11,556

Management fee

     14,326        15,811  

Net realized gain (loss)

     424,094        485,862  

Change in net unrealized appreciation/depreciation

     (589,964      596,951  

Net income (loss)

   $ (173,320    $ 1,071,257  

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2017.

 

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Results of Operations for the Six Months Ended June 30, 2017 Compared to the Six Months Ended June 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 174,160,146     $ 105,272,823  

NAV end of period

   $ 162,053,094     $ 190,955,944  

Percentage change in NAV

     (7.0 )%      81.4

Shares outstanding beginning of period

     2,052,363       397,491  

Shares outstanding end of period

     3,796,113       1,057,491  

Percentage change in shares outstanding

     85.0     166.0

Shares created

     3,018,750       1,346,250  

Shares redeemed

     1,275,000       686,250  

Per share NAV beginning of period

   $ 84.86     $ 264.84  

Per share NAV end of period

   $ 42.69     $ 180.57  

Percentage change in per share NAV

     (49.7 )%      (31.8 )% 

Percentage change in benchmark

     (49.4 )%      (31.6 )% 

Benchmark annualized volatility

     46.3     88.5

During the six months ended June 30, 2017, 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,052,363 outstanding Shares at December 31, 2016 to 3,796,113 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,057,491 outstanding Shares at June 30, 2016. 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.

For the six months ended June 30, 2017 and 2016, 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 49.7% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.8% for the six months ended June 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on June 26, 2017 at $40.75 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on June 6, 2016 at $170.20 per Share.

The benchmark’s decline of 49.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 31.6% for the six months ended June 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (294,989    $ (708,321

Management fee

     622,968        735,862  

Brokerage commission

     79,244        153,034  

Net realized gain (loss)

     (98,756,862      (32,558,408

Change in net unrealized appreciation/depreciation

     (637,918      (15,251,572

Net income (loss)

   $ (99,689,769    $ (48,518,301

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the six months ended June 30, 2017.

 

* 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 VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 45,818,914     $ 27,650,638  

NAV end of period

   $ 30,550,943     $ 42,224,892  

Percentage change in NAV

     (33.3 )%      52.7

Shares outstanding beginning of period

     1,087,403       512,404  

Shares outstanding end of period

     1,112,403       812,403  

Percentage change in shares outstanding

     2.3     58.5

Shares created

     175,000       425,000  

Shares redeemed

     150,000       125,001  

Per share NAV beginning of period

   $ 42.14     $ 53.96  

Per share NAV end of period

   $ 27.46     $ 51.98  

Percentage change in per share NAV

     (34.8 )%      (3.7 )% 

Percentage change in benchmark

     (34.4 )%      (3.3 )% 

Benchmark annualized volatility

     18.1     42.7

During the six months ended June 30, 2017, 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,087,403 outstanding Shares at December 31, 2016 to 1,112,403 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 812,403 outstanding Shares at June 30, 2016. 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.

 

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For the six months ended June 30, 2017 and 2016, 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 34.8% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.7% for the six months ended June 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

 

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on June 28, 2017 at $27.30 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on June 23, 2016 at $49.89 per Share.

The benchmark’s decline of 34.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 3.3% for the six months ended June 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (67,708    $ (121,236

Management fee

     155,244        142,725  

Brokerage commission

     5,051        12,609  

Net realized gain (loss)

     (15,215,578      (349,207

Change in net unrealized appreciation/depreciation

     (1,017,185      (766,663

Net income (loss)

   $ (16,300,471    $ (1,237,106

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in futures prices during the six months ended June 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 228,075,387     $ 642,811,361  

NAV end of period

   $ 793,060,423     $ 687,712,265  

Percentage change in NAV

     247.7     7.0

Shares outstanding beginning of period

     5,000,000       25,300,080  

Shares outstanding end of period

     9,900,000       27,600,000  

Percentage change in shares outstanding

     98.0     9.1

Shares created

     29,000,000       69,600,000  

Shares redeemed

     24,100,000       67,300,080  

Per share NAV beginning of period

   $ 45.62     $ 25.41  

Per share NAV end of period

   $ 80.11     $ 24.92  

Percentage change in per share NAV

     75.6     (1.9 )% 

Percentage change in benchmark

     (49.4 )%      (31.6 )% 

Benchmark annualized volatility

     46.3     88.5

 

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During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000 outstanding Shares at December 31, 2016 to 9,900,000 outstanding Shares at June 30, 2017. 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 S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 25,300,080 outstanding Shares at December 31, 2015 to 27,600,000 outstanding Shares at June 30, 2016. 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 six months ended June 30, 2017 and 2016, 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 75.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.9% for the six months ended June 30, 2016, was primarily due to a decline in prices of the first and second month VIX futures during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 26, 2017 at $84.17 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 6, 2016 at $32.59 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.

The benchmark’s decline of 49.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 31.6% for the six months ended June 30, 2016, can be attributed to a greater decline of the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (2,272,392    $ (3,065,043

Management fee

     2,260,276        2,610,743  

Brokerage commission

     1,394,810        1,053,458  

Net realized gain (loss)

     282,816,334        (14,242,969

Change in net unrealized appreciation/depreciation

     4,519,029        68,505,168  

Net income (loss)

   $ 285,062,971      $ 51,197,156  

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in futures prices during the six months ended June 30, 2017.

 

* 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.

 

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ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 515,758,754     $ 547,708,740  

NAV end of period

   $ 378,714,636     $ 839,613,853  

Percentage change in NAV

     (26.6 )%      53.3

Shares outstanding beginning of period

     2,965,383       195,025  

Shares outstanding end of period

     9,631,952       920,025  

Percentage change in shares outstanding

     224.8     371.7

Shares created

     17,785,000       1,500,500  

Shares redeemed

     11,118,431       775,500  

Per share NAV beginning of period

   $ 173.93     $ 2,808.40  

Per share NAV end of period

   $ 39.32     $ 912.60  

Percentage change in per share NAV

     (77.4 )%      (67.5 )% 

Percentage change in benchmark

     (49.4 )%      (31.6 )% 

Benchmark annualized volatility

     46.3     88.5

During the six months ended June 30, 2017, 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 S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,965,383 outstanding Shares at December 31, 2016 to 9,631,952 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 920,025 outstanding Shares at June 30, 2016. 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 six months ended June 30, 2017 and 2016, 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 77.4% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 67.5% for the six months ended June 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $147.20 per Share and reached its low for the period on June 26, 2017 at $35.93 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $5,715.40 per Share and reached its low for the period on June 30, 2016 at $912.60 per Share.

