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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 September 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.

     211  

Item 4. Controls and Procedures.

     229  

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings.

     230  

Item 1A. Risk Factors.

     230  

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

     230  

Item 3. Defaults Upon Senior Securities.

     235  

Item 4. Mine Safety Disclosures.

     235  

Item 5. Other Information.

     235  

Item 6. Exhibits.

     236  

 

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

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 4,200,621      $ 4,536,425  

Segregated cash balances with brokers for futures contracts

     4,438,775        17,235,855  

Short-term U.S. government and agency obligations (Note 3)
(cost $186,708,857 and $147,990,045, respectively)

     186,716,429        147,991,233  

Receivable on open futures contracts

     —          4,484,270  
  

 

 

    

 

 

 

Total assets

     195,355,825        174,247,783  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     3,913,679        —    

Payable to Sponsor

     77,327        87,637  
  

 

 

    

 

 

 

Total liabilities

     3,991,006        87,637  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     191,364,819        174,160,146  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 195,355,825      $ 174,247,783  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     5,876,317        2,052,363  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 32.57      $ 84.86  
  

 

 

    

 

 

 

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

   $ 32.53      $ 85.04  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(98% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.998% due 10/05/17

   $ 7,000,000      $ 6,999,568  

1.043% due 10/12/17

     18,000,000        17,995,300  

0.928% due 10/19/17

     11,000,000        10,995,222  

1.037% due 10/26/17†

     35,000,000        34,978,185  

1.013% due 11/02/17†

     7,000,000        6,994,243  

1.023% due 11/09/17†

     4,000,000        3,995,947  

0.988% due 11/16/17†

     29,000,000        28,965,383  

0.962% due 11/30/17†

     13,000,000        12,979,014  

1.033% due 12/07/17†

     7,000,000        6,987,359  

0.987% due 12/14/17†

     11,000,000        10,978,586  

1.001% due 01/11/18

     12,000,000        11,966,165  

1.040% due 02/01/18

     33,000,000        32,881,457  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $186,708,857)

      $ 186,716,429  
     

 

 

 

Futures Contracts Purchased

 

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

VIX Futures—CBOE, expires October 2017

     9,373      $ 109,429,775      $ (16,948,916

VIX Futures—CBOE, expires November 2017

     6,252        81,432,300        (1,380,405
        

 

 

 
         $ (18,329,321
        

 

 

 

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 379,082     $ 144,244     $ 786,305     $ 324,819  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     381,123       474,982       1,004,091       1,210,844  

Brokerage commissions and fees

     59,243       76,959       138,487       229,993  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     440,366       551,941       1,142,578       1,440,837  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (61,284     (407,697     (356,273     (1,116,018
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (27,447,205     (101,785,229     (126,202,705     (134,345,928

Short-term U.S. government and agency obligations

     419       3,946       (943     6,237  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (27,446,786     (101,781,283     (126,203,648     (134,339,691
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (17,219,461     6,786,934       (17,860,669     (8,475,358

Short-term U.S. government and agency obligations

     3,094       24,829       6,384       35,549  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (17,216,367     6,811,763       (17,854,285     (8,439,809
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (44,663,153     (94,969,520     (144,057,933     (142,779,500
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (44,724,437   $ (95,377,217   $ (144,414,206   $ (143,895,518
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 174,160,146  

Addition of 6,125,000 shares (Note 1)

     274,586,934  

Redemption of 2,301,046 shares (Note 1)

     (112,968,055
  

 

 

 

Net addition (redemption) of 3,823,954 shares (Note 1)

     161,618,879  
  

 

 

 

Net investment income (loss)

     (356,273

Net realized gain (loss)

     (126,203,648

Change in net unrealized appreciation/depreciation

     (17,854,285
  

 

 

 

Net income (loss)

     (144,414,206
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 191,364,819  
  

 

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (144,414,206   $ (143,895,518

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

     12,797,080       (2,370,400

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

     (634,948,674     (742,783,009

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

     597,015,224       622,882,786  

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

     (786,305     (324,819

Net realized gain (loss) on investments

     943       (6,237

Change in unrealized appreciation/depreciation on investments

     (6,384     (35,549

Decrease (Increase) in receivable on futures contracts

     4,484,270       1,105,799  

Increase (Decrease) in payable to Sponsor

     (10,310     85,931  

Increase (Decrease) in payable on futures contracts

     3,913,679       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (161,954,683     (265,341,016
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     274,586,934       461,486,395  

Payment on shares redeemed

     (112,968,055     (195,044,482
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     161,618,879       266,441,913  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (335,804     1,100,897  

Cash, beginning of period

     4,536,425       2,124,103  
  

 

 

   

 

 

 

Cash, end of period

   $ 4,200,621     $ 3,225,000  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 314,842      $ 1,155,115  

Segregated cash balances with brokers for futures contracts

     7,454,800        1,052,615  

Short-term U.S. government and agency obligations (Note 3)
(cost $35,953,365 and $45,486,489, respectively)

     35,955,278        45,486,235  

Receivable from capital shares sold

     1,890,685        —    

Receivable on open futures contracts

     —          242,541  
  

 

 

    

 

 

 

Total assets

     45,615,605        47,936,506  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          2,085,020  

Payable on open futures contracts

     539,598        —    

Payable to Sponsor

     28,584        32,572  
  

 

 

    

 

 

 

Total liabilities

     568,182        2,117,592  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     45,047,423        45,818,914  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 45,615,605      $ 47,936,506  
  

 

 

    

 

 

 

Shares outstanding

     1,787,403        1,087,403  
  

 

 

    

 

 

 

Net asset value per share

   $ 25.20      $ 42.14  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 25.17      $ 42.34  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(80% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

0.992% due 10/26/17

   $ 13,000,000      $ 12,991,897  

1.013% due 11/02/17

     5,000,000        4,995,888  

1.023% due 11/09/17

     2,000,000        1,997,973  

0.977% due 11/16/17

     9,000,000        8,989,257  

1.001% due 01/11/18

     7,000,000        6,980,263  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $35,953,365)

      $ 35,955,278  
     

 

 

 

Futures Contracts Purchased

 

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

VIX Futures—CBOE, expires January 2018

     582      $ 8,599,050      $ (697,300

VIX Futures—CBOE, expires February 2018

     971        14,783,475        (652,385

VIX Futures—CBOE, expires March 2018

     971        15,341,800        (547,765

VIX Futures—CBOE, expires April 2018

     388        6,314,700        (44,190
        

 

 

 
         $ (1,941,640
        

 

 

 

 

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

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 71,551     $ 29,706     $ 164,138     $ 63,804  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     80,574       108,438       235,818       251,163  

Brokerage commissions and fees

     6,764       10,935       11,815       23,544  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     87,338       119,373       247,633       274,707  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (15,787     (89,667     (83,495     (210,903
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (3,965,084     (4,899,530     (19,180,135     (5,248,725

Short-term U.S. government and agency obligations

     —         144       (527     132  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (3,965,084     (4,899,386     (19,180,662     (5,248,593
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     364,615       (1,149,750     (653,395     (1,917,790

Short-term U.S. government and agency obligations

     1,342       8,365       2,167       9,742  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     365,957       (1,141,385     (651,228     (1,908,048
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (3,599,127     (6,040,771     (19,831,890     (7,156,641
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (3,614,914   $ (6,130,438   $ (19,915,385   $ (7,367,544
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 45,818,914  

Addition of 850,000 shares

     23,977,024  

Redemption of 150,000 shares

     (4,833,130
  

 

 

 

Net addition (redemption) of 700,000 shares

     19,143,894  
  

 

 

 

Net investment income (loss)

     (83,495

Net realized gain (loss)

     (19,180,662

Change in net unrealized appreciation/depreciation

     (651,228
  

 

 

 

Net income (loss)

     (19,915,385
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 45,047,423  
  

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (19,915,385   $ (7,367,544

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

     (6,402,185     (823,975

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

     (149,796,234     (132,528,541

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

     159,492,969       104,309,090  

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

     (164,138     (63,804

Net realized gain (loss) on investments

     527       (132

Change in unrealized appreciation/depreciation on investments

     (2,167     (9,742

Decrease (Increase) in receivable on futures contracts

     242,541       42,188  

Increase (Decrease) in payable to Sponsor

     (3,988     21,005  

Increase (Decrease) in payable on futures contracts

     539,598       258,839  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (16,008,462     (36,162,616
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     22,086,339       48,406,580  

Payment on shares redeemed

     (6,918,150     (9,794,863
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     15,168,189       38,611,717  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (840,273     2,449,101  

Cash, beginning of period

     1,155,115       671,791  
  

 

 

   

 

 

 

Cash, end of period

   $ 314,842     $ 3,120,892  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 4,098,464      $ 1,850,760  

Segregated cash balances with brokers for futures contracts

     316,834,247        55,323,984  

Short-term U.S. government and agency obligations (Note 3)
(cost $770,073,989 and $170,391,741, respectively)

     770,134,521        170,396,436  

Receivable on open futures contracts

     57,550,026        1,059,418  
  

 

 

    

 

 

 

Total assets

     1,148,617,258        228,630,598  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     107,724,462        —    

Payable on open futures contracts

     —          325,000  

Payable to Sponsor

     1,018,886        230,211  
  

 

 

    

 

 

 

Total liabilities

     108,743,348        555,211  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     1,039,873,910        228,075,387  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 1,148,617,258      $ 228,630,598  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     11,100,000        5,000,000  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 93.68      $ 45.62  
  

 

 

    

 

 

 

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

   $ 93.75      $ 45.49  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(74% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.041% due 10/19/17

   $ 47,000,000      $ 46,979,583  

1.048% due 10/26/17

     78,000,000        77,951,383  

1.001% due 11/02/17

     115,000,000        114,905,424  

1.029% due 11/09/17

     199,000,000        198,798,353  

0.986% due 11/16/17†

     160,000,000        159,809,008  

0.999% due 11/24/17

     10,000,000        9,985,499  

1.005% due 11/30/17†

     73,000,000        72,882,156  

1.023% due 12/07/17†

     30,000,000        29,945,826  

0.987% due 12/14/17†

     50,000,000        49,902,665  

1.001% due 01/11/18

     9,000,000        8,974,624  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $770,073,989)

      $ 770,134,521  
     

 

 

 

Futures Contracts Sold

 

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

VIX Futures—CBOE, expires October 2017

     51,224      $ 598,040,200      $ 86,369,735  

VIX Futures—CBOE, expires November 2017

     34,126        444,491,150        7,874,300  
        

 

 

 
         $ 94,244,035  
        

 

 

 

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 2,102,194     $ 248,974     $ 3,484,888     $ 848,132  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     2,376,444       951,001       4,636,720       3,561,744  

Brokerage commissions and fees

     1,366,561       469,401       2,761,371       1,522,859  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     3,743,005       1,420,402       7,398,091       5,084,603  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,640,811     (1,171,428     (3,913,203     (4,236,471
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     188,300,727       277,246,086       471,128,319       263,024,643  

Short-term U.S. government and agency obligations

     6,797       (12,510     (4,461     (34,036
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     188,307,524       277,233,576       471,123,858       262,990,607  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     100,033,466       (51,813,012     104,553,646       16,663,427  

Short-term U.S. government and agency obligations

     56,988       33,663       55,837       62,392  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     100,090,454       (51,779,349     104,609,483       16,725,819  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     288,397,978       225,454,227       575,733,341       279,716,426  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 286,757,167     $ 224,282,799     $ 571,820,138     $ 275,479,955  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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 NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 228,075,387  

Addition of 46,750,000 shares (Note 1)

     3,330,265,694  

Redemption of 40,650,000 shares (Note 1)

     (3,090,287,309
  

 

 

 

Net addition (redemption) of 6,100,000 shares (Note 1)

     239,978,385  
  

 

 

 

Net investment income (loss)

     (3,913,203

Net realized gain (loss)

     471,123,858  

Change in net unrealized appreciation/depreciation

     104,609,483  
  

 

 

 

Net income (loss)

     571,820,138  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 1,039,873,910  
  

 

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 571,820,138     $ 275,479,955  

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

     (261,510,263     75,585,025  

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

     (3,392,906,218     (2,235,163,421

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

     2,796,704,397       2,324,555,238  

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

     (3,484,888     (848,132

Net realized gain (loss) on investments

     4,461       34,036  

Change in unrealized appreciation/depreciation on investments

     (55,837     (62,392

Decrease (Increase) in receivable on futures contracts

     (56,490,608     (4,571,788

Increase (Decrease) in payable to Sponsor

     788,675       (183,417

Increase (Decrease) in payable on futures contracts

     (325,000     (1,420,271
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (345,455,143     433,404,833  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,330,265,694       2,183,650,607  

Payment on shares redeemed

     (2,982,562,847     (2,616,476,208
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     347,702,847       (432,825,601
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,247,704       579,232  

Cash, beginning of period

     1,850,760       5,150,976  
  

 

 

   

 

 

 

Cash, end of period

   $ 4,098,464     $ 5,730,208  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,610,772      $ 10,969,955  

Segregated cash balances with brokers for futures contracts

     17,599,725        71,363,625  

Short-term U.S. government and agency obligations (Note 3)
(cost $521,285,333 and $434,676,067, respectively)

     521,315,100        434,671,795  

Receivable from capital shares sold

     14,450,792        —    

Receivable on open futures contracts

     —          35,967,191  
  

 

 

    

 

 

 

Total assets

     555,976,389        552,972,566  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          36,789,539  

Payable on open futures contracts

     20,456,567        —    

Payable to Sponsor

     424,090        424,273  
  

 

 

    

 

 

 

Total liabilities

     20,880,657        37,213,812  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     535,095,732        515,758,754  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 555,976,389      $ 552,972,566  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     25,927,238        2,965,383  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 20.64      $ 173.93  
  

 

 

    

 

 

 

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

   $ 20.60      $ 175.00  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(97% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.011% due 10/05/17†

   $ 15,023,000      $ 15,022,073  

1.067% due 10/12/17†

     20,000,000        19,994,778  

1.081% due 10/19/17†

     46,000,000        45,980,017  

1.000% due 10/26/17†

     47,000,000        46,970,705  

1.013% due 11/02/17†

     13,000,000        12,989,309  

0.957% due 11/09/17†

     20,000,000        19,979,734  

0.986% due 11/16/17†

     97,000,000        96,884,211  

0.999% due 11/30/17†

     128,000,000        127,793,370  

1.002% due 12/07/17†

     66,000,000        65,880,817  

1.000% due 12/14/17†

     20,000,000        19,961,066  

1.001% due 01/11/18†

     50,000,000        49,859,020  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $521,285,333)

      $ 521,315,100  
     

 

 

 

Futures Contracts Purchased

 

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

VIX Futures—CBOE, expires October 2017

     52,495      $ 612,879,125      $ (93,982,537

VIX Futures—CBOE, expires November 2017

     35,008        455,979,200        (7,780,494
        

 

 

 
         $ (101,763,031
        

 

 

 

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 866,857     $ 400,731     $ 1,833,411     $ 1,227,394  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,040,567       1,625,260       2,880,339       5,006,558  

Brokerage commissions and fees

     1,150,806       1,102,098       2,819,322       3,228,763  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,191,373       2,727,358       5,699,661       8,235,321  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,324,516     (2,326,627     (3,866,250     (7,007,927
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (126,532,816     (745,101,700     (646,036,987     (1,269,233,467

Short-term U.S. government and agency obligations

     (5,866     16,032       (26,617     24,626  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (126,538,682     (745,085,668     (646,063,604     (1,269,208,841
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (95,515,562     138,973,918       (93,790,794     (51,163,549

Short-term U.S. government and agency obligations

     21,523       27,300       34,039       8,737  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (95,494,039     139,001,218       (93,756,755     (51,154,812
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (222,032,721     (606,084,450     (739,820,359     (1,320,363,653
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (223,357,237   $ (608,411,077   $ (743,686,609   $ (1,327,371,580
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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 NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 515,758,754  

Addition of 51,185,000 shares (Note 1)

     2,109,762,890  

Redemption of 28,223,145 shares (Note 1)

     (1,346,739,303
  

 

 

 

Net addition (redemption) of 22,961,855 shares (Note 1)

     763,023,587  
  

 

 

 

Net investment income (loss)

     (3,866,250

Net realized gain (loss)

     (646,063,604

Change in net unrealized appreciation/depreciation

     (93,756,755
  

 

 

 

Net income (loss)

     (743,686,609
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 535,095,732  
  

 

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (743,686,609   $ (1,327,371,580