The benchmark’s decline of 49.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 31.6% for the six months ended June 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (2,541,734    $ (4,681,300

Management fee

     1,839,772        3,381,298  

Brokerage commission

     1,668,516        2,126,665  

Net realized gain (loss)

     (519,524,922      (524,123,173

Change in net unrealized appreciation/depreciation

     1,737,284        (190,156,030

Net income (loss)

   $ (520,329,372    $ (718,960,503

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in futures prices during the six months ended June 30, 2017.

 

* 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 splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 200,958,303     $ 95,897,894  

NAV end of period

   $ 121,175,298     $ 165,504,746  

Percentage change in NAV

     (39.7 )%      72.6

Shares outstanding beginning of period

     6,339,884       1,439,888  

Shares outstanding end of period

     2,789,884       4,039,884  

Percentage change in shares outstanding

     (56.0 )%      180.6

Shares created

     5,300,000       10,000,000  

Shares redeemed

     8,850,000       7,400,004  

Per share NAV beginning of period

   $ 31.70     $ 66.60  

Per share NAV end of period

   $ 43.43     $ 40.97  

Percentage change in per share NAV

     37.0     (38.5 )% 

Percentage change in benchmark

     (18.5 )%      4.9

Benchmark annualized volatility

     25.5     50.6

 

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 6,339,884 outstanding Shares at December 31, 2016 to 2,789,884 outstanding Shares at June 30, 2017. 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 WTI Crude Oil SubindexSM. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,039,884 outstanding Shares at June 30, 2016. 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.

For the six months ended June 30, 2017 and 2016, 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 37.0% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 38.5% for the six months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

 

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During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $116.11 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.

The benchmark’s decline of 18.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 4.9% for the six months ended June 30, 2016, can be attributed to a decrease in the price of WTI Crude Oil during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (411,094    $ (749,456

Management fee

     917,856        885,196  

Brokerage commission

     32,780        97,759  

Net realized gain (loss)

     59,224,854        (87,186,302

Change in net unrealized appreciation/depreciation

     25,048,184        3,166,118  

Net income (loss)

   $ 83,861,944      $ (84,769,640

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the six months ended June 30, 2017.

 

* 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 UltraShort Bloomberg Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended June 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended June 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to June 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through

June 30, 2017
 

NAV beginning of period

   $ 200  

NAV end of period

   $ 5,292,315  

Percentage change in NAV

     —   NM 

Shares outstanding beginning of period

     8  

Shares outstanding end of period

     200,008  

Percentage change in shares outstanding

     —   NM 

Shares created

     350,008  

Shares redeemed

     150,000  

Per share NAV beginning of period

   $ 25.00  

Per share NAV end of period

   $ 26.46  

Percentage change in per share NAV

     5.8

Percentage change in benchmark

     (5.6 )% 

Benchmark annualized volatility

     27.1

NM — Not Meaningful

 

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During the period ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 200,008 outstanding Shares at June 30, 2017. 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 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended June 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

 

During the period ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on April 11, 2017 at $17.91 per Share.

The benchmark’s decline of 5.6% for the period ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to June 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through

June 30, 2017
 

Net investment income (loss)

   $ (25,630

Brokerage commission

     7,901  

Offering costs

     39,845  

Limitation by Sponsor

     (22,116

Net realized gain (loss)

     1,772,343  

Change in net unrealized appreciation/depreciation

     (245,274

Net income (loss)

   $ 1,501,439  

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 4,038,794     $ 10,462,856  

NAV end of period

   $ 7,455,967     $ 2,550,965  

Percentage change in NAV

     84.6     (75.6 )% 

Shares outstanding beginning of period

     174,832       224,856  

Shares outstanding end of period

     224,832       74,832  

Percentage change in shares outstanding

     28.6     (66.7 )% 

Shares created

     150,000       450,000  

Shares redeemed

     100,000       600,024  

Per share NAV beginning of period

   $ 23.10     $ 46.53  

Per share NAV end of period

   $ 33.16     $ 34.09  

Percentage change in per share NAV

     43.5     (26.7 )% 

Percentage change in benchmark

     (24.8 )%      2.3

Benchmark annualized volatility

     37.2     41.2

 

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During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 174,832 outstanding Shares at December 31, 2016 to 224,832 outstanding Shares at June 30, 2017. 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 Natural Gas SubindexSM. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 74,832 outstanding Shares at June 30, 2016. 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 Bloomberg Natural Gas SubindexSM.

For the six months ended June 30, 2017 and 2016, 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 43.5% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 26.7% for the six months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the six months June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on June 30, 2016 at $34.09 per Share.

The benchmark’s decline of 24.8% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.3% for the six months ended June 30, 2016, can be attributed to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (30,975    $ (88,207

Management fee

     33,091        57,023  

Brokerage commission

     12,357        45,302  

Net realized gain (loss)

     1,907,361        560,517  

Change in net unrealized appreciation/depreciation

     215,045        2,090,668  

Net income (loss)

   $ 2,091,431      $ 2,562,978  

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2017.

 

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ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 63,653,647     $ 74,971,764  

NAV end of period

   $ 37,919,363     $ 56,037,110  

Percentage change in NAV

     (40.4 )%      (25.3 )% 

Shares outstanding beginning of period

     696,978       646,978  

Shares outstanding end of period

     496,978       796,978  

Percentage change in shares outstanding

     (28.7 )%      23.2

Shares created

     250,000       700,000  

Shares redeemed

     450,000       550,000  

Per share NAV beginning of period

   $ 91.33     $ 115.88  

Per share NAV end of period

   $ 76.30     $ 70.31  

Percentage change in per share NAV

     (16.5 )%      (39.3 )% 

Percentage change in benchmark

     8.4     24.6

Benchmark annualized volatility

     12.3     19.4

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 outstanding Shares at June 30, 2017. 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. LBMA Gold Price. By comparison, during the six months ended June 30, 2016, 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The decrease in the Fund’s NAV was offset by an increase from 646,978 outstanding Shares at December 31, 2015 to 796,978 outstanding Shares at June 30, 2016.

For the six months ended June 30, 2017 and 2016, 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 16.5% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.3% for the six months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on June 6, 2017 at $70.47 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on June 27, 2016 at $69.95 per Share.

The benchmark’s rise of 8.4% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 24.6% for the six months ended June 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (65,041    $ (231,750

Management fee

     181,359        305,990  

Brokerage commission

     29        25  

Net realized gain (loss)

     (8,295,869      (19,669,579

Change in net unrealized appreciation/depreciation

     (400,322      (9,998,304

Net income (loss)

   $ (8,761,232    $ (29,899,633

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms and lower Net Asset Value during the six months ended June 30, 2017, as compared to the six months ended June 30, 2016.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 23,017,656     $ 55,987,938  

NAV end of period

   $ 23,175,549     $ 32,067,220  

Percentage change in NAV

     0.7     (42.7 )% 

Shares outstanding beginning of period

     616,976       866,978  

Shares outstanding end of period

     666,976       966,976  

Percentage change in shares outstanding

     8.1     11.5

Shares created

     500,000       1,000,000  

Shares redeemed

     450,000       900,002  

Per share NAV beginning of period

   $ 37.31     $ 64.58  

Per share NAV end of period

   $ 34.75     $ 33.16  

Percentage change in per share NAV

     (6.9 )%      (48.7 )% 

Percentage change in benchmark

     1.4     32.9

Benchmark annualized volatility

     17.9     25.6

During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 616,976 outstanding Shares at December 31, 2016 to 666,976 outstanding Shares at June 30, 2017. 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 six months ended June 30, 2016, 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 silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 966,976 outstanding Shares at June 30, 2016.

For the six months ended June 30, 2017 and 2016, 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 6.9% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 48.7% for the six months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

 

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During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $38.64 per Share and reached its low for the period on April 13, 2017 at $27.71 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on June 30, 2016 at $33.16 per Share.

The benchmark’s rise of 1.4% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 32.9% for the six months ended June 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (37,928    $ (146,024

Management fee

     96,805        194,741  

Brokerage commission

     29        25  

Net realized gain (loss)

     (2,226,293      (11,791,694

Change in net unrealized appreciation/depreciation

     1,139,511        (13,772,989

Net income (loss)

   $ (1,124,710    $ (25,710,707

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 15,770,088     $ 17,510,898  

NAV end of period

   $ 10,433,992     $ 17,125,648  

Percentage change in NAV

     (33.8 )%      (2.2 )% 

Shares outstanding beginning of period

     350,000       400,005  

Shares outstanding end of period

     250,000       400,000  

Percentage change in shares outstanding

     (28.6 )%      0.0 %^ 

Shares created

     —         50,000  

Shares redeemed

     100,000       50,005  

Per share NAV beginning of period

   $ 45.06     $ 43.78  

Per share NAV end of period

   $ 41.74     $ 42.81  

Percentage change in per share NAV

     (7.4 )%      (2.2 )% 

Percentage change in benchmark

     8.5     2.1

Benchmark annualized volatility

     7.4     9.3

 

^ Amount represents less than 0.05%.

 

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During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 250,000 outstanding Shares at June 30, 2017. 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. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 400,000 outstanding Shares at June 30, 2016. 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 six months ended June 30, 2017 and 2016, 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 decrease of 7.4% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on June 29, 2017 at $41.66 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 8.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.1% for the six months ended June 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (33,276    $ (66,252

Management fee

     70,653        79,492  

Brokerage commission

     1,103        1,429  

Net realized gain (loss)

     (735,783      (526,767

Change in net unrealized appreciation/depreciation

     (318,403      218,418  

Net income (loss)

   $ (1,087,462    $ (374,601

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

 

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ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 16,613,473     $ 20,460,679  

NAV end of period

   $ 11,974,974     $ 18,713,405  

Percentage change in NAV

     (27.9 )%      (8.5 )% 

Shares outstanding beginning of period

     300,000       350,005  

Shares outstanding end of period

     250,000       350,000  

Percentage change in shares outstanding

     (16.7 )%      0.0 %^ 

Shares created

     —         —    

Shares redeemed

     50,000       5  

Per share NAV beginning of period

   $ 55.38     $ 58.46  

Per share NAV end of period

   $ 47.90     $ 53.47  

Percentage change in per share NAV

     (13.5 )%      (8.5 )% 

Percentage change in benchmark

     6.5     2.3

Benchmark annualized volatility

     7.6     13.2

 

^ Amount represents less than 0.05%.

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 250,000 outstanding Shares at June 30, 2017. 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. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at June 30, 2016. 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 six months ended June 30, 2017 and 2016, 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 13.5% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 8.5% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on March 20, 2017 at $47.67 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 6.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.3% for the six months ended June 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (38,855    $ (81,187

Management fee

     69,846        93,486  

Brokerage commission

     4,533        7,744  

Net realized gain (loss)

     (467,406      (2,143,273

Change in net unrealized appreciation/depreciation

     (1,639,793      477,500  

Net income (loss)

   $ (2,146,054    $ (1,746,960

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 349,392,650     $ 522,306,518  

NAV end of period

   $ 237,012,906     $ 386,660,905  

Percentage change in NAV

     (32.2 )%      (26.0 )% 

Shares outstanding beginning of period

     12,900,000       20,450,014  

Shares outstanding end of period

     10,250,000       15,900,000  

Percentage change in shares outstanding

     (20.5 )%      (22.2 )% 

Shares created

     450,000       450,000  

Shares redeemed

     3,100,000       5,000,014  

Per share NAV beginning of period

   $ 27.08     $ 25.54  

Per share NAV end of period

   $ 23.12     $ 24.32  

Percentage change in per share NAV

     (14.6 )%      (4.8 )% 

Percentage change in benchmark

     8.5     2.1

Benchmark annualized volatility

     7.4     9.3

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,250,000 outstanding Shares at June 30, 2017. 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. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,900,000 outstanding Shares at June 30, 2016. 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 six months ended June 30, 2017 and 2016, 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 14.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.8% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

 

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During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on June 29, 2017 at $23.04 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 8.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.1% for the six months ended June 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (484,494    $ (1,471,447

Management fee

     1,377,577        1,988,314  

Net realized gain (loss)

     (20,831,517      (55,056,068

Change in net unrealized appreciation/depreciation

     (22,363,154      32,984,986  

Net income (loss)

   $ (43,679,165    $ (23,542,529

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 276,781,747     $ 237,372,900  