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

     53,763,900       14,767,485  

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

     (2,355,267,451     (3,719,826,671

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

     2,270,464,979       3,505,716,134  

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

     (1,833,411     (1,221,489

Net realized gain (loss) on investments

     26,617       (24,626

Change in unrealized appreciation/depreciation on investments

     (34,039     (8,737

Decrease (Increase) in receivable on futures contracts

     35,967,191       17,995,478  

Increase (Decrease) in payable to Sponsor

     (183     51,617  

Increase (Decrease) in payable on futures contracts

     20,456,567       31,416,387  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (720,142,439     (1,478,506,002
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     2,095,312,098       3,689,719,713  

Payment on shares redeemed

     (1,383,528,842     (2,208,691,466
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     711,783,256       1,481,028,247  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (8,359,183     2,522,245  

Cash, beginning of period

     10,969,955       9,081,964  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,610,772     $ 11,604,209  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 3,636,946      $ 2,715,772  

Segregated cash balances with brokers for futures contracts

     5,000,160        4,931,520  

Short-term U.S. government and agency obligations (Note 3)
(cost $246,653,071 and $205,694,828, respectively)

     246,666,306        205,694,385  

Receivable on open futures contracts

     123,680        —    
  

 

 

    

 

 

 

Total assets

     255,427,092        213,341,677  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     3,359,173        —    

Payable on open futures contracts

     —          13,602  

Payable to Sponsor

     162,517        162,891  

Unrealized depreciation on swap agreements

     13,678,377        12,206,881  
  

 

 

    

 

 

 

Total liabilities

     17,200,067        12,383,374  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     238,227,025        200,958,303  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 255,427,092      $ 213,341,677  
  

 

 

    

 

 

 

Shares outstanding

     7,089,884        6,339,884  
  

 

 

    

 

 

 

Net asset value per share

   $ 33.60      $ 31.70  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.73      $ 31.65  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(104% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.062% due 10/05/17

   $ 16,000,000      $ 15,999,013  

1.065% due 10/12/17

     19,000,000        18,995,039  

1.070% due 10/19/17†

     53,000,000        52,976,977  

1.042% due 10/26/17†

     20,000,000        19,987,534  

1.013% due 11/02/17†

     6,000,000        5,995,066  

1.079% due 11/09/17†

     11,000,000        10,988,854  

0.986% due 11/16/17†

     11,000,000        10,986,869  

0.962% due 11/30/17†

     22,000,000        21,964,485  

0.991% due 12/07/17†

     13,000,000        12,976,525  

0.989% due 12/14/17†

     34,000,000        33,933,812  

1.002% due 01/04/18

     14,000,000        13,962,714  

1.040% due 02/01/18

     28,000,000        27,899,418  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $246,653,071)

      $ 246,666,306  
     

 

 

 

Futures Contracts Sold

 

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

WTI Crude Oil—NYMEX, expires November 2017

     1,894      $ 97,862,980      $ (5,367,489

Swap Agreements^

 

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

Swap agreement with Citibank, N.A. based on Bloomberg Crude Oil Sub-Index

     (0.18 )%      10/05/17      $ (149,040,494   $ (6,092,070

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

     (0.25     10/05/17        (109,832,549     (3,900,635

Swap agreement with Societe Generale based on Bloomberg Crude Oil Sub-Index

     (0.25 )     10/05/17        (12,927,229     (514,835

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

     (0.25 )     10/05/17        (106,765,884     (3,170,837
         

 

 

 
          $ (13,678,377
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
^ The positions and counterparties herein are as of September 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 September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 458,896     $ 112,015     $ 998,438     $ 345,514  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     456,582       405,879       1,374,438       1,291,075  

Brokerage commissions and fees

     17,992       27,568       50,772       125,327  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     474,574       433,447       1,425,210       1,416,402  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (15,678     (321,432     (426,772     (1,070,888
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (6,020,543     7,108,871       12,625,049       (1,439,525

Swap agreements

     (3,398,264     43,172,623       37,182,481       (35,456,689

Short-term U.S. government and agency obligations

     (107     3,798       (1,590     (4,796
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (9,418,914     50,285,292       49,805,940       (36,901,010
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,525,726     (4,602,457     (3,940,674     (6,846,490

Swap agreements

     (25,931,072     (28,373,775     (1,471,496     (22,977,481

Short-term U.S. government and agency obligations

     10,122       12,429       13,678       26,286  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (30,446,676     (32,963,803     (5,398,492     (29,797,685
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (39,865,590     17,321,489       44,407,448       (66,698,695
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (39,881,268   $ 17,000,057     $ 43,980,676     $ (67,769,583
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 200,958,303  

Addition of 10,700,000 shares

     398,064,737  

Redemption of 9,950,000 shares

     (404,776,691
  

 

 

 

Net addition (redemption) of 750,000 shares

     (6,711,954
  

 

 

 

Net investment income (loss)

     (426,772

Net realized gain (loss)

     49,805,940  

Change in net unrealized appreciation/depreciation

     (5,398,492
  

 

 

 

Net income (loss)

     43,980,676  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 238,227,025  
  

 

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 43,980,676     $ (67,769,583

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

     (68,640     3,477,760  

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

     —         (1,128,000

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

     (866,640,949     (831,968,058

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

     826,679,554       768,766,626  

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

     (998,438     (345,514

Net realized gain (loss) on investments

     1,590       4,796  

Change in unrealized appreciation/depreciation on investments

     1,457,818       22,951,195  

Decrease (Increase) in receivable on futures contracts

     (123,680     —    

Increase (Decrease) in payable to Sponsor

     (374     34,948  

Increase (Decrease) in brokerage commissions and fees payable

     —         (6,947

Increase (Decrease) in payable for investments purchased

     —         1,736,880  

Increase (Decrease) in payable on futures contracts

     (13,602     (34,842
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     4,273,955       (104,280,739
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     398,064,737       752,995,105  

Payment on shares redeemed

     (401,417,518     (648,311,713
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (3,352,781     104,683,392  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     921,174       402,653  

Cash, beginning of period

     2,715,772       598,645  
  

 

 

   

 

 

 

Cash, end of period

   $ 3,636,946     $ 1,001,298  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
 

Assets

  

Cash

   $ 13,475,988  

Segregated cash balances with brokers for futures contracts

     2,418,240  

Offering costs (Note 5)

     71,150  

Limitation by Sponsor

     34,903  
  

 

 

 

Total assets

     16,000,281  
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable on open futures contracts

     83,153  

Payable for offering costs

     148,400  
  

 

 

 

Total liabilities

     231,553  
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

     15,768,728  
  

 

 

 

Total liabilities and shareholders’ equity

   $ 16,000,281  
  

 

 

 

Shares outstanding

     900,008  
  

 

 

 

Net asset value per share

   $ 17.52  
  

 

 

 

Market value per share (Note 2)

   $ 17.63  
  

 

 

 

 

* 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

SEPTEMBER 30, 2017

(unaudited)

Futures Contracts Sold

 

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

WTI Crude Oil—NYMEX, expires November 2017

     916      $ 47,329,720      $ (2,423,370

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

 

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

Investment Income

    

Expenses

    

Brokerage commissions and fees

   $ 9,395     $ 17,296  

Offering costs

     37,405       77,250  

Limitation by Sponsor

     (12,787     (34,903
  

 

 

   

 

 

 

Total expenses

     34,013       59,643  
  

 

 

   

 

 

 

Net investment income (loss)

     (34,013     (59,643
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (1,540,337     232,006  
  

 

 

   

 

 

 

Net realized gain (loss)

     (1,540,337     232,006  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (2,178,096     (2,423,370
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,178,096     (2,423,370
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (3,718,433     (2,191,364
  

 

 

   

 

 

 

Net income (loss)

   $ (3,752,446   $ (2,251,007
  

 

 

   

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 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 SEPTEMBER 30, 2017

(unaudited)

 

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

   $ —    

Addition of 1,050,008 shares

     22,510,278  

Redemption of 150,000 shares

     (4,490,543
  

 

 

 

Net addition (redemption) of 900,008 shares

     18,019,735  
  

 

 

 

Net investment income (loss)

     (59,643

Net realized gain (loss)

     232,006  

Change in net unrealized appreciation/depreciation

     (2,423,370
  

 

 

 

Net income (loss)

     (2,251,007
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 15,768,728  
  

 

 

 

 

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
September 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

   $ (2,251,007

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

     (2,418,240

Decrease (Increase) in Limitation by Sponsor

     (34,903

Change in offering cost

     (71,150

Increase (Decrease) in payable on futures contracts

     83,153  

Increase (Decrease) in payable for offering costs

     148,400  
  

 

 

 

Net cash provided by (used in) operating activities

     (4,543,747
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

     22,510,278  

Payment on shares redeemed

     (4,490,543
  

 

 

 

Net cash provided by (used in) financing activities

     18,019,735  
  

 

 

 

Net increase (decrease) in cash

     13,475,988  

Cash, beginning of period

     —    
  

 

 

 

Cash, end of period

   $ 13,475,988  
  

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 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

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,116,845      $ 326,631  

Segregated cash balances with brokers for futures contracts

     780,120        710,655  

Short-term U.S. government and agency obligations (Note 3)
(cost $2,998,485 and $2,899,188, respectively)

     2,998,697        2,899,151  

Receivable on open futures contracts

     31,017        105,872  
  

 

 

    

 

 

 

Total assets

     5,926,679        4,042,309  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Brokerage commissions and fees payable

     —          144  

Payable to Sponsor

     5,245        3,371  
  

 

 

    

 

 

 

Total liabilities

     5,245        3,515  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     5,921,434        4,038,794  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 5,926,679      $ 4,042,309  
  

 

 

    

 

 

 

Shares outstanding

     174,832        174,832  
  

 

 

    

 

 

 

Net asset value per share

   $ 33.87      $ 23.10  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.64      $ 23.05  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(51% of shareholders’ equity)

     

U.S. Treasury Bills^^:
1.013% due 10/19/17

   $ 3,000,000      $ 2,998,697  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $2,998,485)

      $ 2,998,697  
     

 

 

 

Futures Contracts Sold

 

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

Natural Gas—NYMEX, expires November 2017

     394      $ 11,847,580      $ 348,521  

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 11,436     $ 2,395     $ 25,909     $ 16,513  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     18,019       13,043       51,110       70,066  

Brokerage commissions and fees

     7,316       8,608       19,673       53,910  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     25,335       21,651       70,783       123,976  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (13,899     (19,256     (44,874     (107,463
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (151,368     (101,997     1,756,252       455,516  

Short-term U.S. government and agency obligations

     (75     434       (334     3,438  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (151,443     (101,563     1,755,918       458,954  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     615,201       712,984       830,552       2,803,566  

Short-term U.S. government and agency obligations

     555       (161     249       (75
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     615,756       712,823       830,801       2,803,491  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     464,313       611,260       2,586,719       3,262,445  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 450,414     $ 592,004     $ 2,541,845     $ 3,154,982  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 4,038,794  

Addition of 300,000 shares

     9,317,576  

Redemption of 300,000 shares

     (9,976,781
  

 

 

 

Net addition (redemption) of 0 shares

     (659,205
  

 

 

 

Net investment income (loss)

     (44,874

Net realized gain (loss)

     1,755,918  

Change in net unrealized appreciation/depreciation

     830,801  
  

 

 

 

Net income (loss)

     2,541,845  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 5,921,434  
  

 

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 2,541,845     $ 3,154,982  

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

     (69,465     917,015  

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

     (17,971,116     (42,200,053

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

     17,897,394       45,636,490  

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

     (25,909     (16,513

Net realized gain (loss) on investments

     334       (3,438

Change in unrealized appreciation/depreciation on investments

     (249     75  

Decrease (Increase) in receivable on futures contracts

     74,855       (159,924

Increase (Decrease) in payable to Sponsor

     1,874       (6,510

Increase (Decrease) in brokerage commissions and fees payable

     (144     (1,499

Increase (Decrease) in payable on futures contracts

     —         (785,170
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,449,419       6,535,455  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     9,317,576       37,311,510  

Payment on shares redeemed

     (9,976,781     (44,580,216
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (659,205     (7,268,706
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,790,214       (733,251

Cash, beginning of period

     326,631       1,099,140  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,116,845     $ 365,889  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,104,112      $ 120,840  

Segregated cash balances with brokers for futures contracts

     10,780        13,200  

Short-term U.S. government and agency obligations (Note 3)
(cost $34,939,314 and $60,540,275, respectively)

     34,940,087        60,540,555  

Unrealized appreciation on forward agreements

     2,961,605        3,033,566  

Receivable on open futures contracts

     600        1,280  
  

 

 

    

 

 

 

Total assets

     39,017,184        63,709,441  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     3,563,259        —    

Payable to Sponsor

     27,142        55,794  
  

 

 

    

 

 

 

Total liabilities

     3,590,401        55,794  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     35,426,783        63,653,647  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 39,017,184      $ 63,709,441  
  

 

 

    

 

 

 

Shares outstanding

     496,978        696,978  
  

 

 

    

 

 

 

Net asset value per share

   $ 71.28      $ 91.33  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 71.55      $ 90.54  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(99% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.062% due 10/05/17†

   $ 11,000,000      $ 10,999,321  

0.991% due 11/30/17†

     2,000,000        1,996,771  

0.972% due 12/07/17†

     3,000,000        2,994,583  

0.987% due 12/14/17†

     5,000,000        4,990,267  

1.002% due 01/04/18

     6,000,000        5,984,020  

1.001% due 01/11/18

     5,000,000        4,985,902  

1.040% due 02/01/18

     3,000,000        2,989,223  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $34,939,314)

      $ 34,940,087  
     

 

 

 

Futures Contracts Sold

 

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

Gold Futures—COMEX, expires December 2017

     2      $ 256,960      $ (9,540

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

     (1.30 )%      10/05/17      $ (16,100   $ (20,663,223   $ 1,045,390  

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

     (1.06 )     10/05/17        (16,898     (21,687,062     835,086  

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

     (1.01 )     10/05/17        (4,800     (6,160,368     267,146  

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

     (1.05 )     10/05/17        (17,250     (22,138,823     813,983  
           

 

 

 
            $ 2,961,605  
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of September 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 September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 85,802     $ 44,515     $ 202,149     $ 118,780  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     86,766       163,622       268,125       469,612  

Brokerage commissions and fees

     10       8       39       33  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     86,776       163,630       268,164       469,645  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (974     (119,115     (66,015     (350,865
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (640     (7,340     5,119       (45,820

Forward agreements

     (2,643,515     (10,289,193     (10,944,071     (29,919,349

Short-term U.S. government and agency obligations

     (96     164       (1,168     (779
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (2,644,251     (10,296,369     (10,940,120     (29,965,948
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (6,520     9,400       (28,520     (3,420

Forward agreements

     305,626       9,761,395       (71,961     (228,387

Short-term U.S. government and agency obligations

     1,228       2,460       493       6,758  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     300,334       9,773,255       (99,988     (225,049
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (2,343,917     (523,114     (11,040,108     (30,190,997
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (2,344,891   $ (642,229   $ (11,106,123   $ (30,541,862
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 63,653,647  

Addition of 300,000 shares

     22,375,636  

Redemption of 500,000 shares

     (39,496,377
  

 

 

 

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

     (17,120,741
  

 

 

 

Net investment income (loss)

     (66,015

Net realized gain (loss)

     (10,940,120

Change in net unrealized appreciation/depreciation

     (99,988
  

 

 

 

Net income (loss)

     (11,106,123
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 35,426,783  
  

 

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (11,106,123   $ (30,541,862

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

     2,420       79,370  

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

     —         (7,835,000

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

     (136,758,217     (205,754,520

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

     162,560,129       212,008,993  

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

     (202,119     (118,780

Net realized gain (loss) on investments

     1,168       779  

Change in unrealized appreciation/depreciation on investments

     71,468       221,629  

Decrease (Increase) in receivable on futures contracts

     680       (1,320

Increase (Decrease) in payable to Sponsor

     (28,652     (625

Increase (Decrease) in payable on futures contracts

     —         (80
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     14,540,754       (31,941,416
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     22,375,636       79,236,729  

Payment on shares redeemed

     (35,933,118     (47,301,845
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (13,557,482     31,934,884  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     983,272       (6,532

Cash, beginning of period

     120,840       151,638  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,104,112     $ 145,106  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,077,196      $ 86,051  

Segregated cash balances with brokers for futures contracts

     12,980        14,300  

Segregated cash balances with brokers for forward agreements

     738,500        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $17,965,709 and $21,549,766, respectively)

     17,966,229        21,550,319  

Unrealized appreciation on forward agreements

     2,152,433        1,384,246  

Receivable on open futures contracts

     1,510        2,290  
  

 

 

    

 

 

 