NAV end of period

   $ 170,316,152     $ 193,732,080  

Percentage change in NAV

     (38.5 )%      (18.4 )% 

Shares outstanding beginning of period

     3,449,290       2,699,294  

Shares outstanding end of period

     2,299,290       3,049,290  

Percentage change in shares outstanding

     (33.3 )%      13.0

Shares created

     750,000       800,000  

Shares redeemed

     1,900,000       450,004  

Per share NAV beginning of period

   $ 80.24     $ 87.94  

Per share NAV end of period

   $ 74.07     $ 63.53  

Percentage change in per share NAV

     (7.7 )%      (27.8 )% 

Percentage change in benchmark

     3.9     16.4

Benchmark annualized volatility

     9.0     12.8

 

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During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 2,299,290 outstanding Shares at June 30, 2017. 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. By comparison, during the six months ended June 30, 2016, 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 spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 2,699,294 outstanding Shares at December 31, 2015 to 3,049,290 outstanding Shares at June 30, 2016.

For the six months ended June 30, 2017 and 2016, 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 7.7% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 27.8% for the six months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $81.40 per Share and reached its low for the period on April 18, 2017 at $68.84 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on June 27, 2016 at $62.01 per Share.

The benchmark’s rise of 3.9% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 16.4% for the six months ended June 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (408,905    $ (725,575

Management fee

     1,092,436        898,414  

Net realized gain (loss)

     (16,463,982      (52,703,180

Change in net unrealized appreciation/depreciation

     (7,411,050      (9,039,731

Net income (loss)

   $ (24,283,937    $ (62,468,486

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

 

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ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 933,731,860     $ 783,922,475  

NAV end of period

   $ 958,703,511     $ 898,563,742  

Percentage change in NAV

     2.7     14.6

Shares outstanding beginning of period

     40,013,933       31,163,934  

Shares outstanding end of period

     64,761,317       36,938,933  

Percentage change in shares outstanding

     61.8     18.5

Shares created

     61,200,000       32,675,000  

Shares redeemed

     36,452,616       26,900,001  

Per share NAV beginning of period

   $ 23.34     $ 25.15  

Per share NAV end of period

   $ 14.80     $ 24.33  

Percentage change in per share NAV

     (36.6 )%      (3.3 )% 

Percentage change in benchmark

     (18.5 )%      4.9

Benchmark annualized volatility

     25.5     50.6

During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 40,013,933 outstanding Shares at December 31, 2016 to 64,761,317 outstanding Shares at June 30, 2017. 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 six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 36,938,933 outstanding Shares at June 30, 2016. 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.

For the six months ended June 30, 2017 and 2016, 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 36.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.3% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 6, 2017 at $23.49 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on February 11, 2016 at $12.02 per Share.

The benchmark’s decline of 18.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 4.9% for the six months ended June 30, 2016, can be attributed to a decrease in the price of WTI Crude Oil during the six months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (1,464,427    $ (3,294,729

Management fee

     3,975,239        3,913,130  

Brokerage commission

     106,267        331,194  

Net realized gain (loss)

     (169,015,334      113,330,482  

Change in net unrealized appreciation/depreciation

     (119,075,048      24,759,492  

Net income (loss)

   $ (289,554,809    $ 134,795,245  

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the six months ended June 30, 2017.

 

* 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 ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF    

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended June 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended June 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to June 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through

June 30, 2017
 

NAV beginning of period

   $ 200  

NAV end of period

   $ 20,499,886  

Percentage change in NAV

     —   NM 

Shares outstanding beginning of period

     8  

Shares outstanding end of period

     1,050,008  

Percentage change in shares outstanding

     —   NM 

Shares created

     1,150,008  

Shares redeemed

     100,000  

Per share NAV beginning of period

   $ 25.00  

Per share NAV end of period

   $ 19.52  

Percentage change in per share NAV

     (21.9 )% 

Percentage change in benchmark

     (5.6 )% 

Benchmark annualized volatility

     27.1

NM — Not Meaningful

 

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During the period ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 1,050,008 outstanding Shares at June 30, 2017. 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 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended June 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the period ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s decline of 5.6% for the period ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to June 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through

June 30, 2017
 

Net investment income (loss)

   $ (42,817

Brokerage commission

     11,274  

Offering costs

     39,845  

Limitation by Sponsor

     (8,302

Net realized gain (loss)

     (1,833,835

Change in net unrealized appreciation/depreciation

     578,453  

Net income (loss)

   $ (1,298,199

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 43,203,386     $ 38,851,184  

NAV end of period

   $ 43,886,614     $ 43,355,961  

Percentage change in NAV

     1.6     11.6

Shares outstanding beginning of period

     2,292,169       2,092,170  

Shares outstanding end of period

     4,492,169       2,442,169  

Percentage change in shares outstanding

     96.0     16.7

Shares created

     4,000,000       1,500,000  

Shares redeemed

     1,800,000       1,150,001  

Per share NAV beginning of period

   $ 18.85     $ 18.57  

Per share NAV end of period

   $ 9.77     $ 17.75  

Percentage change in per share NAV

     (48.2 )%      (4.4 )% 

Percentage change in benchmark

     (24.8 )%      2.3

Benchmark annualized volatility

     37.2     41.2

 

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During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 4,492,169 outstanding Shares at June 30, 2017. 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 Natural Gas SubindexSM. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,442,169 outstanding Shares at June 30, 2016. 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 Natural Gas SubindexSM.

For the six months ended June 30, 2017 and 2016, 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 48.2% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.4% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $15.76 per Share and reached its low for the period on June 19, 2017 at $9.02 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share.

The benchmark’s decline of 24.8% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.3% for the six months ended June 30, 2016, can be attributed to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (148,175    $ (189,087

Management fee

     207,945        143,866  

Brokerage commission

     47,065        72,364  

Net realized gain (loss)

     (19,026,437      4,626,617  

Change in net unrealized appreciation/depreciation

     (2,430,307      656,990  

Net income (loss)

   $ (21,604,919    $ 5,094,520  

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 92,127,200     $ 69,864,815  

NAV end of period

   $ 88,717,834     $ 100,789,893  

Percentage change in NAV

     (3.7 )%      44.3

Shares outstanding beginning of period

     2,800,000       2,350,014  

 

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     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

Shares outstanding end of period

     2,350,000       2,250,000  

Percentage change in shares outstanding

     (16.1 )%      (4.3 )% 

Shares created

     350,000       100,000  

Shares redeemed

     800,000       200,014  

Per share NAV beginning of period

   $ 32.90     $ 29.73  

Per share NAV end of period

   $ 37.75     $ 44.80  

Percentage change in per share NAV

     14.7     50.7

Percentage change in benchmark

     8.4     24.6

Benchmark annualized volatility

     12.3     19.4

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,350,000 outstanding Shares at June 30, 2017. 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the six months ended June 30, 2016, 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. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at June 30, 2016.