Total assets

     22,948,848        23,037,206  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     15,171        19,550  
  

 

 

    

 

 

 

Total liabilities

     15,171        19,550  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     22,933,677        23,017,656  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 22,948,848      $ 23,037,206  
  

 

 

    

 

 

 

Shares outstanding

     716,976        616,976  
  

 

 

    

 

 

 

Net asset value per share

   $ 31.99      $ 37.31  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 32.78      $ 38.76  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(78% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.088% due 10/26/17†

   $ 4,000,000      $ 3,997,507  

0.962% due 11/30/17†

     6,000,000        5,990,314  

1.012% due 12/07/17†

     4,000,000        3,992,777  

1.040% due 02/01/18

     4,000,000        3,985,631  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $17,965,709)

      $ 17,966,229  
     

 

 

 

Futures Contracts Sold

 

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

Silver Futures—COMEX, expires December 2017

     2      $ 166,760      $ 4,940  

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

     (1.40 )%      10/05/17      $ (953,000   $ (16,071,964   $ 775,445  

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

     (1.18 )     10/05/17        (786,500     (13,263,851     671,956  

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

     (1.14 )     10/05/17        (156,000     (2,630,862     143,987  

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

     (1.13 )     10/05/17        (814,000     (13,727,622     561,045  
           

 

 

 
                              $2,152,433  
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of September 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 September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 44,411     $ 22,794     $ 103,317     $ 71,536  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     46,737       86,864       143,542       281,605  

Brokerage commissions and fees

     10       8       39       33  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     46,747       86,872       143,581       281,638  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (2,336     (64,078     (40,264     (210,102
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (2,193     (15,410     18,357       (44,810

Forward agreements

     (464,978     (14,850,460     (2,711,677     (26,610,382

Short-term U.S. government and agency obligations

     (46     65       (190     (2,307
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (467,217     (14,865,805     (2,693,510     (26,657,499
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     2,560       10,700       (22,370     (7,450

Forward agreements

     (396,316     9,496,558       768,187       (4,259,746

Short-term U.S. government and agency obligations

     29       2,046       (33     3,511  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (393,727     9,509,304       745,784       (4,263,685
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (860,944     (5,356,501     (1,947,726     (30,921,184
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (863,280   $ (5,420,579   $ (1,987,990   $ (31,131,286
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 23,017,656  

Addition of 700,000 shares

     22,025,198  

Redemption of 600,000 shares

     (20,121,187
  

 

 

 

Net addition (redemption) of 100,000 shares

     1,904,011  
  

 

 

 

Net investment income (loss)

     (40,264

Net realized gain (loss)

     (2,693,510

Change in net unrealized appreciation/depreciation

     745,784  
  

 

 

 

Net income (loss)

     (1,987,990
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 22,933,677  
  

 

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (1,987,990   $ (31,131,286

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

     1,320       (110

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

     (738,500     (1,544,000

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

     (91,865,007     (126,343,449

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

     95,552,158       138,366,905  

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

     (103,284     (71,536

Net realized gain (loss) on investments

     190       2,307  

Change in unrealized appreciation/depreciation on investments

     (768,154     4,256,235  

Decrease (Increase) in receivable on futures contracts

     780       390  

Increase (Decrease) in payable to Sponsor

     (4,379     (14,530

Increase (Decrease) in payable on futures contracts

     —         930  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     87,134       (16,478,144
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     22,025,198       67,362,064  

Payment on shares redeemed

     (20,121,187     (51,232,577
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,904,011       16,129,487  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,991,145       (348,657

Cash, beginning of period

     86,051       514,784  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,077,196     $ 166,127  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,990,375      $ 2,292,012  

Segregated cash balances with brokers for futures contracts

     127,050        402,600  

Short-term U.S. government and agency obligations (Note 3)
(cost $5,998,008 and $13,164,807, respectively)

     5,998,433        13,164,828  
  

 

 

    

 

 

 

Total assets

     8,115,858        15,859,440  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     16,156        76,666  

Payable to Sponsor

     6,264        12,686  
  

 

 

    

 

 

 

Total liabilities

     22,420        89,352  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     8,093,438        15,770,088  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 8,115,858      $ 15,859,440  
  

 

 

    

 

 

 

Shares outstanding

     200,000        350,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 40.47      $ 45.06  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 40.56      $ 45.12  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency  obligations
(74% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.089% due 10/12/17

   $ 6,000,000      $ 5,998,433  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $5,998,008)

      $ 5,998,433  
     

 

 

 

Futures Contracts Sold

 

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

Euro Fx Currency Futures—CME, expires December 2017

     55      $ 8,156,844      $ 106,206  

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 18,865     $ 8,177     $ 57,345     $ 22,846  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     21,606       36,752       92,259       116,244  

Brokerage commissions and fees

     330       580       1,433       2,009  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     21,936       37,332       93,692       118,253  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (3,071     (29,155     (36,347     (95,407
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (599,482     327,212       (1,334,988     (199,588

Short-term U.S. government and agency obligations

     (107     (2     (384     31  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (599,589     327,210       (1,335,372     (199,557
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     291,787       (488,475     (26,694     (270,444

Short-term U.S. government and agency obligations

     326       1,265       404       1,652  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     292,113       (487,210     (26,290     (268,792
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (307,476     (160,000     (1,361,662     (468,349
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (310,547   $ (189,155   $ (1,398,009   $ (563,756
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 15,770,088  

Redemption of 150,000 shares

     (6,278,641
  

 

 

 

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

     (6,278,641
  

 

 

 

Net investment income (loss)

     (36,347

Net realized gain (loss)

     (1,335,372

Change in net unrealized appreciation/depreciation

     (26,290
  

 

 

 

Net income (loss)

     (1,398,009
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 8,093,438  
  

 

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (1,398,009   $ (563,756

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

     275,550       116,820  

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

     (45,940,009     (42,155,511

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

     53,163,769       44,640,933  

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

     (57,345     (22,846

Net realized gain (loss) on investments

     384       (31

Change in unrealized appreciation/depreciation on investments

     (404     (1,652

Decrease (Increase) in receivable on futures contracts

     —         84,235  

Increase (Decrease) in payable to Sponsor

     (6,422     (2,556

Increase (Decrease) in payable on futures contracts

     (60,510     32,813  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     5,977,004       2,128,449  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —         2,109,382  

Payment on shares redeemed

     (6,278,641     (4,280,745
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (6,278,641     (2,171,363
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (301,637     (42,914

Cash, beginning of period

     2,292,012       1,783,802  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,990,375     $ 1,740,888  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 729,356      $ 2,834,389  

Segregated cash balances with brokers for futures contracts

     370,040        914,760  

Short-term U.S. government and agency obligations (Note 3)
(cost $7,997,344 and $12,909,895, respectively)

     7,997,911        12,909,619  

Receivable on open futures contracts

     34,800        —    
  

 

 

    

 

 

 

Total assets

     9,132,107        16,658,768  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —          32,340  

Payable to Sponsor

     6,902        12,955  
  

 

 

    

 

 

 

Total liabilities

     6,902        45,295  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     9,125,205        16,613,473  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 9,132,107      $ 16,658,768  
  

 

 

    

 

 

 

Shares outstanding

     200,000        300,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 45.63      $ 55.38  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 45.85      $ 55.24  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency  obligations
(88% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.089% due 10/12/17

   $ 8,000,000      $ 7,997,911  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $7,997,344)

      $ 7,997,911  
     

 

 

 

Futures Contracts Sold

 

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

Australian Dollar Fx Currency Futures—CME, expires December 2017

     232      $ 18,179,520      $ 379,490  

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 23,090     $ 12,198     $ 58,614     $ 32,241  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     24,991       42,820       94,837       136,306  

Brokerage commissions and fees

     1,555       3,267       6,088       11,011  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     26,546       46,087       100,925       147,317  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (3,456     (33,889     (42,311     (115,076
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (1,453,355     (318,842     (1,920,606     (2,462,334

Short-term U.S. government and agency obligations

     (22     1       (177     220  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (1,453,377     (318,841     (1,920,783     (2,462,114
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     837,800       (971,687     (802,850     (495,700

Short-term U.S. government and agency obligations

     (14     561       843       2,074  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     837,786       (971,126     (802,007     (493,626
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (615,591     (1,289,967     (2,722,790     (2,955,740
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (619,047   $ (1,323,856   $ (2,765,101   $ (3,070,816
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 16,613,473  

Redemption of 100,000 shares

     (4,723,167
  

 

 

 

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

     (4,723,167
  

 

 

 

Net investment income (loss)

     (42,311

Net realized gain (loss)

     (1,920,783

Change in net unrealized appreciation/depreciation

     (802,007
  

 

 

 

Net income (loss)

     (2,765,101
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 9,125,205  
  

 

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (2,765,101   $ (3,070,816

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

     544,720       (845,815

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

     (57,937,852     (36,174,367

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

     62,908,840       39,618,751  

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

     (58,614     (32,241

Net realized gain (loss) on investments

     177       (220

Change in unrealized appreciation/depreciation on investments

     (843     (2,074

Decrease (Increase) in receivable on futures contracts

     (34,800     52,491  

Increase (Decrease) in payable to Sponsor

     (6,053     (2,874

Increase (Decrease) in payable on futures contracts

     (32,340     79,209  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,618,134       (377,956
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (4,723,167     (314
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (4,723,167     (314
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (2,105,033     (378,270

Cash, beginning of period

     2,834,389       1,958,996  
  

 

 

   

 

 

 

Cash, end of period

   $ 729,356     $ 1,580,726  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,120,743      $ 2,916,502  

Short-term U.S. government and agency obligations (Note 3)
(cost $219,674,153 and $337,373,566, respectively)

     219,684,550        337,375,787  

Unrealized appreciation on foreign currency forward contracts

     4,465,552        16,519,070  

Receivable from capital shares sold

     1,091,561        —    
  

 

 

    

 

 

 

Total assets

     227,362,406        356,811,359  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          6,771,472  

Payable to Sponsor

     175,643        291,098  

Unrealized depreciation on foreign currency forward contracts

     565,859        356,139  
  

 

 

    

 

 

 

Total liabilities

     741,502        7,418,709  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     226,620,904        349,392,650  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 227,362,406      $ 356,811,359  
  

 

 

    

 

 

 

Shares outstanding

     10,450,000        12,900,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 21.69      $ 27.08  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.68      $ 27.08  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency  obligations
(97% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.998% due 10/05/17

   $ 9,000,000      $ 8,999,445  

1.057% due 10/12/17†

     40,000,000        39,989,556  

1.013% due 10/19/17†

     11,000,000        10,995,221  

1.015% due 10/26/17†

     41,000,000        40,974,445  

0.998% due 11/02/17

     10,000,000        9,991,776  

1.079% due 11/09/17†

     20,000,000        19,979,734  

0.982% due 11/16/17†

     2,000,000        1,997,613  

0.962% due 11/30/17†

     7,000,000        6,988,700  

0.987% due 12/14/17†

     18,000,000        17,964,959  

1.002% due 01/04/18

     7,000,000        6,981,357  

1.001% due 01/11/18

     25,000,000        24,929,510  

1.040% due 02/01/18

     30,000,000        29,892,234  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $219,674,153)

      $ 219,684,550  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     10/06/17        3,175,800     $ 3,754,078     $ (42,918

Euro with UBS AG

     10/06/17        35,067,900       41,453,378       (522,941
         

 

 

 
                        $(565,859)  
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     10/06/17        (194,781,925   $ (230,249,569   $ 2,076,933  

Euro with UBS AG

     10/06/17        (226,747,400     (268,035,604     2,388,619  
         

 

 

 
                        $4,465,552  
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 559,862     $ 248,831     $ 1,452,945     $ 765,698  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     537,193       906,488       1,914,770       2,894,802  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     537,193       906,488       1,914,770       2,894,802  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     22,669       (657,657     (461,825     (2,129,104
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (24,505,520     (5,537,097     (45,334,575     (60,591,547

Short-term U.S. government and agency obligations

     (1,394     1,655       (3,856     37  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (24,506,914     (5,535,442     (45,338,431     (60,591,510
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     10,103,133       (2,518,631     (12,263,238     30,435,313  

Short-term U.S. government and agency obligations

     4,959       2,404       8,176       33,446  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     10,108,092       (2,516,227     (12,255,062     30,468,759  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (14,398,822     (8,051,669     (57,593,493     (30,122,751
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (14,376,153   $ (8,709,326   $ (58,055,318   $ (32,251,855
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 349,392,650  

Addition of 1,800,000 shares

     41,062,646  

Redemption of 4,250,000 shares

     (105,779,074
  

 

 

 

Net addition (redemption) of (2,450,000) shares

     (64,716,428
  

 

 

 

Net investment income (loss)

     (461,825

Net realized gain (loss)

     (45,338,431

Change in net unrealized appreciation/depreciation

     (12,255,062
  

 

 

 

Net income (loss)

     (58,055,318
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 226,620,904  
  

 

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (58,055,318   $ (32,251,855

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

     (1,194,312,964     (1,046,594,054

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

     1,313,461,466       1,240,067,697  

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

     (1,452,945     (765,698

Net realized gain (loss) on investments

     3,856       (37

Change in unrealized appreciation/depreciation on investments

     12,255,062       (30,468,759

Increase (Decrease) in payable to Sponsor

     (115,455     (124,210
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     71,783,702       114,060,084  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     39,971,085       15,418,329  

Payment on shares redeemed

     (112,550,546     (139,665,636
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (72,579,461     (124,247,307
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (795,759     (10,187,223

Cash, beginning of period

     2,916,502       10,372,583  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,120,743     $ 185,360  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,506,225      $ 3,166,988  

Short-term U.S. government and agency obligations (Note 3)
(cost $137,812,663 and $257,103,135, respectively)

     137,818,917        257,102,313  

Unrealized appreciation on foreign currency forward contracts

     9,817,020        16,870,357  
  

 

 

    

 

 

 

Total assets

     149,142,162        277,139,658  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     112,920        232,491  

Unrealized depreciation on foreign currency forward contracts

     570,141        125,420  
  

 

 

    

 

 

 

Total liabilities

     683,061        357,911  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     148,459,101        276,781,747  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 149,142,162      $ 277,139,658  
  

 

 

    

 

 

 

Shares outstanding

     1,999,290        3,449,290  
  

 

 

    

 

 

 

Net asset value per share

   $ 74.26      $ 80.24  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 74.21      $ 80.25  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency  obligations
(93% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.998% due 10/05/17

   $ 15,000,000      $ 14,999,075  

1.075% due 10/12/17†

     39,000,000        38,989,817  

0.992% due 10/26/17

     9,000,000        8,994,390  

1.079% due 11/09/17†

     25,000,000        24,974,667  

0.962% due 11/30/17†

     17,000,000        16,972,557  

1.001% due 01/11/18

     9,000,000        8,974,624  

1.040% due 02/01/18

     24,000,000        23,913,787  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $137,812,663)

      $ 137,818,917  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/06/17        571,833,200     $ 5,082,606     $ (229,963

Yen with UBS AG

     10/06/17        2,539,647,800       22,573,065       (340,178
         

 

 

 
          $ (570,141
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/06/17        (17,548,070,400   $ (155,971,917   $ 4,818,307  

Yen with UBS AG

     10/06/17        (18,981,034,100     (168,708,480     4,998,713  
         

 

 

 
          $ 9,817,020  
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 389,160     $ 155,603     $ 1,072,691     $ 328,442  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     376,339       563,817       1,468,775       1,462,231  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     376,339       563,817       1,468,775       1,462,231  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     12,821       (408,214     (396,084     (1,133,789
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (1,067,853     (33,476,385     (17,529,013     (86,173,771

Short-term U.S. government and agency obligations

     (1,081     (44     (3,903     (5,838
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (1,068,934     (33,476,429     (17,532,916     (86,179,609
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (83,509     23,071,090       (7,498,058     14,006,768  

Short-term U.S. government and agency obligations

     3,577       14,852       7,076       39,443  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (79,932     23,085,942       (7,490,982     14,046,211  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (1,148,866     (10,390,487     (25,023,898     (72,133,398
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,136,045   $ (10,798,701   $ (25,419,982   $ (73,267,187
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 276,781,747  

Addition of 900,000 shares

     69,116,080  

Redemption of 2,350,000 shares

     (172,018,744
  

 

 

 

Net addition (redemption) of (1,450,000) shares

     (102,902,664
  

 

 

 

Net investment income (loss)

     (396,084

Net realized gain (loss)

     (17,532,916

Change in net unrealized appreciation/depreciation

     (7,490,982
  

 

 

 

Net income (loss)