For the six months ended June 30, 2017 and 2016, 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 14.7% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 50.7% for the six months ended June 30, 2016 was primarily due to a lesser appreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 6, 2017 at $41.06 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $45.07 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.

The benchmark’s rise of 8.4% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 24.6% for the six months ended June 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (167,651    $ (314,078

Management fee

     467,757        420,073  

Brokerage commission

     29        25  

Net realized gain (loss)

     17,900,379        21,074,182  

Change in net unrealized appreciation/depreciation

     (3,440,604      13,214,738  

Net income (loss)

   $ 14,292,124      $ 33,974,842  

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to lesser increase in the price of spot gold in U.S. dollar terms in conjunction with share transactions during the six months ended June 30, 2017.

 

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 275,779,940     $ 216,416,642  

NAV end of period

   $ 245,798,564     $ 386,838,399  

Percentage change in NAV

     (10.9 )%      78.7

Shares outstanding beginning of period

     8,246,526       7,996,533  

Shares outstanding end of period

     7,396,526       8,496,526  

Percentage change in shares outstanding

     (10.3 )%      6.3

Shares created

     650,000       1,350,000  

Shares redeemed

     1,500,000       850,007  

Per share NAV beginning of period

   $ 33.44     $ 27.06  

Per share NAV end of period

   $ 33.23     $ 45.53  

Percentage change in per share NAV

     (0.6 )%      68.3

Percentage change in benchmark

     1.4     32.9

Benchmark annualized volatility

     17.9     25.6

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,396,526 outstanding Shares at June 30, 2017. 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 silver bullion as measured by the London Silver Price. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 7,996,533 outstanding Shares at December 31, 2015 to 8,496,526 outstanding Shares at June 30, 2016. 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 London Silver Price.

For the six months ended June 30, 2017 and 2016, 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 0.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 68.3% for the six months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on January 3, 2017 at $32.23 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $45.53 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.

The benchmark’s rise of 1.4%for the six months ended June 30, 2017, as compared to the benchmark’s rise of 32.9% for the six months ended June 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (474,656    $ (1,012,025

Management fee

     1,358,786        1,322,264  

Brokerage commission

     39        27  

Net realized gain (loss)

     19,262,944        55,500,379  

Change in net unrealized appreciation/depreciation

     (14,398,126      98,080,629  

Net income (loss)

   $ 4,390,162      $ 152,568,983  

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 11,914,585     $ 10,857,730  

NAV end of period

   $ 12,928,079     $ 9,532,904  

Percentage change in NAV

     8.5     (12.2 )% 

Shares outstanding beginning of period

     850,000       700,014  

Shares outstanding end of period

     800,000       600,000  

Percentage change in shares outstanding

     (5.9 )%      (14.3 )% 

Shares created

     750,000       50,000  

Shares redeemed

     800,000       150,014  

Per share NAV beginning of period

   $ 14.02     $ 15.51  

Per share NAV end of period

   $ 16.16     $ 15.89  

Percentage change in per share NAV

     15.3     2.5

Percentage change in benchmark

     8.5     2.1

Benchmark annualized volatility

     7.4     9.3

During the six months ended June 30, 2017, 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 euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 850,000 outstanding Shares at December 31, 2016 to 800,000 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at June 30, 2016. 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 spot price of the euro versus the U.S. dollar.

For the six months ended June 30, 2017 and 2016, 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 15.3% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the six months ended June 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

 

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During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 29, 2017 at $16.22 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 2, 2016 at $17.23 per Share and reached its low for the period on January 5, 2016 at $15.17 per Share.

The benchmark’s rise of 8.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.1% for the six months ended June 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (24,795    $ (37,146

Management fee

     64,547        48,943  

Net realized gain (loss)

     1,406,656        1,109,856  

Change in net unrealized appreciation/depreciation

     884,459        (771,167

Net income (loss)

   $ 2,266,320      $ 301,543  

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
    Six Months
Ended June 30, 2016
 

NAV beginning of period

   $ 5,540,957     $ 5,473,848  

NAV end of period

   $ 5,866,403     $ 7,265,264  

Percentage change in NAV

     5.9     32.7

Shares outstanding beginning of period

     99,970       99,974  

Shares outstanding end of period

     99,970       99,970  

Percentage change in shares outstanding

     0.0     0.0 %^ 

Shares created

     —         —    

Shares redeemed

     —         4  

Per share NAV beginning of period

   $ 55.43     $ 54.75  

Per share NAV end of period

   $ 58.68     $ 72.67  

Percentage change in per share NAV

     5.9     32.7

Percentage change in benchmark

     3.9     16.4

Benchmark annualized volatility

     9.0     12.8

 

^ Amount represents less than 0.05%

 

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During the six months ended June 30, 2017, 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, 2016 to June 30, 2017. By comparison, during the six months ended June 30, 2016, 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. The increase in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at June 30, 2016.

For the six months ended June 30, 2017 and 2016, 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 5.9% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 32.7% for the six months ended June 30, 2016, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on January 3, 2017 at $54.62 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $74.48 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share.

The benchmark’s rise of 3.9% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 16.4% for the six months ended June 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:

 

     Six Months
Ended June 30, 2017
     Six Months
Ended June 30, 2016
 

Net investment income (loss)

   $ (16,783    $ (22,662

Management fee

     27,969        29,811  

Net realized gain (loss)

     342,551        1,318,083  

Change in net unrealized appreciation/depreciation

     (322      496,194  

Net income (loss)

   $ 325,446      $ 1,791,615  

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

 

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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 June 30, 2017 and 2016, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2017

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

VIX Futures (CBOE)

   Long    July 2017      7,526      $ 12.33        1,000      $ 92,757,950  

VIX Futures (CBOE)

   Long    August 2017      5,474        12.68        1,000        69,382,950  

 

Futures Positions as of June 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2016      5,415      $ 16.98        1,000      $ 91,919,625  

VIX Futures (CBOE)

   Long    August 2016      5,388        18.33        1,000        98,735,100  

The June 30, 2017 and 2016 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 Trust’s Annual Report on Form 10-K for the year ended December 31, 2016 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2017 ( the “Form 10-K”) for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2017

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2017      391      $ 14.43        1,000      $ 5,640,175  

VIX Futures (CBOE)

   Long    November 2017      675        14.93        1,000        10,074,375  

VIX Futures (CBOE)

   Long    December 2017      675        15.18        1,000        10,243,125  

VIX Futures (CBOE)

   Long    January 2018      284        16.23        1,000        4,607,900  

 

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Futures Positions as of June 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016      349      $ 19.78        1,000      $ 6,901,475  

VIX Futures (CBOE)

   Long    November 2016      698        20.05        1,000        13,994,900  

VIX Futures (CBOE)

   Long    December 2016      699        20.03        1,000        13,997,475  

VIX Futures (CBOE)

   Long    January 2017      349        21.03        1,000        7,337,725  

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2017

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    July 2017      36,797      $ 12.33        1,000      $ (453,523,025

VIX Futures (CBOE)

   Short    August 2017      26,760        12.68        1,000        (339,183,000

 

Futures Positions as of June 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    July 2016      19,460      $ 16.98        1,000      $ (330,333,500

VIX Futures (CBOE)

   Short    August 2016      19,556        18.33        1,000        (358,363,700

The June 30, 2017 and 2016 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.

 

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ProShares Ultra VIX Short-Term Futures ETF:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

 

Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2017      35,168      $ 12.33        1,000      $ 433,445,600  

VIX Futures (CBOE)

   Long    August 2017      25,576        12.68        1,000        324,175,800  

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    July 2016      47,593      $ 16.98        1,000      $ 807,891,175  

VIX Futures (CBOE)

   Long    August 2016      47,476        18.33        1,000        869,997,700  

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Crude Oil:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    September 2017      1,018      $ 46.29        1,000      $ (47,123,220

 

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Swap Agreements as of June 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Short    $ 68.6588      $ (78,374,318

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      68.6588        (48,374,448

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      68.6588        (11,656,686

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      68.6588        (56,894,461

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

     Short       
September
2016
 
 
     1,415      $ 49.01        1,000      $ (69,349,150

 

Swap Agreements as of June 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Short    $ 83.1363      $ (80,059,861

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short      83.1363        (31,645,418

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      83.1363        (76,235,818

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      83.1363        (8,710,888

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      83.1363        (64,999,894

The June 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2017 and 2016 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.

ProShares UltraPro 3x Short Crude Oil ETF:

As of June 30, 2017, the ProShares UltraPro 3x Short Crude Oil ETF 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 table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2017, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    September 2017      343      $ 46.29        1,000      $ (15,877,470

The June 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares UltraShort Bloomberg Natural Gas:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    September 2017      492      $ 3.03        10,000      $ (14,912,520

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    September 2016      175      $ 2.92        10,000      $ (5,106,500

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    August 2017      2      $ 1,242.30        100      $ (248,460

 

Forward Agreements as of June 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Short    $ 1,242.53      $ (25,596,118

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,242.52        (20,623,347

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,242.52        (5,964,096

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,242.52        (23,421,502

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    August 2016      2      $ 1,320.60        100      $ (264,120

 

Forward Agreements as of June 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Short    $ 1,320.75      $ (21,663,908

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short      1,320.75        (50,331,243

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,320.75        (19,679,662

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,320.75        (5,283,840

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,320.75        (14,860,688

The June 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2017 and 2016 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 June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    September 2017      2      $ 16.63        5,000      $ (166,270

 

Forward Agreements as of June 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Short    $ 16.4740      $ (17,577,758

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      16.4738        (10,123,150

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      16.4738        (2,569,913

0.999 Fine Troy Ounce Silver

   UBS AG    Short      16.4739        (15,913,787

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    September 2016      2      $ 18.62        5,000      $ (186,230

 

Forward Agreements as of June 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Short    $ 18.3634      $ (12,780,926

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short      18.3642        (24,846,763

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      18.3632        (10,604,748

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      18.3632        (2,864,659

0.999 Fine Troy Ounce Silver

   UBS AG    Short      18.3632        (12,854,240

The June 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2017 and 2016 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 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 June 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

 

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ProShares Short Euro:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

   Short    September 2017      73      $ 1.1467        125,000      $ (10,463,638

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

   Short    September 2016      123      $ 1.1107        125,000      $ (17,077,781

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    September 2017      312      $ 76.75        1,000      $ (23,946,000

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    September 2016      502      $ 74.24        1,000      $ (37,268,480

The June 30, 2017 and 2016 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

 

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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.

ProShares UltraShort Euro:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of June 30, 2017  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    07/07/17      50,410,500       1.1422      $ 57,577,190  

Euro

   UBS AG    Long    07/07/17      10,265,000       1.1422        11,724,340  

Euro

   Goldman Sachs International    Short    07/07/17      (259,346,725     1.1422        (296,217,173

Euro

   UBS AG    Short    07/07/17      (216,746,100     1.1422        (247,560,161

 

Foreign Currency Forward Contracts as of June 30, 2016  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    07/08/16      83,932,700       1.1097      $ 93,141,094  

Euro

   UBS AG    Long    07/08/16      51,350,400       1.1097        56,984,137  

Euro

   Goldman Sachs International    Short    07/08/16      (440,595,725     1.1097        (488,934,205

Euro

   UBS AG    Short    07/08/16      (392,387,400     1.1097        (435,436,866

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

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Foreign Currency Forward Contracts as of June 30, 2017  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    07/07/17      3,810,442,000       0.008891      $ 33,877,771  

Yen

   UBS AG    Long    07/07/17      948,807,900       0.008891        8,435,635  

Yen

   Goldman Sachs International    Short    07/07/17      (23,235,467,800     0.008891        (206,581,246

Yen

   UBS AG    Short    07/07/17      (19,833,775,700     0.008891        (176,337,578

 

Foreign Currency Forward Contracts as of June 30, 2016  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    07/08/16      9,742,295,100       0.009684      $ 94,343,198  