     (25,419,982
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 148,459,101  
  

 

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (25,419,982   $ (73,267,187

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

     (919,771,798     (627,277,970

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

     1,040,131,058       625,696,408  

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

     (1,072,691     (328,442

Net realized gain (loss) on investments

     3,903       5,838  

Change in unrealized appreciation/depreciation on investments

     7,490,982       (14,046,211

Increase (Decrease) in payable to Sponsor

     (119,571     (12,929
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     101,241,901       (90,504,493
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     69,116,080       136,071,321  

Payment on shares redeemed

     (172,018,744     (45,072,219
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (102,902,664     90,999,102  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,660,763     494,609  

Cash, beginning of period

     3,166,988       276,968  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,506,225     $ 771,577  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 3,555,077      $ 1,401,555  

Segregated cash balances with brokers for futures contracts

     15,457,200        20,609,600  

Short-term U.S. government and agency obligations (Note 3)
(cost $562,320,399 and $885,046,303, respectively)

     562,359,737        885,050,007  

Unrealized appreciation on swap agreements

     40,796,900        55,358,571  

Receivable on open futures contracts

     503,050        —    
  

 

 

    

 

 

 

Total assets

     622,671,964        962,419,733  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          25,879,004  

Payable on open futures contracts

     —          1,993,438  

Brokerage commissions and fees payable

     —          2,332  

Payable to Sponsor

     529,199        813,099  
  

 

 

    

 

 

 

Total liabilities

     529,199        28,687,873  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     622,142,765        933,731,860  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 622,671,964      $ 962,419,733  
  

 

 

    

 

 

 

Shares outstanding

     34,761,317        40,013,933  
  

 

 

    

 

 

 

Net asset value per share

   $ 17.90      $ 23.34  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 17.82      $ 23.36  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(90% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.053% due 10/05/17

   $ 43,000,000      $ 42,997,347  

1.089% due 10/12/17

     50,000,000        49,986,945  

1.077% due 10/19/17†

     78,000,000        77,966,117  

1.055% due 10/26/17†

     92,000,000        91,942,656  

1.062% due 11/02/17†

     45,000,000        44,962,992  

1.077% due 11/09/17†

     52,000,000        51,947,309  

0.977% due 11/16/17†

     27,000,000        26,967,770  

0.982% due 11/30/17†

     49,000,000        48,920,899  

0.970% due 12/07/17†

     11,000,000        10,980,136  

0.987% due 12/14/17†

     22,000,000        21,957,173  

1.002% due 01/04/18

     40,000,000        39,893,468  

1.001% due 01/11/18

     40,000,000        39,887,216  

1.040% due 02/01/18

     14,000,000        13,949,709  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $562,320,399)

      $ 562,359,737  
     

 

 

 

Futures Contracts Purchased

 

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

WTI Crude Oil—NYMEX, expires November 2017

     5,855      $ 302,527,850      $ 13,817,653  

Swap Agreements^

 

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

Swap agreement with Citibank, N.A. based on Bloomberg Crude Oil Sub-Index

     0.18     10/05/17      $ 332,458,695      $ 13,855,515  

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

     0.25     10/05/17        242,703,814        11,965,958  

Swap agreement with Societe Generale based on Bloomberg Crude Oil Sub-Index

     0.25     10/05/17        115,090,880        4,548,744  

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

     0.25     10/05/17        251,436,908        10,426,683  
          

 

 

 
           $ 40,796,900  
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
^ The positions and counterparties herein are as of September 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 September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 1,819,809     $ 547,630     $ 4,436,888     $ 1,497,225  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,798,486       2,118,318       5,773,725       6,031,448  

Brokerage commissions and fees

     40,850       112,742       147,117       443,936  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,839,336       2,231,060       5,920,842       6,475,384  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (19,527     (1,683,430     (1,483,954     (4,978,159
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     21,413,080       (51,064,247     (13,550,928     (14,115,761

Swap agreements

     24,084,165       (195,154,381     (109,960,912     (118,756,695

Short-term U.S. government and agency obligations

     (8,752     2,107       (15,001     (13,583
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     45,488,493       (246,216,521     (123,526,841     (132,886,039
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     13,270,788       41,481,937       8,280,488       47,317,605  

Swap agreements

     99,552,339       124,100,958       (14,561,671     142,998,777  

Short-term U.S. government and agency obligations

     6,372       8,186       35,634       34,191  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     112,829,499       165,591,081       (6,245,549     190,350,573  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     158,317,992       (80,625,440     (129,772,390     57,464,534  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 158,298,465     $ (82,308,870   $ (131,256,344   $ 52,486,375  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

71


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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 933,731,860  

Addition of 65,600,000 shares

     1,105,174,037  

Redemption of 70,852,616 shares

     (1,285,506,788
  

 

 

 

Net addition (redemption) of (5,252,616) shares

     (180,332,751
  

 

 

 

Net investment income (loss)

     (1,483,954

Net realized gain (loss)

     (123,526,841

Change in net unrealized appreciation/depreciation

     (6,245,549
  

 

 

 

Net income (loss)

     (131,256,344
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 622,142,765  
  

 

 

 

 

See accompanying notes to financial statements.

 

72


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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (131,256,344   $ 52,486,375  

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

     5,152,400       20,951,260  

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

     —         (26,365,000

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

     (3,682,731,284     (2,817,353,950

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

     4,009,879,074       2,735,827,019  

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

     (4,436,887     (1,497,225

Net realized gain (loss) on investments

     15,001       13,583  

Change in unrealized appreciation/depreciation on investments

     14,526,037       (143,032,968

Decrease (Increase) in receivable on futures contracts

     (503,050     1,997,369  

Decrease (Increase) in receivable for investments sold

     —         (17,625,333

Increase (Decrease) in payable to Sponsor

     (283,900     59,439  

Increase (Decrease) in brokerage commissions and fees payable

     (2,332     (14,848

Increase (Decrease) in payable on futures contracts

     (1,993,438     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     208,365,277       (194,554,279
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,105,174,037       879,143,549  

Payment on shares redeemed

     (1,311,385,792     (683,302,233
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (206,211,755     195,841,316  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,153,522       1,287,037  

Cash, beginning of period

     1,401,555       4,008,379  
  

 

 

   

 

 

 

Cash, end of period

   $ 3,555,077     $ 5,295,416  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

73


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
 

Assets

  

Cash

   $ 6,451,760  

Segregated cash balances with brokers for futures contracts

     1,161,600  

Receivable on open futures contracts

     42,870  

Offering costs (Note 5)

     71,150  

Limitation by Sponsor

     2,484  
  

 

 

 

Total assets

     7,729,864  
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

     148,400  
  

 

 

 

Total liabilities

     148,400  
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

     7,581,464  
  

 

 

 

Total liabilities and shareholders’ equity

   $ 7,729,864  
  

 

 

 

Shares outstanding

     300,008  
  

 

 

 

Net asset value per share

   $ 25.27  
  

 

 

 

Market value per share (Note 2)

   $ 25.09  
  

 

 

 

 

* 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

SEPTEMBER 30, 2017

(unaudited)

Futures Contracts Purchased

 

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

WTI Crude Oil—NYMEX, expires November 2017

     440      $ 22,734,800      $ 1,272,779  

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

 

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

Investment Income

    

Expenses

    

Brokerage commissions and fees

   $ 13,100     $ 24,374  

Offering costs

     37,405       77,250  

Limitation by Sponsor

     —         (2,484

Reduction in Limitation by Sponsor

     5,818       —    
  

 

 

   

 

 

 

Total expenses

     56,323       99,140  
  

 

 

   

 

 

 

Net investment income (loss)

     (56,323     (99,140
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     4,971,742       3,137,907  
  

 

 

   

 

 

 

Net realized gain (loss)

     4,971,742       3,137,907  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     694,326       1,272,779  
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     694,326       1,272,779  
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     5,666,068       4,410,686  
  

 

 

   

 

 

 

Net income (loss)

   $ 5,609,745     $ 4,311,546  
  

 

 

   

 

 

 

 

* Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 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 SEPTEMBER 30, 2017

(unaudited)

 

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

   $ —    

Addition of 1,400,008 shares

     29,606,619  

Redemption of 1,100,000 shares

     (26,336,701
  

 

 

 

Net addition (redemption) of 300,008 shares

     3,269,918  
  

 

 

 

Net investment income (loss)

     (99,140

Net realized gain (loss)

     3,137,907  

Change in net unrealized appreciation/depreciation

     1,272,779  
  

 

 

 

Net income (loss)

     4,311,546  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 7,581,464  
  

 

 

 

 

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
September 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

   $ 4,311,546  

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

     (1,161,600

Decrease (Increase) in receivable on futures contracts

     (42,870

Decrease (Increase) in Limitation by Sponsor

     (2,484

Change in offering cost

     (71,150

Increase (Decrease) in payable for offering costs

     148,400  
  

 

 

 

Net cash provided by (used in) operating activities

     3,181,842  
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

     29,606,619  

Payment on shares redeemed

     (26,336,701
  

 

 

 

Net cash provided by (used in) financing activities

     3,269,918  
  

 

 

 

Net increase (decrease) in cash

     6,451,760  

Cash, beginning of period

     —    
  

 

 

 

Cash, end of period

   $ 6,451,760  
  

 

 

 

 

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

 

See accompanying notes to financial statements.

 

78


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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,771,889      $ 971,442  

Segregated cash balances with brokers for futures contracts

     6,724,079        7,612,770  

Short-term U.S. government and agency obligations (Note 3)
(cost $42,918,384 and $36,183,384, respectively)

     42,919,932        36,183,648  
  

 

 

    

 

 

 

Total assets

     51,415,900        44,767,860  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     319,094        1,528,005  

Brokerage commissions and fees payable

     —          433  

Payable to Sponsor

     37,189        36,036  
  

 

 

    

 

 

 

Total liabilities

     356,283        1,564,474  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     51,059,617        43,203,386  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 51,415,900      $ 44,767,860  
  

 

 

    

 

 

 

Shares outstanding

     5,842,169        2,292,169  
  

 

 

    

 

 

 

Net asset value per share

   $ 8.74      $ 18.85  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 8.80      $ 18.96  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(84% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.108% due 10/12/17

   $ 2,000,000      $ 1,999,478  

1.013% due 10/19/17

     3,000,000        2,998,697  

0.992% due 10/26/17

     7,000,000        6,995,637  

1.013% due 11/02/17

     5,000,000        4,995,888  

1.023% due 11/09/17

     2,000,000        1,997,973  

0.987% due 12/14/17

     7,000,000        6,986,373  

1.001% due 01/11/18

     9,000,000        8,974,624  

1.040% due 02/01/18

     8,000,000        7,971,262  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $42,918,384)

      $ 42,919,932  
     

 

 

 

Futures Contracts Purchased

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

Natural Gas—NYMEX, expires November 2017

     3,396      $ 102,117,720      $ (971,690

 

^^ 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 93,039     $ 18,114     $ 199,874     $ 45,257  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     110,894       85,894       318,839       229,760  

Brokerage commissions and fees

     24,919       25,652       71,984       98,016  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     135,813       111,546       390,823       327,776  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (42,774     (93,432     (190,949     (282,519
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (2,014,548     1,964,411       (21,040,313     6,591,697  

Short-term U.S. government and agency obligations

     (454     264       (1,126     (405
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (2,015,002     1,964,675       (21,041,439     6,591,292  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (1,078,511     (8,409,834     (3,508,410     (7,752,693

Short-term U.S. government and agency obligations

     1,692       2,064       1,284       1,913  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (1,076,819     (8,407,770     (3,507,126     (7,750,780
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (3,091,821     (6,443,095     (24,548,565     (1,159,488
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (3,134,595   $ (6,536,527   $ (24,739,514   $ (1,442,007
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 43,203,386  

Addition of 6,600,000 shares

     66,608,730  

Redemption of 3,050,000 shares

     (34,012,985
  

 

 

 

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

     32,595,745  
  

 

 

 

Net investment income (loss)

     (190,949

Net realized gain (loss)

     (21,041,439

Change in net unrealized appreciation/depreciation

     (3,507,126
  

 

 

 

Net income (loss)

     (24,739,514
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 51,059,617  
  

 

 

 

 

See accompanying notes to financial statements.

 

82


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ (24,739,514   $ (1,442,007

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

     888,691       1,947,056  

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

     (172,712,634     (89,354,690

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

     166,176,382       90,362,175  

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

     (199,874     (45,257

Net realized gain (loss) on investments

     1,126       405  

Change in unrealized appreciation/depreciation on investments

     (1,284     (1,913

Decrease (Increase) in receivable on futures contracts

     —         3,065,769  

Increase (Decrease) in payable to Sponsor

     1,153       3,356  

Increase (Decrease) in brokerage commissions and fees payable

     (433     (1,236

Increase (Decrease) in payable on futures contracts

     (1,208,911     1,073,868  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (31,795,298     5,607,526  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     66,608,730       24,550,026  

Payment on shares redeemed

     (34,012,985     (30,208,996
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     32,595,745       (5,658,970
  

 

 

   

 

 

 

Net increase (decrease) in cash

     800,447       (51,444

Cash, beginning of period

     971,442       1,411,137  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,771,889     $ 1,359,693  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

83


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 188,166      $ 1,262,351  

Segregated cash balances with brokers for futures contracts

     10,780        13,200  

Short-term U.S. government and agency obligations (Note 3)
(cost $101,893,747 and $95,356,703, respectively)

     101,900,580        95,356,621  
  

 

 

    

 

 

 

Total assets

     102,099,526        96,632,172  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     3,980,452        —    

Payable on open futures contracts

     780        1,280  

Payable to Sponsor

     76,924        72,585  

Unrealized depreciation on forward agreements

     8,453,427        4,431,107  
  

 

 

    

 

 

 

Total liabilities

     12,511,583        4,504,972  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     89,587,943        92,127,200  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 102,099,526      $ 96,632,172  
  

 

 

    

 

 

 

Shares outstanding

     2,250,000        2,800,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 39.82      $ 32.90  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 39.60      $ 33.20  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

84


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(114% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.018% due 10/05/17

   $ 16,000,000      $ 15,999,013  

1.046% due 10/12/17†

     30,000,000        29,992,167  

1.013% due 10/19/17†

     12,000,000        11,994,787  

1.079% due 11/09/17†

     10,000,000        9,989,867  

1.023% due 12/07/17†

     10,000,000        9,981,942  

0.987% due 12/14/17†

     12,000,000        11,976,639  

1.001% due 01/11/18

     12,000,000        11,966,165  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $101,893,747)

      $ 101,900,580  
     

 

 

 

Futures Contracts Purchased

 

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

Gold Futures—COMEX, expires December 2017

     2      $ 256,960      $ 9,520  

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

     1.80     10/05/17      $ 44,400      $ 56,984,292      $ (2,994,458

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

     1.91     10/05/17        38,120        48,923,589        (2,118,074

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

     1.91     10/05/17        18,000        23,101,380        (1,015,643

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

     1.85     10/05/17        38,900        49,924,649        (2,325,252
             

 

 

 
              $ (8,453,427
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of September 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 September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 231,647     $ 72,710     $ 531,782     $ 178,730  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     224,583       245,192       692,340       665,265  

Brokerage commissions and fees

     10       8       39       33  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     224,593       245,200       692,379       665,298  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     7,054       (172,490     (160,597     (486,568
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     600       7,280       (5,221     45,880  

Forward agreements

     5,462,318       12,622,611       23,367,970       33,658,090  

Short-term U.S. government and agency obligations

     (61     193       487       296  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     5,462,857       12,630,084       23,363,236       33,704,266  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     6,520       (9,380     28,480       3,400  

Forward agreements

     (555,941     (13,407,534     (4,022,320     (207,534

Short-term U.S. government and agency obligations

     3,100       (6,051     6,915       (4,093
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (546,321     (13,422,965     (3,986,925     (208,227
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     4,916,536       (792,881     19,376,311       33,496,039  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 4,923,590     $ (965,371   $ 19,215,714     $ 33,009,471  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 92,127,200  

Addition of 400,000 shares

     14,435,007  

Redemption of 950,000 shares

     (36,189,978
  

 

 

 

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

     (21,754,971
  

 

 

 

Net investment income (loss)

     (160,597

Net realized gain (loss)

     23,363,236  

Change in net unrealized appreciation/depreciation

     (3,986,925
  

 

 

 

Net income (loss)

     19,215,714  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 89,587,943  
  

 

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 19,215,714     $ 33,009,471  

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

     2,420       (3,630

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

     —         (394,000

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

     (364,397,565     (268,415,817

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

     358,392,755       238,529,754  

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

     (531,747     (178,730

Net realized gain (loss) on investments

     (487     (296

Change in unrealized appreciation/depreciation on investments

     4,015,405       211,627  

Decrease (Increase) in receivable on futures contracts

     —         80  

Increase (Decrease) in payable to Sponsor

     4,339       21,293  

Increase (Decrease) in payable on futures contracts

     (500     1,780  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     16,700,334       2,781,532  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     14,435,007       6,445,287  

Payment on shares redeemed

     (32,209,526     (9,370,304
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (17,774,519     (2,925,017
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,074,185     (143,485

Cash, beginning of period

     1,262,351       251,524  
  

 

 

   

 

 

 

Cash, end of period

   $ 188,166     $ 108,039  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

88


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,616,377      $ 1,664,601  

Segregated cash balances with brokers for futures contracts

     12,980        14,300  

Short-term U.S. government and agency obligations (Note 3)
(cost $270,613,725 and $295,296,440, respectively)

     270,629,525        295,300,799  
  

 

 

    

 

 

 

Total assets

     273,258,882        296,979,700  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     2,070        2,290  

Payable to Sponsor

     207,828        221,281  

Unrealized depreciation on forward agreements

     28,243,802        20,976,189  
  

 

 

    

 

 

 

Total liabilities

     28,453,700        21,199,760  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     244,805,182        275,779,940  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 273,258,882      $ 296,979,700  
  

 

 

    

 

 

 

Shares outstanding

     7,196,526        8,246,526  
  

 

 

    

 

 

 

Net asset value per share

   $ 34.02      $ 33.44  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 33.15      $ 32.09  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(111% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.015% due 10/05/17

   $ 23,000,000      $ 22,998,581  

1.056% due 10/12/17†

     31,000,000        30,991,906  

1.013% due 10/19/17†

     20,000,000        19,991,312  

1.036% due 10/26/17†

     26,000,000        25,983,794  

1.076% due 11/02/17†

     11,000,000        10,990,954  

1.079% due 11/09/17†

     13,000,000        12,986,827  

0.977% due 11/16/17†

     7,000,000        6,991,644  

0.962% due 11/30/17†

     12,000,000        11,980,629  

1.004% due 12/07/17†

     40,000,000        39,927,768  

0.987% due 12/14/17†

     50,000,000        49,902,665  

1.002% due 01/04/18

     9,000,000        8,976,030  

1.001% due 01/11/18

     15,000,000        14,957,706  

1.040% due 02/01/18

     14,000,000        13,949,709  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $270,613,725)

      $ 270,629,525  
     

 

 

 

Futures Contracts Purchased

 

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

Silver Futures—COMEX, expires December 2017

     2      $ 166,760      $ (4,940

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

     1.90     10/05/17      $ 9,604,000      $ 161,967,618      $ (9,405,158

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

     2.03     10/05/17        7,795,800        131,471,490        (7,478,422

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

     2.04     10/05/17        3,784,000        63,815,268        (3,531,263

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

     2.03     10/05/17        7,836,000        132,149,438        (7,828,959
             

 

 

 
                                $(28,243,802)  
             

 

 

 
All or partial amount pledged as collateral for forward agreements and/or futures contracts.
^ The positions and counterparties herein are as of September 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 September 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.

 

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PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 612,838     $ 277,478     $ 1,497,007     $ 587,744  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     612,285       978,671       1,971,071       2,300,935  

Brokerage commissions and fees

     10       9       49       36  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     612,295       978,680       1,971,120       2,300,971  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     543       (701,202     (474,113     (1,713,227
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     2,157       15,260       (18,669     50,360  

Forward agreements

     1,062,113       119,357,106       20,345,685       174,820,159  

Short-term U.S. government and agency obligations

     (722     336       (524     2,562  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     1,063,548       119,372,702       20,326,492       174,873,081  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (2,560     (10,650     22,420       10,510  

Forward agreements

     7,162,153       (88,229,820     (7,267,613     9,815,906  

Short-term U.S. government and agency obligations

     4,781       4,068       11,441       17,811  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     7,164,374       (88,236,402     (7,233,752     9,844,227  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     8,227,922       31,136,300       13,092,740       184,717,308  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 8,228,465     $ 30,435,098     $ 12,618,627     $ 183,004,081  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 275,779,940  

Addition of 950,000 shares

     31,641,699  

Redemption of 2,000,000 shares

     (75,235,084
  

 

 

 

Net addition (redemption) of (1,050,000) shares

     (43,593,385
  

 

 

 

Net investment income (loss)

     (474,113

Net realized gain (loss)

     20,326,492  

Change in net unrealized appreciation/depreciation

     (7,233,752
  

 

 

 

Net income (loss)

     12,618,627  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 244,805,182  
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 12,618,627     $ 183,004,081  

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

     1,320       5,610  

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

     —         (2,561,000

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

     (1,281,165,030     (980,153,795

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

     1,307,344,193       837,326,976  

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

     (1,496,972     (587,744

Net realized gain (loss) on investments

     524       (2,562

Change in unrealized appreciation/depreciation on investments

     7,256,172       (9,833,717

Decrease (Increase) in receivable on futures contracts

     —         (260

Increase (Decrease) in payable to Sponsor

     (13,453     112,343  

Increase (Decrease) in payable on futures contracts

     (220     (1,875
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     44,545,161       27,308,057  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     31,641,699       55,483,218  

Payment on shares redeemed

     (75,235,084     (82,652,813
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (43,593,385     (27,169,595
  

 

 

   

 

 

 

Net increase (decrease) in cash

     951,776       138,462  

Cash, beginning of period

     1,664,601       243,900  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,616,377     $ 382,362  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 2,929,230      $ 606,393  

Short-term U.S. government and agency obligations (Note 3)
(cost $10,995,458 and $11,891,729, respectively)

     10,995,765        11,891,831  

Unrealized appreciation on foreign currency forward contracts

     82,079        2,548  
  

 

 

    

 

 

 

Total assets

     14,007,074        12,500,772  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     10,027        9,629  

Unrealized depreciation on foreign currency forward contracts

     291,439        576,558  
  

 

 

    

 

 

 

Total liabilities

     301,466        586,187  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     13,705,608        11,914,585  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 14,007,074      $ 12,500,772  
  

 

 

    

 

 

 

Shares outstanding

     800,000        850,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 17.13      $ 14.02  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 17.10      $ 14.09  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

94


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PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(80% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

1.025% due 10/12/17†

   $ 6,000,000      $ 5,998,434  

1.070% due 10/19/17†

     5,000,000        4,997,331  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $10,995,458)

      $ 10,995,765  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     10/06/17        11,961,025     $ 14,138,996     $ (136,124

Euro with UBS AG

     10/06/17        17,574,000       20,774,032       (155,315
         

 

 

 
          $ (291,439
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     10/06/17        (1,663,500   $ (1,966,405   $ 33,031  

Euro with UBS AG

     10/06/17        (4,680,700     (5,533,004     49,048  
         

 

 

 
          $ 82,079  
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 30,171     $ 6,257     $ 69,923     $ 18,054  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     31,427       22,916       95,974       71,859  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     31,427       22,916       95,974       71,859  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,256     (16,659     (26,051     (53,805
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     1,259,663       46,252       2,666,172       1,155,961  

Short-term U.S. government and agency obligations

     (13     6       134       153  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     1,259,650       46,258       2,666,306       1,156,114  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (519,273     118,030       364,650       (654,504

Short-term U.S. government and agency obligations

     (331     (1,819     205       (452
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (519,604     116,211       364,855       (654,956
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     740,046       162,469       3,031,161       501,158  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 738,790     $ 145,810     $ 3,005,110     $ 447,353  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 11,914,585  

Addition of 1,200,000 shares

     18,469,355  

Redemption of 1,250,000 shares

     (19,683,442
  

 

 

 

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

     (1,214,087
  

 

 

 

Net investment income (loss)

     (26,051

Net realized gain (loss)

     2,666,306  

Change in net unrealized appreciation/depreciation

     364,855  
  

 

 

 

Net income (loss)

     3,005,110  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 13,705,608  
  

 

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 3,005,110     $ 447,353  

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

     (40,818,978     (36,177,928

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

     41,785,306       38,263,779  

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

     (69,923     (18,054

Net realized gain (loss) on investments

     (134     (153

Change in unrealized appreciation/depreciation on investments

     (364,855     654,956  

Increase (Decrease) in payable to Sponsor

     398       (2,532
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     3,536,924       3,167,421  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     18,469,355       831,691  

Payment on shares redeemed

     (19,683,442     (4,027,778
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,214,087     (3,196,087
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,322,837       (28,666

Cash, beginning of period

     606,393       227,310  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,929,230     $ 198,644  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

98


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 1,542,516      $ 604,691  

Short-term U.S. government and agency obligations (Note 3)
(cost $4,662,497 and $5,283,104, respectively)

     4,662,411        5,282,879  

Unrealized appreciation on foreign currency forward contracts

     12,351        379  
  

 

 

    

 

 

 

Total assets

     6,217,278        5,887,949  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     4,698        4,537  

Unrealized depreciation on foreign currency forward contracts

     407,660        342,455  
  

 

 

    

 

 

 

Total liabilities

     412,358        346,992  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     5,804,920        5,540,957  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 6,217,278      $ 5,887,949  
  

 

 

    

 

 

 

Shares outstanding

     99,970        99,970  
  

 

 

    

 

 

 

Net asset value per share

   $ 58.07      $ 55.43  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 58.17      $ 55.52  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

99


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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(80% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.089% due 10/12/17†

   $ 673,000      $ 672,824  

0.962% due 11/30/17

     2,000,000        1,996,771  

1.040% due 02/01/18

     2,000,000        1,992,816  
     

 

 

 

Total short-term U.S. government and agency obligations (cost $4,662,497)

      $ 4,662,411  
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/06/17        735,730,100     $ 6,539,365     $ (218,377

Yen with UBS AG

     10/06/17        652,357,100       5,798,323       (189,283
         

 

 

 
          $ (407,660
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/06/17        (23,286,700   $ (206,978   $ 1,919  

Yen with UBS AG

     10/06/17        (57,172,300     (508,163     10,432  
         

 

 

 
          $ 12,351  
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 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
September 30,
    Nine Months Ended
September 30,
 
   2017     2016     2017     2016  

Investment Income

        

Interest

   $ 10,221     $ 4,659     $ 21,407     $ 11,808  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     14,387       17,545       42,356       47,356  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     14,387       17,545       42,356       47,356  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (4,166     (12,886     (20,949     (35,548
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (4,492     955,047       338,091       2,273,130  

Short-term U.S. government and agency obligations

     (53     72       (85     72  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,545     955,119       338,006       2,273,202  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (52,440     (764,447     (53,233     (268,290

Short-term U.S. government and agency obligations

     (332     679       139       716  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (52,772     (763,768     (53,094     (267,574
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (57,317     191,351       284,912       2,005,628  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (61,483   $ 178,465     $ 263,963     $ 1,970,080  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 5,540,957  

Net investment income (loss)

     (20,949

Net realized gain (loss)

     338,006  

Change in net unrealized appreciation/depreciation

     (53,094
  

 

 

 

Net income (loss)

     263,963  
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 5,804,920  
  

 

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016  

Cash flow from operating activities

    

Net income (loss)

   $ 263,963     $ 1,970,080  

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

     (16,968,160     (19,949,134

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

     17,610,089       17,932,716  

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

     (21,407     (11,808

Net realized gain (loss) on investments

     85       (72

Change in unrealized appreciation/depreciation on investments

     53,094       267,574  

Increase (Decrease) in payable to Sponsor

     161       1,405  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     937,825       210,761  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     —         (199
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     —         (199
  

 

 

   

 

 

 

Net increase (decrease) in cash

     937,825       210,562  

Cash, beginning of period

     604,691       147,371  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,542,516     $ 357,933  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2017
(unaudited)
     December 31, 2016  

Assets

     

Cash

   $ 59,037,500      $ 39,482,473  

Segregated cash balances with brokers for futures contracts

     378,413,556        180,212,984  

Segregated cash balances with brokers for forward agreements

     738,500        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $3,181,464,501 and $3,038,837,465, respectively)

     3,181,660,408        3,038,848,441  

Unrealized appreciation on swap agreements

     40,796,900        55,358,571  

Unrealized appreciation on forward agreements

     5,114,038        4,417,812  

Unrealized appreciation on foreign currency forward contracts

     14,377,002        33,392,354  

Receivable from capital shares sold

     17,433,038       
—  
 

Receivable on open futures contracts

     58,287,553        41,862,862  

Offering costs (Note 5)

     142,300       
—  
 

Limitation by Sponsor

     37,387       
—  
 
  

 

 

    

 

 

 

Total assets

     3,756,038,182        3,393,575,497  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     118,627,346        71,525,035  

Payable on open futures contracts

     25,331,097        3,972,621  

Brokerage commissions and fees payable

    
—  
 
     2,909  

Payable to Sponsor

     2,926,556        2,722,696  

Payable for offering costs

     296,800       
—  
 

Unrealized depreciation on swap agreements

     13,678,377        12,206,881  

Unrealized depreciation on forward agreements

     36,697,229        25,407,296  

Unrealized depreciation on foreign currency forward contracts

     1,835,099        1,400,572  
  

 

 

    

 

 

 

Total liabilities

     199,392,504        117,238,010  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     3,556,645,678        3,276,337,487  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,756,038,182      $ 3,393,575,497  
  

 

 

    

 

 

 

Shares outstanding

     118,168,916        90,235,707  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended
September 30,
    Nine Months Ended
September 30,
 
   2017     2016*     2017     2016*  

Investment Income

        

Interest

   $ 7,808,931     $ 2,361,927     $ 16,997,031     $ 6,523,319  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,239,003       8,874,154       23,059,129       26,210,756  

Brokerage commissions and fees

     2,698,871       1,837,843       6,069,898       5,741,230  

Offering costs

     74,810       —         154,500       —    

Limitation by Sponsor

     (12,787     —         (37,387     —    

Reduction in Limitation by Sponsor

     5,818       —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     11,005,715       10,711,997       29,246,140       31,951,986  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (3,196,784     (8,350,070     (12,249,109     (25,428,667
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     44,960,735       (616,625,175     (340,387,543     (1,157,016,680

Swap agreements

     20,685,901       (152,532,535     (72,778,431     (154,872,473

Forward agreements

     3,415,938       106,840,064       30,057,907       151,948,518  

Foreign currency forward contracts

     (24,318,202     (38,012,183     (59,859,325     (143,336,227

Short-term U.S. government and agency obligations

     (11,633     16,487       (60,265     (24,164
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     44,732,739       (700,313,342     (443,027,657     (1,303,301,026
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,409,373     120,520,628       (8,069,381     (10,191,565

Swap agreements

     73,621,267       95,697,940       (16,033,167     120,033,888  

Forward agreements

     6,515,522       (82,379,401     (10,593,707     5,120,239  

Foreign currency forward contracts

     9,447,911       19,906,042       (19,449,879     43,519,287  

Short-term U.S. government and agency obligations

     119,011       136,969       184,931       279,499  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     85,294,338       153,882,178       (53,961,203     158,761,348  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     130,027,077       (546,431,164     (496,988,860     (1,144,539,678
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 126,830,293     $ (554,781,234   $ (509,237,969   $ (1,169,968,345
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* 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 NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

 

Shareholders’ equity, at December 31, 2016

   $ 3,276,337,487  

Addition of 196,810,016 shares

     7,589,000,140  

Redemption of 168,876,807 shares

     (6,799,453,980
  

 

 

 

Net addition (redemption) of 27,933,209 shares

     789,546,160  
  

 

 

 

Net investment income (loss)

     (12,249,109

Net realized gain (loss)

     (443,027,657

Change in net unrealized appreciation/depreciation

     (53,961,203
  

 

 

 

Net income (loss)

     (509,237,969
  

 

 

 

Shareholders’ equity, at September 30, 2017

   $ 3,556,645,678  
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30,
 
   2017     2016*  

Cash flow from operating activities

    

Net income (loss)

   $ (509,237,969   $ (1,169,968,345

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

     (198,200,572     114,083,793  

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

     —         (27,493,000

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

     (738,500     (12,334,000

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

     —         (17,077,000

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

     (15,422,910,140     (14,039,604,848

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

     15,297,219,736       13,684,559,003  

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

     (16,996,897     (6,517,397

Net realized gain (loss) on investments

     60,265       24,164  

Change in unrealized appreciation/depreciation on investments

     45,891,822       (168,952,913

Decrease (Increase) in receivable from counterparty

     —         (17,625,333

Decrease (Increase) in receivable on futures contracts

     (16,424,691     19,610,507  

Decrease (Increase) in Limitation by Sponsor

     (37,387     —    

Change in offering cost

     (142,300     —    

Increase (Decrease) in payable to Sponsor

     203,860       24,225  

Increase (Decrease) in brokerage commissions and fees payable

     (2,909     (24,694

Increase (Decrease) in payable for counterparty

     —         1,736,880  

Increase (Decrease) in payable on futures contracts

     21,358,476       30,601,598  

Increase (Decrease) in payable for offering costs

     296,800       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (799,660,406     (1,608,957,360
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     7,571,567,102       8,446,268,126  

Payment on shares redeemed

     (6,752,351,669     (6,848,020,624
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     819,215,433       1,598,247,502  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     19,555,027       (10,709,858

Cash, beginning of period

     39,482,599       48,049,225  
  

 

 

   

 

 

 

Cash, end of period

   $ 59,037,626     $ 37,339,367  
  

 

 

   

 

 

 

 

* 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

September 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 September 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.