Yen

   UBS AG    Long    07/08/16      3,617,334,400       0.009684        35,029,825  

Yen

   Goldman Sachs International    Short    07/08/16      (29,570,855,800     0.009684        (286,360,561

Yen

   UBS AG    Short    07/08/16      (23,779,447,700     0.009684        (230,277,271

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Crude Oil:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    September 2017      8,449      $ 46.29        1,000      $ 391,104,210  

 

Swap Agreements as of June 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Long    $ 68.6588      $ 530,103,536  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      68.6588        440,733,506  

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      68.6588        128,321,260  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      68.6588        427,123,991  

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    September 2016      7,500      $ 49.01        1,000      $ 367,575,000  

 

Swap Agreements as of June 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Long    $ 83.1363      $ 336,118,991  

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long      83.1363        322,512,270  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      83.1363        339,972,378  

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      83.1363        105,676,541  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      83.1363        325,294,079  

The June 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2017 and 2016 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 UltraPro 3x Crude Oil ETF:

As of June 30, 2017, the ProShares UltraPro 3x Crude Oil ETF 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 table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2017, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    September 2017      1,329      $ 46.29        1,000      $ 61,519,410  

The June 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional (gains) losses associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares Ultra Bloomberg Natural Gas:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    September 2017      2,896      $ 3.03        10,000      $ 87,777,760  

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    September 2016      2,972      $ 2.92        10,000      $ 86,722,960  

The June 30, 2017 and 2016 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, 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 June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    August 2017      2      $ 1,242.30        100      $ 248,460  

 

Forward Agreements as of June 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,242.53      $ 60,635,464  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,242.52        46,619,350  

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,242.52        22,365,360  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,242.52        47,588,516  

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    August 2016      2      $ 1,320.60        100      $ 264,120  

 

Forward Agreements as of June 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,320.97      $ 49,007,987  

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long      1,321.03        56,540,084  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,320.96        42,165,043  

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,320.96        20,342,784  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,320.95        33,287,940  

The June 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2017 and 2016 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.

ProShares Ultra Silver:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

 

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Futures Positions as of June 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    September 2017      2      $ 16.63        5,000      $ 166,270  

 

Forward Agreements as of June 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 16.4740      $ 174,855,036  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      16.4738        127,026,177  

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      16.4738        62,336,859  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      16.4739        127,194,982  

 

Futures Positions as of June 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    September 2016      2      $ 18.62        5,000      $ 186,230  

 

Forward Agreements as of June 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 18.3634      $ 236,300,231  

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long      18.3642        171,573,048  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      18.3632        188,145,675  

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      18.3632        63,977,389  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      18.3632        113,466,213  

The June 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2017 and 2016 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 June 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

 

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ProShares Ultra Euro:

As of June 30, 2017 and 2016, 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of June 30, 2017  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    07/07/17      14,796,725       1.1422      $ 16,900,325  

Euro

   UBS AG    Long    07/07/17      9,722,000       1.1422        11,104,144  

Euro

   Goldman Sachs International    Short    07/07/17      (429,500     1.1422        (490,561

Euro

   UBS AG    Short    07/07/17      (1,459,900     1.1422        (1,667,449

 

Foreign Currency Forward Contracts as of June 30, 2016  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    07/08/16      9,644,425       1.1097      $ 10,702,531  

Euro

   UBS AG    Long    07/08/16      8,473,000       1.1097        9,402,587  

Euro

   Goldman Sachs International    Short    07/08/16      (628,600     1.1097        (697,565

Euro

   UBS AG    Short    07/08/16      (336,200     1.1097        (373,085

The June 30, 2017 and 2016 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 June 30, 2017 and 2016, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of June 30, 2017  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market
Value USD
 

Yen

   Goldman Sachs International    Long    07/07/17      759,505,400       0.008891      $ 6,752,589  

Yen

   UBS AG    Long    07/07/17      607,794,000       0.008891        5,403,758  

Yen

   Goldman Sachs International    Short    07/07/17      (32,285,500     0.008891        (287,043

Yen

   UBS AG    Short    07/07/17      (15,379,200     0.008891        (136,733

 

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Foreign Currency Forward Contracts as of June 30, 2016  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    07/08/16      1,044,190,800       0.009684      $ 10,111,816  

Yen

   UBS AG    Long    07/08/16      518,229,500       0.009684        5,018,471  

Yen

   Goldman Sachs International    Short    07/08/16      (48,749,300     0.009684        (472,082

Yen

   UBS AG    Short    07/08/16      (13,000,100     0.009684        (125,892

The June 30, 2017 and 2016 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 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 in 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 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 investment 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).

 

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Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 in 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 Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

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 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.

 

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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 maintained in a non-interest bearing demand deposit account. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

 

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Item 4. Controls and Procedures.

[Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the 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 December 31, 2016, 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 June 30, 2016 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.]1

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.

 

1  ProShares to confirm/update

 

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Part II OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

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, 2016, filed on March 1, 2017.

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 reallocated 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 VIX Short- Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined

 

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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 posteffective 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). On August 11, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the Form S-1; no additional Shares were registered with that filing. That registration statement was a combined prospectus and acted as a pre-effective amendment to post-effective amendment No. 1 of the Form S-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 (File No. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on Form S-3 (File No. 333-210024) was 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, ProShares VIX Short Term Futures ETF. On March 1, 2017, a Registration Statement on Form S-3 (File No. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on Form S-3 (File No. 333-

 

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213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on Form S-1 (File No. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on Form S-3 (File No. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the Form S-3 to a Form S-1. On March 22, 2017, a Registration Statement on Form S-1 (File No. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On June 30, 2017, the Trust had four effective registration statements outstanding: (1) a Form S-1 Registration Statement (No. 333-215929); (2) a Form S-1 Registration Statement (No. 333-214904); (3) a Form S-1 Registration Statement (No. 333-202724); and (4) a Form S-3 Registration Statement (No. 333-215930).