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.

 

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

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2016 and during

nine months ended September 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

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.

 

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NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and

with the instructions for Form 10-Q and the rules and regulations of the 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 September 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 nine months ended September 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.        September 30, 2017  

UltraShort Gold, Ultra Gold

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

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

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

UltraShort Australian Dollar

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

Short Euro

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

UltraShort Euro,

Ultra Euro

        

UltraShort Yen,

Ultra Yen

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

VIX Mid-Term Futures ETF

     2:00 p.m.        4:15 p.m.        September 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 nine months ended September 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 nine months ended September 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 September 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

   $ 186,716,429      $ (18,329,321   $ —       $ —       $ —       $ 168,387,108  

VIX Mid-Term Futures ETF

     35,955,278        (1,941,640     —         —         —         34,013,638  

Short VIX Short-Term Futures ETF

     770,134,521        94,244,035       —         —         —         864,378,556  

Ultra VIX Short-Term Futures ETF

     521,315,100        (101,763,031     —         —         —         419,552,069  

UltraShort Bloomberg Crude Oil

     246,666,306        (5,367,489     —         —         (13,678,377     227,620,440  

UltraPro 3X Short Crude Oil ETF

     —          (2,423,370     —         —         —         (2,423,370

UltraShort Bloomberg Natural Gas

     2,998,697        348,521       —         —         —         3,347,218  

UltraShort Gold

     34,940,087        (9,540     2,961,605       —         —         37,892,152  

UltraShort Silver

     17,966,229        4,940       2,152,433       —         —         20,123,602  

Short Euro

     5,998,433        106,206       —         —         —         6,104,639  

UltraShort Australian Dollar

     7,997,911        379,490       —         —         —         8,377,401  

UltraShort Euro

     219,684,550        —         —         3,899,693       —         223,584,243  

UltraShort Yen

     137,818,917        —         —         9,246,879       —         147,065,796  

Ultra Bloomberg Crude Oil

     562,359,737        13,817,653       —         —         40,796,900       616,974,290  

UltraPro 3X Crude Oil ETF

     —          1,272,779       —         —         —         1,272,779  

Ultra Bloomberg Natural Gas

     42,919,932        (971,690     —         —         —         41,948,242  

Ultra Gold

     101,900,580        9,520       (8,453,427     —         —         93,456,673  

Ultra Silver

     270,629,525        (4,940     (28,243,802     —         —         242,380,783  

Ultra Euro

     10,995,765        —         —         (209,360     —         10,786,405  

Ultra Yen

     4,662,411        —         —         (395,309     —         4,267,102  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 3,181,660,408      $ (20,627,877   $ (31,583,191   $ 12,541,903     $ 27,118,523     $ 3,169,109,766  

 

* 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 September 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 September 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.

 

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

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

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

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is 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.

 

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

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the 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 September 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

 

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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 September 30, 2017, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

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

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

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 September 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.

 

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

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

 

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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 September 30, 2017

 

    

Assets Derivatives

    

Liability Derivatives

 
Derivatives not    Statements of                Statements of            
accounted for    Financial                Financial            
as hedging    Condition         Unrealized      Condition         Unrealized  

instruments

  

Location

  

Fund

   Appreciation     

Location

  

Fund

   Depreciation  

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

   $ 94,244,035*     

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

   $ 18,329,321*  
              

ProShares VIX Mid-Term Futures ETF

     1,941,640*  
              

ProShares Ultra VIX Short-Term Futures ETF

     101,763,031*  

Commodities Contracts

  

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

  

ProShares UltraShort Bloomberg Natural Gas

     348,521*     

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

  

ProShares UltraShort Bloomberg Crude Oil

     19,045,866*  
     

ProShares UltraShort Gold

     2,961,605        

ProShares UltraPro 3X Short Crude Oil ETF

     2,423,370*  
     

ProShares UltraShort Silver

     2,157,373*        

ProShares UltraShort Gold

     9,540*  
     

ProShares Ultra Bloomberg Crude Oil

     54,614,553*        

ProShares Ultra Bloomberg Natural Gas

     971,690*  
     

ProShares UltraPro 3X Crude Oil ETF

     1,272,779*        

ProShares Ultra Gold

     8,453,427  
     

ProShares Ultra Gold

     9,520*        

ProShares Ultra Silver

     28,248,742*  

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     106,206*     

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

  

ProShares UltraShort Euro

     565,859  
     

ProShares UltraShort Australian Dollar

     379,490*        

ProShares UltraShort Yen

     570,141  
     

ProShares UltraShort Euro

     4,465,552        

ProShares Ultra Euro

     291,439  
     

ProShares UltraShort Yen

     9,817,020        

ProShares Ultra Yen

     407,660  
     

ProShares Ultra Euro

     82,079           
     

ProShares Ultra Yen

     12,351           
        

 

 

          

 

 

 
      Total Trust    $ 170,471,084*         Total Trust    $ 183,021,726*  

 

* 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 swaps and/or forward agreements

  

ProShares UltraShort Gold

     3,052,546  

Payable on open futures contracts, unrealized depreciation on swaps 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.

 

121


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 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

   $ (27,447,205   $ (17,219,461
     

ProShares VIX Mid-Term Futures ETF

     (3,965,084     364,615  
     

ProShares Short VIX Short-Term Futures ETF

     188,300,727       100,033,466  
     

ProShares Ultra VIX Short-Term Futures ETF

     (126,532,816     (95,515,562

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

     (9,418,807     (30,456,798
     

ProShares UltraPro 3X Short Crude Oil ETF

     (1,540,337     (2,178,096
     

ProShares UltraShort Bloomberg Natural Gas

     (151,368     615,201  
     

ProShares UltraShort Gold

     (2,644,155     299,106  
     

ProShares UltraShort Silver

     (467,171     (393,756
     

ProShares Ultra Bloomberg Crude Oil

     45,497,245       112,823,127  
     

ProShares UltraPro 3X Crude Oil ETF

     4,971,742       694,326  
     

ProShares Ultra Bloomberg Natural Gas

     (2,014,548     (1,078,511
     

ProShares Ultra Gold

     5,462,918       (549,421
     

ProShares Ultra Silver

     1,064,270       7,159,593  

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

     (599,482     291,787  
     

ProShares UltraShort Australian Dollar

     (1,453,355     837,800  
     

ProShares UltraShort Euro

     (24,505,520     10,103,133  
     

ProShares UltraShort Yen

     (1,067,853     (83,509
     

ProShares Ultra Euro

     1,259,663       (519,273
     

ProShares Ultra Yen

     (4,492     (52,440
        

 

 

   

 

 

 
      Total Trust    $ 44,744,372     $ 85,175,327  

 

122


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2016

 

                     Change in  
                     Unrealized
Appreciation/
 
Derivatives not accounted   

Location of Gain

(Loss) on Derivatives

       

Realized Gain

(Loss) on Derivatives

    Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

   Recognized in Income     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

   $ (101,785,229   $ 6,786,934  
     

ProShares VIX Mid-Term Futures ETF

     (4,899,530     (1,149,750
     

ProShares Short VIX Short-Term Futures ETF

     277,246,086       (51,813,012
     

ProShares Ultra VIX Short-Term Futures ETF

     (745,101,700     138,973,918  

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

     50,281,494       (32,976,232
     

ProShares UltraShort Bloomberg Natural Gas

     (101,997     712,984  
     

ProShares UltraShort Gold

     (10,296,533     9,770,795  
     

ProShares UltraShort Silver

     (14,865,870     9,507,258  
     

ProShares Ultra Bloomberg Crude Oil

     (246,218,628     165,582,895  
     

ProShares Ultra Bloomberg Natural Gas

     1,964,411       (8,409,834
     

ProShares Ultra Gold

     12,629,891       (13,416,914
     

ProShares Ultra Silver

     119,372,366       (88,240,470

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

     327,212       (488,475
     

ProShares UltraShort Australian Dollar

     (318,842     (971,687
     

ProShares UltraShort Euro

     (5,537,097     (2,518,631
     

ProShares UltraShort Yen

     (33,476,385     23,071,090  
     

ProShares Ultra Euro

     46,252       118,030  
     

ProShares Ultra Yen

     955,047       (764,447
        

 

 

   

 

 

 
      Total Trust    $ (699,779,052   $ 153,774,452  

 

123


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2017

 

                     Change in  
                     Unrealized
Appreciation/
 
Derivatives not accounted   

Location of Gain

(Loss) on Derivatives

       

Realized Gain

(Loss) on Derivatives

    Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

   Recognized in Income     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

   $ (126,202,705   $ (17,860,669
     

ProShares VIX Mid-Term Futures ETF

     (19,180,135     (653,395
     

ProShares Short VIX Short-Term Futures ETF

     471,128,319       104,553,646  
     

ProShares Ultra VIX Short-Term Futures ETF

     (646,036,987     (93,790,794

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

     49,807,530       (5,412,170
     

ProShares UltraPro 3X Short Crude Oil ETF

     232,006       (2,423,370
     

ProShares UltraShort Bloomberg Natural Gas

     1,756,252       830,552  
     

ProShares UltraShort Gold

     (10,938,952     (100,481
     

ProShares UltraShort Silver

     (2,693,320     745,817  
     

ProShares Ultra Bloomberg Crude Oil

     (123,511,840     (6,281,183
     

ProShares UltraPro 3X Crude Oil ETF

     3,137,907       1,272,779  
     

ProShares Ultra Bloomberg Natural Gas

     (21,040,313     (3,508,410
     

ProShares Ultra Gold

     23,362,749       (3,993,840
     

ProShares Ultra Silver

     20,327,016       (7,245,193

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

     (1,334,988     (26,694
     

ProShares UltraShort Australian Dollar

     (1,920,606     (802,850
     

ProShares UltraShort Euro

     (45,334,575     (12,263,238
     

ProShares UltraShort Yen

     (17,529,013     (7,498,058
     

ProShares Ultra Euro

     2,666,172       364,650  
     

ProShares Ultra Yen

     338,091       (53,233
        

 

 

   

 

 

 
      Total Trust    $ (442,967,392   $ (54,146,134

 

124


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2016

 

                     Change in  
                     Unrealized
Appreciation/
 
Derivatives not accounted   

Location of Gain

(Loss) on Derivatives

       

Realized Gain

(Loss) on Derivatives

    Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

   Recognized in Income     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

   $ (134,345,928   $ (8,475,358
     

ProShares VIX Mid-Term Futures ETF

     (5,248,725     (1,917,790
     

ProShares Short VIX Short-Term Futures ETF

     263,024,643       16,663,427  
     

ProShares Ultra VIX Short-Term Futures ETF

     (1,269,233,467     (51,163,549

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

     (36,896,214     (29,823,971
     

ProShares UltraShort Bloomberg Natural Gas

     455,516       2,803,566  
     

ProShares UltraShort Gold

     (29,965,169     (231,807
     

ProShares UltraShort Silver

     (26,655,192     (4,267,196
     

ProShares Ultra Bloomberg Crude Oil

     (132,872,456     190,316,382  
     

ProShares Ultra Bloomberg Natural Gas

     6,591,697       (7,752,693
     

ProShares Ultra Gold

     33,703,970       (204,134
     

ProShares Ultra Silver

     174,870,519       9,826,416  

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

     (199,588     (270,444
     

ProShares UltraShort Australian Dollar

     (2,462,334     (495,700
     

ProShares UltraShort Euro

     (60,591,547     30,435,313  
     

ProShares UltraShort Yen

     (86,173,771     14,006,768  
     

ProShares Ultra Euro

     1,155,961       (654,504
     

ProShares Ultra Yen

     2,273,130       (268,290
        

 

 

   

 

 

 
      Total Trust    $ (1,302,568,955   $ 158,526,436  

 

125


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 September 30, 2017.

 

Fair Values of Derivative Instruments as of September 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

   $ —        $ —        $ —        $ 13,678,377      $ —        $ 13,678,377  

ProShares UltraShort Gold

                 

Forward agreements

     2,961,605        —          2,961,605        —          —          —    

ProShares UltraShort Silver

                 

Forward agreements

     2,152,433        —          2,152,433        —          —          —    

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     4,465,552        —          4,465,552        565,859        —          565,859  

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     9,817,020        —          9,817,020        570,141        —          570,141  

ProShares Ultra Bloomberg Crude Oil

                 

Swap agreements

     40,796,900        —          40,796,900        —          —          —    

ProShares Ultra Gold

                 

Forward agreements

     —          —          —          8,453,427        —          8,453,427  

ProShares Ultra Silver

                 

Forward agreements

     —          —          —          28,243,802        —          28,243,802  

ProShares Ultra Euro

                 

Foreign currency forward contracts

     82,079        —          82,079        291,439        —          291,439  

ProShares Ultra Yen

                 

Foreign currency forward contracts

     12,351        —          12,351        407,660        —          407,660  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 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”.

 

126


Table of Contents

Gross Amounts Not Offset in the Statements of Financial Condition as of September 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.

   $ (6,092,070   $ 6,092,070     $ —       $ —    

Goldman Sachs International

     (3,900,635     3,900,635       —         —    

Societe Generale

     (514,835     514,835       —         —    

UBS AG

     (3,170,837     3,170,837       —         —    

ProShares UltraShort Gold

        

Citibank, N.A.

     1,045,390       —         —         1,045,390  

Goldman Sachs International

     835,086       (692,611     —         142,475  

Societe Generale

     267,146       (267,146     —         —    

UBS AG

     813,983       —         (660,000     153,983  

ProShares UltraShort Silver

        

Citibank, N.A.

     775,445       —         —         775,445  

Goldman Sachs International

     671,956       —         —         671,956  

Societe Generale

     143,987       —         —         143,987  

UBS AG

     561,045       —         (350,000     211,045  

ProShares UltraShort Euro

        

Goldman Sachs International

     2,034,015       (2,034,015     —         —    

UBS AG

     1,865,678       —         (1,865,678     —    

ProShares UltraShort Yen

        

Goldman Sachs International

     4,588,344       (4,588,344     —         —    

UBS AG

     4,658,535       —         (4,550,000     108,535  

ProShares Ultra Bloomberg Crude Oil

        

Citibank, N.A.

     13,855,515       —         —         13,855,515  

Goldman Sachs International

     11,965,958       (11,930,988     —         34,970  

Societe Generale

     4,548,744       (4,548,744     —         —    

UBS AG

     10,426,683       —         (9,900,000     526,683  

ProShares Ultra Gold

        

Citibank, N.A.

     (2,994,458     2,994,458       —         —    

Goldman Sachs International

     (2,118,074     2,118,074       —         —    

Societe Generale

     (1,015,643     1,015,643       —         —    

UBS AG

     (2,325,252     2,325,252       —         —    

ProShares Ultra Silver

        

Citibank, N.A.

     (9,405,158     9,405,158       —         —    

Goldman Sachs International

     (7,478,422     7,478,422       —         —    

Societe Generale

     (3,531,263     3,531,263       —         —    

UBS AG

     (7,828,959     7,828,959       —         —    

ProShares Ultra Euro

        

Goldman Sachs International

     (103,093     103,093       —         —    

UBS AG

     (106,267     106,267       —         —    

ProShares Ultra Yen

        

Goldman Sachs International

     (216,458     216,458       —         —    

UBS AG

     (178,851     27,993       —         (150,858

 

127


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”.

 

128


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

     (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

     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

     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

     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

     (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

     (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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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 nine months ended September 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
September 30, 2017
     Nine Months Ended 
September 30, 2017
 

VIX Short-Term Futures ETF

   $ 49,381      $ 115,876  

VIX Mid-Term Futures ETF

     5,298        8,510  

Short VIX Short-Term Futures ETF

     337,623        763,477  

Ultra VIX Short-Term Futures ETF

     385,071        837,558  

UltraShort Bloomberg Crude Oil

     54,276        172,684  

UltraPro 3X Short Crude Oil ETF

     4,627        7,826  

UltraShort Bloomberg Natural Gas

     1,138        1,903  

UltraShort Gold

     1,537        13,526  

UltraShort Silver

     —          —    

Short Euro

     —          —    

UltraShort Australian Dollar

     —          —    

UltraShort Euro

     —          —    

UltraShort Yen

     —          —    

Ultra Bloomberg Crude Oil

     135,612        531,483  

UltraPro 3X Crude Oil ETF

     9,352        18,464  

Ultra Bloomberg Natural Gas

     3,499        10,369  

Ultra Gold

     1,755        11,130  

Ultra Silver

     6,058        23,746  

Ultra Euro

     —          —    

Ultra Yen

     —          —    
  

 

 

    

 

 

 

Total Trust

   $ 995,227      $ 2,516,552  

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

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

For the Three Months Ended September 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 June 30, 2017

   $ 42.69     $ 27.46     $ 80.11     $ 39.32     $ 43.43     $ 26.46  

Net investment income (loss)

     (0.01     (0.01     (0.13     (0.09     0.00 (1)      (0.07

Net realized and unrealized gain (loss)#

     (10.11     (2.25     13.70       (18.59     (9.83     (8.87

Change in net asset value from operations

     (10.12     (2.26     13.57       (18.68     (9.83     (8.94

Net asset value, at September 30, 2017

   $ 32.57     $ 25.20     $ 93.68     $ 20.64     $ 33.60     $ 17.52  

Market value per share, at June 30, 2017†

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

Market value per share, at September 30, 2017†

   $ 32.53     $ 25.17     $ 93.75     $ 20.60     $ 33.73     $ 17.63  

Total Return, at net asset value^

     (23.7 )%      (8.2 )%      16.9     (47.5 )%      (22.6 )%      (33.8 )% 

Total Return, at market value^

     (23.5 )%      (8.2 )%      16.3     (47.1 )%      (21.9 )%      (32.8 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.98     0.92     1.50     2.00     0.99     1.31

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.14 )%      (0.17 )%      (0.66 )%      (1.21 )%      (0.03 )%      (1.31 )% 

 

* 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 September 30, 2017.
** Percentages are annualized.
(1)  Amount represents less than $0.005.

 

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For the Three Months Ended September 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 June 30, 2017

   $ 33.16     $ 76.30     $ 34.75     $ 41.74     $ 47.90     $ 23.12  

Net investment income (loss)

     (0.06     (0.00 )(2)      (0.00 )(2)      (0.01     (0.01     0.00 (1) 

Net realized and unrealized gain (loss)#

     0.77       (5.02     (2.76     (1.26     (2.26     (1.43

Change in net asset value from operations

     0.71       (5.02     (2.76     (1.27     (2.27     (1.43

Net asset value, at September 30, 2017

   $ 33.87     $ 71.28     $ 31.99     $ 40.47     $ 45.63     $ 21.69  

Market value per share, at June 30, 2017†

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

Market value per share, at September 30, 2017†

   $ 33.64     $ 71.55     $ 32.78     $ 40.56     $ 45.85     $ 21.68  

Total Return, at net asset value^

     2.1     (6.6 )%      (7.9 )%      (3.0 )%      (4.7 )%      (6.2 )% 

Total Return, at market value^

     0.9     (6.3 )%      (3.8 )%      (2.8 )%      (4.1 )%      (6.2 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.34     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)

     (0.73 )%      (0.01 )%      (0.05 )%      (0.14 )%      (0.13 )%      0.04

 

# 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 September 30, 2017.
** Percentages are annualized.
(1)  Amount represents less than $0.005.
(2)  Amount represents less than $(0.005).

 

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For the Three Months Ended September 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 June 30, 2017

   $ 74.07     $ 14.80     $ 19.52     $ 9.77     $ 37.75     $ 33.23  

Net investment income (loss)

     0.01       (0.00 )(2)      (0.07     (0.01     0.00 (1)      0.00 (1) 

Net realized and unrealized gain (loss)#

     0.18       3.10       5.82       (1.02     2.07       0.79  

Change in net asset value from operations

     0.19       3.10       5.75       (1.03     2.07       0.79  

Net asset value, at September 30, 2017

   $ 74.26     $ 17.90     $ 25.27     $ 8.74     $ 39.82     $ 34.02  

Market value per share, at June 30, 2017†

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

Market value per share, at September 30, 2017†

   $ 74.21     $ 17.82     $ 25.09     $ 8.80     $ 39.60     $ 33.15  

Total Return, at net asset value^

     0.3     20.9     29.5     (10.5 )%      5.5     2.4

Total Return, at market value^

     0.2     19.9     27.5     (9.7 )%      5.1     (2.0 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.97     1.24     1.16     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)

     0.03     (0.01 )%      (1.24 )%      (0.37 )%      0.03     0.00 %(3) 

 

# 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 September 30, 2017.
** Percentages are annualized.
(1)  Amount represents less than $0.005.
(2)  Amount represents less than $(0.005).
(3)  Amount represents less than 0.005%.

 

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

 

Per Share Operating Performance

   Ultra Euro     Ultra Yen  

Net asset value, at June 30, 2017

   $ 16.16     $ 58.68  

Net investment income (loss)

     (0.00 )(2)      (0.04

Net realized and unrealized gain (loss)#

     0.97       (0.57

Change in net asset value from operations

     0.97       (0.61

Net asset value, at September 30, 2017

   $ 17.13     $ 58.07  

Market value per share, at June 30, 2017†

   $ 16.17     $ 58.68  

Market value per share, at September 30, 2017†

   $ 17.10     $ 58.17  

Total Return, at net asset value^

     6.0     (1.0 )% 

Total Return, at market value^

     5.8     (0.9 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95

Net investment income (loss)

     (0.04 )%      (0.28 )% 

 

# 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 September 30, 2017.
** Percentages are annualized.
(2)  Amount represents less than $(0.005).

 

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

For the Three Months Ended September 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 June 30, 2016

   $ 180.57     $ 51.98     $ 24.92     $ 912.60     $ 40.97     $ 34.09  

Net investment income (loss)

     (0.24     (0.09     (0.09     (1.64     (0.09     (0.13

Net realized and unrealized gain
(loss)#

     (66.20     (6.14     11.49       (572.92     (0.88     2.36  

Change in net asset value from operations

     (66.44     (6.23     11.40       (574.56     (0.97     2.23  

Net asset value, at September 30, 2016

   $ 114.13     $ 45.75     $ 36.32     $ 338.04     $ 40.00     $ 36.32  

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

   $ 113.32     $ 45.69     $ 36.61     $ 333.00     $ 40.45     $ 36.14  

Total Return, at net asset value^

     (36.8 )%      (12.0 )%      45.7     (63.0 )%      (2.4 )%      6.5

Total Return, at market value^

     (38.1 )%      (13.0 )%      49.2     (64.7 )%      (0.9 )%      6.1

Ratios to Average Net Assets**

            

Expense ratio

     0.99     0.94     1.42     1.59     1.01     1.58

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.73 )%      (0.70 )%      (1.17 )%      (1.36 )%      (0.75 )%      (1.40 )% 

 

* 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 September 30, 2016.
** Percentages are annualized.

 

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

 

Per Share Operating Performance

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

Net asset value, at June 30, 2016

   $ 70.31     $ 33.16     $ 42.81     $ 53.47     $ 24.32     $ 63.53  

Net investment income (loss)

     (0.12     (0.05     (0.08     (0.10     (0.04     (0.11

Net realized and unrealized gain (loss)#

     (0.58     (5.17     (0.51     (3.69     (0.50     (2.74

Change in net asset value from operations

     (0.70     (5.22     (0.59     (3.79     (0.54     (2.85

Net asset value, at September 30, 2016

   $ 69.61     $ 27.94     $ 42.22     $ 49.68     $ 23.78     $ 60.68  

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

   $ 70.19     $ 28.41     $ 42.22     $ 49.67     $ 23.76     $ 60.64  

Total Return, at net asset value^

     (1.0 )%      (15.8 )%      (1.4 )%      (7.1 )%      (2.2 )%      (4.5 )% 

Total Return, at market value^

     0.3     (10.2 )%      (1.4 )%      (7.1 )%      (2.3 )%      (4.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.95     0.96     1.02     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)

     (0.69 )%      (0.70 )%      (0.75 )%      (0.75 )%      (0.69 )%      (0.69 )% 

 

# 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 September 30, 2016.
** Percentages are annualized.

 

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For the Three Months Ended September 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 June 30, 2016

   $ 24.33     $ 17.75     $ 44.80     $ 45.53     $ 15.89     $ 72.67  

Net investment income (loss)

     (0.04     (0.04     (0.08     (0.09     (0.03     (0.13

Net realized and unrealized gain (loss)#

     (3.27     (3.23     (0.30     3.56       0.27       1.92  

Change in net asset value from operations

     (3.31     (3.27     (0.38     3.47       0.24       1.79  

Net asset value, at September 30, 2016

   $ 21.02     $ 14.48     $ 44.42     $ 49.00     $ 16.13     $ 74.46  

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

   $ 20.76     $ 14.58     $ 44.01     $ 48.11     $ 16.12     $ 74.48  

Total Return, at net asset value^

     (13.6 )%      (18.4 )%      (0.8 )%      7.6     1.5     2.5

Total Return, at market value^

     (15.1 )%      (17.4 )%      (2.3 )%      0.9     1.6     2.4

Ratios to Average Net Assets**

            

Expense ratio

     1.00     1.23     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)

     (0.75 )%      (1.03 )%      (0.67 )%      (0.68 )%      (0.69 )%      (0.70 )% 

 

* 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 September 30, 2016.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the nine months ended September 30, 2017:

For the Nine Months Ended September 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

   $ 84.86     $ 42.14     $ 45.62     $ 173.93     $ 31.70     $ 25.00  

Net investment income (loss)

     (0.11     (0.07     (0.45     (0.43     (0.08     (0.16

Net realized and unrealized gain (loss)#

     (52.18     (16.87     48.51       (152.86     1.98       (7.32

Change in net asset value from operations

     (52.29     (16.94     48.06       (153.29     1.90       (7.48

Net asset value, at September 30, 2017

   $ 32.57     $ 25.20     $ 93.68     $ 20.64     $ 33.60     $ 17.52  

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 September 30, 2017†

   $ 32.53     $ 25.17     $ 93.75     $ 20.60     $ 33.73     $ 17.63  

Total Return, at net asset value^

     (61.6 )%      (40.2 )%      105.3     (88.1 )%      6.0     (29.9 )% 

Total Return, at market value^

     (61.7 )%      (40.6 )%      106.1     (88.2 )%      6.6     (29.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.97     0.89     1.52     1.88     0.99     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 )%      (0.30 )%      (0.80 )%      (1.28 )%      (0.29 )%      (1.34 )% 

 

* See Note 1 of these Notes to Financial Statements.
+ From commencement of operations, March 24, 2017 through September 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. For ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.
^ Percentages are not annualized for the period ended September 30, 2017.
** Percentages are annualized.

 

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For the Nine Months Ended September 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

   $ 23.10     $ 91.33     $ 37.31     $ 45.06     $ 55.38     $ 27.08  

Net investment income (loss)

     (0.20     (0.13     (0.06     (0.12     (0.15     (0.04

Net realized and unrealized gain (loss)#

     10.97       (19.92     (5.26     (4.47     (9.60     (5.35

Change in net asset value from operations

     10.77       (20.05     (5.32     (4.59     (9.75     (5.39

Net asset value, at September 30, 2017

   $ 33.87     $ 71.28     $ 31.99     $ 40.47     $ 45.63     $ 21.69  

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 September 30, 2017†

   $ 33.64     $ 71.55     $ 32.78     $ 40.56     $ 45.85     $ 21.68  

Total Return, at net asset value^

     46.6     (22.0 )%      (14.3 )%      (10.2 )%      (17.6 )%      (19.9 )% 

Total Return, at market value^

     45.9     (21.0 )%      (15.4 )%      (10.1 )%      (17.0 )%      (19.9 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.32     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)

     (0.83 )%      (0.23 )%      (0.27 )%      (0.37 )%      (0.42 )%      (0.23 )% 

 

# 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 September 30, 2017.
** Percentages are annualized.

 

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For the Nine Months Ended September 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

   $ 80.24     $ 23.34     $ 25.00     $ 18.85     $ 32.90     $ 33.44  

Net investment income (loss)

     (0.14     (0.03     (0.14     (0.05     (0.06     (0.06

Net realized and unrealized gain (loss)#

     (5.84     (5.41     0.41       (10.06     6.98       0.64  

Change in net asset value from operations

     (5.98     (5.44     0.27       (10.11     6.92       0.58  

Net asset value, at September 30, 2017

   $ 74.26     $ 17.90     $ 25.27     $ 8.74     $ 39.82     $ 34.02  

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 September 30, 2017†

   $ 74.21     $ 17.82     $ 25.09     $ 8.80     $ 39.60     $ 33.15  

Total Return, at net asset value^

     (7.5 )%      (23.3 )%      1.1     (53.6 )%      21.0     1.7

Total Return, at market value^

     (7.5 )%      (23.7 )%      0.4     (53.6 )%      19.3     3.3

Ratios to Average Net Assets**

            

Expense ratio

     0.95     0.97     1.26     1.16     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)

     (0.26 )%      (0.24 )%      (1.26 )%      (0.57 )%      (0.22 )%      (0.23 )% 

 

+ From commencement of operations, March 24, 2017 through September 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. For ProShares UltraPro 3x Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.
^ Percentages are not annualized for the period ended September 30, 2017.

The returns of shares outstanding for the period from commencement of operations through September 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 Nine Months Ended September 30, 2017 (unaudited)

 

Per Share Operating Performance

   Ultra Euro     Ultra Yen  

Net asset value, at December 31, 2016

   $ 14.02     $ 55.43  

Net investment income (loss)

     (0.03     (0.21

Net realized and unrealized gain (loss)#

     3.14       2.85  

Change in net asset value from operations

     3.11       2.64  

Net asset value, at September 30, 2017

   $ 17.13     $ 58.07  

Market value per share, at December 31, 2016†

   $ 14.09     $ 55.52  

Market value per share, at September 30, 2017†

   $ 17.10     $ 58.17  

Total Return, at net asset value^

     22.2     4.8

Total Return, at market value^

     21.4     4.8

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 )%      (0.47 )% 

 

# 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 September 30, 2017.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the nine months ended September 30, 2016:

For the Nine Months Ended September 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

   $ 264.84     $ 53.96     $ 25.41     $ 2,808.40     $ 66.60     $ 46.53  

Net investment income (loss)

     (1.03     (0.28     (0.21     (9.40     (0.31     (0.57

Net realized and unrealized gain (loss)#

     (149.68     (7.93     11.12       (2,460.96     (26.29     (9.64

Change in net asset value from operations

     (150.71     (8.21     10.91       (2,470.36     (26.60     (10.21

Net asset value, at September 30, 2016

   $ 114.13     $ 45.75     $ 36.32     $ 338.04     $ 40.00     $ 36.32  

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 September 30, 2016†

   $ 113.32     $ 45.69     $ 36.61     $ 333.00     $ 40.45     $ 36.14  

Total Return, at net asset value^

     (56.9 )%      (15.2 )%      42.9     (88.0 )%      (39.9 )%      (22.0 )% 

Total Return, at market value^

     (57.5 )%      (15.4 )%      45.1     (88.3 )%      (39.5 )%      (22.4 )% 

Ratios to Average Net Assets**

            

Expense ratio

     1.01     0.93     1.36     1.56     1.04     1.68

Expense ratio, excluding brokerage commissions

     0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.78 )%      (0.71 )%      (1.13 )%      (1.33 )%      (0.79 )%      (1.46 )% 

 

* 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 September 30, 2016.
** Percentages are annualized.