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. 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 June 30, 2017
     Shares Sold
For the Three Months Ended
June 30, 2017
     Sale Price of Shares Sold
For the Three Months Ended
June 30, 2017
 

ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest

   $ 1,759,913,478        1,937,500      $ 89,775,290  

ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest

     555,231,376        50,000        1,415,105  

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

     5,371,643,102        16,500,000        1,185,603,169  

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

     10,182,620,555        11,787,500        577,053,693  

ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest

     2,014,694,796        3,200,000        125,346,684  

ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest

     1,020,000,000        150,000        3,280,531  

ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest

     344,275,705        50,000        1,803,199  

ProShares UltraShort Gold Common Units of Beneficial Interest

     184,530,493        200,000        14,870,457  

ProShares UltraShort Silver Common Units of Beneficial Interest

     1,950,297,178        300,000        9,695,698  

ProShares Short Euro Common Units of Beneficial Interest

     153,418,934        —          —    

ProShares UltraShort Australian Dollar Common Units of Beneficial Interest

     172,771,084        —          —    

ProShares UltraShort Euro Common Units of Beneficial Interest

     1,943,348,907        150,000        3,816,671  

ProShares UltraShort Yen Common Units of Beneficial Interest

     962,499,882        —          —    

ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest

     4,871,886,139        39,500,000        610,710,559  

ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest

     1,020,000,000        950,000        19,648,285  

ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest

     427,459,640        1,250,000        12,194,375  

ProShares Ultra Gold Common Units of Beneficial Interest

     281,894,994        50,000        1,865,854  

ProShares Ultra Silver Common Units of Beneficial Interest

     1,314,623,611        650,000        22,323,954  

ProShares Ultra Euro Common Units of Beneficial Interest

     119,594,796        550,000        7,926,368  

ProShares Ultra Yen Common Units of Beneficial Interest

     138,726,333        —        $ —    

Total:

   $ 34,789,431,003        

 

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(b) From April 1, 2017 through June 30, 2017, 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 VIX Short-Term Futures ETF*

     

04/01/17 to 04/30/17

     81,250      $ 56.75  

05/01/17 to 05/31/17

     437,500      $ 53.55  

06/01/17 to 06/30/17

     231,250      $ 42.29  

ProShares VIX Mid-Term Futures ETF

     

04/01/17 to 04/30/17

     75,000      $ 32.21  

05/01/17 to 05/31/17

     50,000      $ 29.97  

06/01/17 to 06/30/17

     —        $ —    

ProShares Short VIX Short-Term Futures ETF*

     

04/01/17 to 04/30/17

     3,600,000      $ 71.60  

05/01/17 to 05/31/17

     5,000,000      $ 76.47  

06/01/17 to 06/30/17

     4,900,000      $ 80.84  

ProShares Ultra VIX Short-Term Futures ETF*

     

04/01/17 to 04/30/17

     1,775,000      $ 79.40  

05/01/17 to 05/31/17

     2,475,000      $ 62.89  

06/01/17 to 06/30/17

     3,462,500      $ 39.51  

ProShares UltraShort Bloomberg Crude Oil*

     

04/01/17 to 04/30/17

     2,200,000      $ 38.21  

05/01/17 to 05/31/17

     1,550,000      $ 43.29  

06/01/17 to 06/30/17

     2,250,000      $ 46.02  

ProShares UltraPro 3X Short Crude Oil ETF

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     —        $ —    

06/01/17 to 06/30/17

     150,000        29.94  

ProShares UltraShort Bloomberg Natural Gas

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     50,000      $ 32.66  

06/01/17 to 06/30/17

     50,000      $ 33.32  

ProShares UltraShort Gold

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     100,000      $ 76.91  

06/01/17 to 06/30/17

     50,000      $ 75.58  

ProShares UltraShort Silver

     

04/01/17 to 04/30/17

     50,000      $ 31.27  

05/01/17 to 05/31/17

     150,000      $ 33.64  

06/01/17 to 06/30/17

     50,000      $ 33.52  

ProShares Short Euro

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     —        $ —    

06/01/17 to 06/30/17

     100,000      $ 42.49  

ProShares UltraShort Australian Dollar

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     —        $ —    

06/01/17 to 06/30/17

     50,000      $ 49.85  

ProShares UltraShort Euro

     

04/01/17 to 04/30/17

     600,000      $ 26.32  

05/01/17 to 05/31/17

     150,000      $ 24.31  

06/01/17 to 06/30/17

     400,000      $ 24.05  

ProShares UltraShort Yen

     

04/01/17 to 04/30/17

     150,000      $ 70.79  

05/01/17 to 05/31/17

     250,000      $ 74.39  

06/01/17 to 06/30/17

     350,000      $ 70.40  

ProShares Ultra Bloomberg Crude Oil*

     

04/01/17 to 04/30/17

     9,050,000      $ 20.16  

05/01/17 to 05/31/17

     10,100,000      $ 17.98  

06/01/17 to 06/30/17

     2,200,000      $ 14.27  

ProShares UltraPro 3X Crude Oil ETF

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     100,000        28.51  

 

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Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

06/01/17 to 06/30/17

     —        $ —    

ProShares Ultra Bloomberg Natural Gas

     

04/01/17 to 04/30/17

     400,000      $ 12.86  

05/01/17 to 05/31/17

     100,000      $ 12.84  

06/01/17 to 06/30/17

     100,000      $ 9.95  

ProShares Ultra Gold

     

04/01/17 to 04/30/17

     50,000      $ 38.77  

05/01/17 to 05/31/17

     150,000      $ 37.49  

06/01/17 to 06/30/17

     50,000      $ 38.10  

ProShares Ultra Silver

     

04/01/17 to 04/30/17

     500,000      $ 39.56  

05/01/17 to 05/31/17

     —        $ —    

06/01/17 to 06/30/17

     300,000      $ 34.55  

ProShares Ultra Euro

     

04/01/17 to 04/30/17

     450,000      $ 14.68  

05/01/17 to 05/31/17

     250,000      $ 15.49  

06/01/17 to 06/30/17

     50,000      $ 15.63  

ProShares Ultra Yen

     

04/01/17 to 04/30/17

     —        $ —    

05/01/17 to 05/31/17

     —        $ —    

06/01/17 to 06/30/17

     —        $ —    

 

* See Note 1 of the Notes to Financial Statements in this Quarterly Report on Form 10-Q regarding the reverse Share splits for Pro Shares VIX Short-Term ETF, ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Crude Oil and the Share splits for ProShares UltraShort Bloomberg Crude Oil, ProShares Short VIX Short-Term Futures ETF.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

 

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Item 6. Exhibits.

 

Exhibit No.

  

Description of Document

  31.1    Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
  31.2    Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
  32.1    Certification by Principal Executive Officer of the Trust 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 of the Trust 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: August 9, 2017

 

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial Officer
Date: August 9, 2017

 

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