 

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For the Nine Months Ended September 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

   $ 115.88     $ 64.58     $ 43.78     $ 58.46     $ 25.54     $ 87.94  

Net investment income (loss)

     (0.42     (0.21     (0.25     (0.33     (0.13     (0.38

Net realized and unrealized gain (loss)#

     (45.85     (36.43     (1.31     (8.45     (1.63     (26.88

Change in net asset value from operations

     (46.27     (36.64     (1.56     (8.78     (1.76     (27.26

Net asset value, at September 30, 2016

   $ 69.61     $ 27.94     $ 42.22     $ 49.68     $ 23.78     $ 60.68  

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 September 30, 2016†

   $ 70.19     $ 28.41     $ 42.22     $ 49.67     $ 23.76     $ 60.64  

Total Return, at net asset value^

     (39.9 )%      (56.7 )%      (3.6 )%      (15.0 )%      (6.9 )%      (31.0 )% 

Total Return, at market value^

     (39.4 )%      (56.0 )%      (3.5 )%      (14.6 )%      (6.9 )%      (31.0 )% 

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)

     (0.71 )%      (0.71 )%      (0.78 )%      (0.80 )%      (0.70 )%      (0.74 )% 

 

# 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 September 30, 2016.
** Percentages are annualized.

 

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For the Nine Months Ended September 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

   $ 25.15     $ 18.57     $ 29.73     $ 27.06     $ 15.51     $ 54.75  

Net investment income (loss)

     (0.12     (0.12     (0.21     (0.21     (0.08     (0.36

Net realized and unrealized gain (loss)#

     (4.01     (3.97     14.90       22.15       0.70       20.07  

Change in net asset value from operations

     (4.13     (4.09     14.69       21.94       0.62       19.71  

Net asset value, at September 30, 2016

   $ 21.02     $ 14.48     $ 44.42     $ 49.00     $ 16.13     $ 74.46  

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 September 30, 2016†

   $ 20.76     $ 14.58     $ 44.01     $ 48.11     $ 16.12     $ 74.48  

Total Return, at net asset value^

     (16.4 )%      (22.0 )%      49.4     81.1     4.0     36.0

Total Return, at market value^

     (17.2 )%      (21.1 )%      48.0     77.7     3.9     36.2

Ratios to Average Net Assets**

            

Expense ratio

     1.02     1.36     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)

     (0.78 )%      (1.17 )%      (0.69 )%      (0.71 )%      (0.71 )%      (0.71 )% 

 

* 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 September 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.

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.

 

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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 September 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 this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of 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.

 

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Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable 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 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.

 

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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 nine months ended September 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
September 30,
2017
     Interest Income
Three Months
Ended
September 30,
2016
     Interest Income
Nine Months
Ended
September 30,
2017
     Interest Income
Nine Months
Ended
September 30,
2016
 

ProShares VIX Short-Term Futures ETF

   $ 379,082      $ 144,244      $ 786,305      $ 324,819  

ProShares VIX Mid-Term Futures ETF

     71,551        29,706        164,138        63,804  

ProShares Short VIX Short-Term Futures ETF

     2,102,194        248,974        3,484,888        848,132  

ProShares Ultra VIX Short-Term Futures ETF

     866,857        400,731        1,833,411        1,227,394  

ProShares UltraShort Bloomberg Crude Oil

     458,896        112,015        998,438        345,514  

ProShares UltraPro 3X Short Crude Oil ETF

     —          —          —          —    

ProShares UltraShort Bloomberg Natural Gas

     11,436        2,395        25,909        16,513  

ProShares UltraShort Gold

     85,802        44,515        202,149        118,780  

ProShares UltraShort Silver

     44,411        22,794        103,317        71,536  

ProShares Short Euro

     18,865        8,177        57,345        22,846  

ProShares UltraShort Australian Dollar

     23,090        12,198        58,614        32,241  

ProShares UltraShort Euro

     559,862        248,831        1,452,945        765,698  

ProShares UltraShort Yen

     389,160        155,603        1,072,691        328,442  

ProShares Ultra Bloomberg Crude Oil

     1,819,809        547,630        4,436,888        1,497,225  

ProShares UltraPro 3X Crude Oil ETF

     —          —          —          —    

ProShares Ultra Bloomberg Natural Gas

     93,039        18,114        199,874        45,257  

ProShares Ultra Gold

     231,647        72,710        531,782        178,730  

ProShares Ultra Silver

     612,838        277,478        1,497,007        587,744  

ProShares Ultra Euro

     30,171        6,257        69,923        18,054  

ProShares Ultra Yen

     10,221        4,659        21,407        11,808  

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 November 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 nine months ended September 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 September 30, 2017 Compared to the Three Months Ended September 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 September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 162,053,094     $ 190,955,944  

NAV end of period

   $ 191,364,819     $ 227,819,218  

Percentage change in NAV

     18.1     19.3

Shares outstanding beginning of period

     3,796,113       1,057,491  

Shares outstanding end of period

     5,876,317       1,996,113  

Percentage change in shares outstanding

     54.8     88.8

Shares created

     3,106,250       1,151,250  

Shares redeemed

     1,026,046       212,628  

Per share NAV beginning of period

   $ 42.69     $ 180.57  

Per share NAV end of period

   $ 32.57     $ 114.13  

Percentage change in per share NAV

     (23.7 )%      (36.8 )% 

Percentage change in benchmark

     (23.4 )%      (36.8 )% 

Benchmark annualized volatility

     65.8     55.1

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 3,796,113 outstanding Shares at June 30, 2017 to 5,876,317 outstanding Shares at September 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 September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,057,491 outstanding Shares at June 30, 2016 to 1,996,113 outstanding Shares at September 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 September 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 23.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $179.80 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 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 September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (61,284    $ (407,697

Management fee

     381,123        474,982  

Brokerage commissions

     59,243        76,959  

Net realized gain (loss)

     (27,446,786      (101,781,283

Change in net unrealized appreciation/depreciation

     (17,216,367      6,811,763  

Net income (loss)

   $ (44,724,437    $ (95,377,217

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 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 September 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 September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 30,550,943     $ 42,224,892  

NAV end of period

   $ 45,047,423     $ 58,894,811  

Percentage change in NAV

     47.5     39.5

Shares outstanding beginning of period

     1,112,403       812,403  

Shares outstanding end of period

     1,787,403       1,287,403  

Percentage change in shares outstanding

     60.7     58.5

Shares created

     675,000       525,000  

Shares redeemed

     —         50,000  

Per share NAV beginning of period

   $ 27.46     $ 51.98  

Per share NAV end of period

   $ 25.20     $ 45.75  

Percentage change in per share NAV

     (8.2 )%      (12.0 )% 

Percentage change in benchmark

     (8.0 )%      (11.7 )% 

Benchmark annualized volatility

     27.0     20.2

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 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 Mid-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 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 September 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 8.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016 was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

 

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During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 8.0% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 11.7% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (15,787    $ (89,667

Management fee

     80,574        108,438  

Brokerage commissions

     6,764        10,935  

Net realized gain (loss)

     (3,965,084      (4,899,386

Change in net unrealized appreciation/depreciation

     365,957        (1,141,385

Net income (loss)

   $ (3,614,914    $ (6,130,438

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 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 September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 793,060,423     $ 687,712,265  

NAV end of period

   $ 1,039,873,910     $ 504,798,665  

Percentage change in NAV

     31.1     (26.6 )% 

Shares outstanding beginning of period

     9,900,000       27,600,000  

Shares outstanding end of period

     11,100,000       13,900,000  

Percentage change in shares outstanding

     12.1     (49.6 )% 

Shares created

     17,750,000       18,500,000  

Shares redeemed

     16,550,000       32,200,000  

Per share NAV beginning of period

   $ 80.11     $ 24.92  

Per share NAV end of period

   $ 93.68     $ 36.32  

Percentage change in per share NAV

     16.9     45.7

Percentage change in benchmark

     (23.4 )%      (36.8 )% 

Benchmark annualized volatility

     65.8     55.1

 

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During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 9,900,000 outstanding Shares at June 30, 2017 to 11,100,000 outstanding Shares at September 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 September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 27,600,000 outstanding Shares at June 30, 2016 to 13,900,000 outstanding Shares at September 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 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 16.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 45.7% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on August 18, 2017 at $70.05 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on July 5, 2016 at $25.02 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 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 September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (1,640,811    $ (1,171,428

Management fee

     2,376,444        951,001  

Brokerage commissions

     1,366,561        469,401  

Net realized gain (loss)

     188,307,524        277,233,576  

Change in net unrealized appreciation/depreciation

     100,090,454        (51,779,349

Net income (loss)

   $ 286,757,167      $ 224,282,799  

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decrease in the prices of near-term futures contracts on the VIX futures curve, in conjunction with an increase in shares outstanding, during the three months ended September 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 September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 378,714,636     $ 839,613,853  

NAV end of period

   $ 535,095,732     $ 738,749,800  

Percentage change in NAV

     41.3     (12.0 )% 

Shares outstanding beginning of period

     9,631,952       920,025  

Shares outstanding end of period

     25,927,238       2,185,383  

Percentage change in shares outstanding

     169.2     137.5

Shares created

     33,400,000       2,356,500  

Shares redeemed

     17,104,14       1,091,142  

Per share NAV beginning of period

   $ 39.32     $ 912.60  

Per share NAV end of period

   $ 20.64     $ 338.04  

Percentage change in per share NAV

     (47.5 )%      (63.0 )% 

Percentage change in benchmark

     (23.4 )%      (36.8 )% 

Benchmark annualized volatility

     65.8     55.1

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 9,631,952 outstanding Shares at June 30, 2017 to 25,927,238 outstanding Shares at September 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 September 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 920,025 outstanding Shares at June 30, 2016 to 2,185,383 outstanding Shares at September 30, 2016.

For the three months ended September 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 47.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 63.0% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $43.94 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $904.80 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 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 September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (1,324,516    $ (2,326,627

Management fee

     1,040,567        1,625,260  

Brokerage commissions

     1,150,806        1,102,098  

Net realized gain (loss)

     (126,538,682      (745,085,668

Change in net unrealized appreciation/depreciation

     (95,494,039      139,001,218  

Net income (loss)

   $ (223,357,237    $ (608,411,077

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 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 September 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 September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 121,175,298     $ 165,504,746  

NAV end of period

   $ 238,227,025     $ 189,577,580  

Percentage change in NAV

     96.6     14.5

Shares outstanding beginning of period

     2,789,884       4,039,884  

Shares outstanding end of period

     7,089,884       4,739,884  

Percentage change in shares outstanding

     154.1     17.3

Shares created

     5,400,000       3,100,000  

Shares redeemed

     1,100,000       2,400,000  

Per share NAV beginning of period

   $ 43.43     $ 40.97  

Per share NAV end of period

   $ 33.60     $ 40.00  

Percentage change in per share NAV

     (22.6 )%      (2.4 )% 

Percentage change in benchmark

     11.2     (5.0 )% 

Benchmark annualized volatility

     25.6     40.5

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,789,884 outstanding Shares at June 30, 2017 to 7,089,884 outstanding Shares at September 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 the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 4,039,884 outstanding Shares at June 30, 2016 to 4,739,884 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 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 22.6% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

 

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During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $46.80 per Share and reached its low for the period on September 25, 2017 at $32.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $60.42 per Share and reached its low for the period on July 1, 2016 at $39.90 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (15,678    $ (321,432

Management fee

     456,582        405,879  

Brokerage commissions

     17,992        27,568  

Net realized gain (loss)

     (9,418,914      50,285,292  

Change in net unrealized appreciation/depreciation

     (30,446,676      (32,963,803

Net income (loss)

   $ (39,881,268    $ 17,000,057  

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 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 September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 30, 2017:

 

     Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 5,292,315  

NAV end of period

   $ 15,768,728  

Percentage change in NAV

     198.0

Shares outstanding beginning of period

     200,008  

Shares outstanding end of period

     900,008  

Percentage change in shares outstanding

     350.0

Shares created

     700,000  

Shares redeemed

     —    

Per share NAV beginning of period

   $ 26.46  

Per share NAV end of period

   $ 17.52  

Percentage change in per share NAV

     (33.8 )% 

Percentage change in benchmark

     11.2

Benchmark annualized volatility

     25.6

 

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During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 200,008 outstanding Shares at June 30, 2017 to 900,008 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 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 September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

 

     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (34,013

Brokerage commissions

     9,395  

Offering costs

     37,405  

Limitation by Sponsor

     (12,787

Net realized gain (loss)

     (1,540,337

Change in net unrealized appreciation/depreciation

     (2,178,096

Net income (loss)

   $ (3,752,446

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 7,455,967     $ 2,550,965  

NAV end of period

   $ 5,921,434     $ 6,349,132  

Percentage change in NAV

     (20.6 )%      148.9

Shares outstanding beginning of period

     224,832       74,832  

Shares outstanding end of period

     174,832       174,832  

Percentage change in shares outstanding

     (22.2 )%      133.6

Shares created

     150,000       400,000  

Shares redeemed

     200,000       300,000  

Per share NAV beginning of period

   $ 33.16     $ 34.09  

Per share NAV end of period

   $ 33.87     $ 36.32  

Percentage change in per share NAV

     2.1     6.5

Percentage change in benchmark

     (4.1 )%      (8.0 )% 

Benchmark annualized volatility

     29.6     36.5

 

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During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 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 September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 74,832 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 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 September 30, 2017, as compared to the Fund’s per Share NAV increase of 6.5% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 4, 2017 at $38.35 per Share and reached its low for the period on September 18, 2017 at $30.27 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 4.1%for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (13,899    $ (19,256

Management fee

     18,019        13,043  

Brokerage commissions

     7,316        8,608  

Net realized gain (loss)

     (151,443      (101,563

Change in net unrealized appreciation/depreciation

     615,756        712,823  

Net income (loss)

   $ 450,414      $ 592,004  

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas, during the three months ended September 30, 2017.

 

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ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 37,919,363     $ 56,037,110  

NAV end of period

   $ 35,426,783     $ 76,364,786  

Percentage change in NAV

     (6.6 )%      36.3

Shares outstanding beginning of period

     496,978       796,978  

Shares outstanding end of period

     496,978       1,096,978  

Percentage change in shares outstanding

     0.0     37.6

Shares created

     50,000       300,000  

Shares redeemed

     50,000       —    

Per share NAV beginning of period

   $ 76.30     $ 70.31  

Per share NAV end of period

   $ 71.28     $ 69.61  

Percentage change in per share NAV

     (6.6 )%      (1.0 )% 

Percentage change in benchmark

     3.3     0.1

Benchmark annualized volatility

     10.6     10.8

During the three months ended September 30, 2017, the decrease in the Fund’s NAV 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. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 796,978 outstanding Shares at June 30, 2016 to 1,096,978 outstanding Shares at September 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended September 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 6.6% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (974    $ (119,115

Management fee

     86,766        163,622  

Brokerage commissions

     10        8  

Net realized gain (loss)

     (2,644,251      (10,296,369

Change in net unrealized appreciation/depreciation

     300,334        9,773,255  

Net income (loss)

   $ (2,344,891    $ (642,229

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 23,175,549     $ 32,067,220  

NAV end of period

   $ 22,933,677     $ 39,589,348  

Percentage change in NAV

     (1.0 )%      23.5

Shares outstanding beginning of period

     666,976       966,976  

Shares outstanding end of period

     716,976       1,416,976  

Percentage change in shares outstanding

     7.5     46.5

Shares created

     200,000       600,000  

Shares redeemed

     150,000       150,000  

Per share NAV beginning of period

   $ 34.75     $ 33.16  

Per share NAV end of period

   $ 31.99     $ 27.94  

Percentage change in per share NAV

     (7.9 )%      (15.7 )% 

Percentage change in benchmark

     2.4     5.4

Benchmark annualized volatility

     23.7     30.1

During the three months ended September 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 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 666,976 outstanding Shares at June 30, 2017 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 966,976 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 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 silver bullion as measured by the London Silver Price.

For the three months ended September 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 7.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.7% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

 

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During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (2,336    $ (64,078

Management fee

     46,737        86,864  

Brokerage commissions

     10        8  

Net realized gain (loss)

     (467,217      (14,865,805

Change in net unrealized appreciation/depreciation

     (393,727      9,509,304  

Net income (loss)

   $ (863,280    $ (5,420,579

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 10,433,992     $ 17,125,648  

NAV end of period

   $ 8,093,438     $ 14,775,779  

Percentage change in NAV

     (22.4 )%      (13.7 )% 

Shares outstanding beginning of period

     250,000       400,000  

Shares outstanding end of period

     200,000       350,000  

Percentage change in shares outstanding

     (20.0 )%      (12.5 )% 

Shares created

     —         —    

Shares redeemed

     50,000       50,000  

Per share NAV beginning of period

   $ 41.74     $ 42.81  

Per share NAV end of period

   $ 40.47     $ 42.22  

Percentage change in per share NAV

     (3.0 )%      (1.4 )% 

Percentage change in benchmark

     3.5     1.2

Benchmark annualized volatility

     7.3     5.9

 

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During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 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 September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 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 three months ended September 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 3.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (3,071    $ (29,155

Management fee

     21,606        36,752  

Brokerage commissions

     330        580  

Net realized gain (loss)

     (599,589      327,210  

Change in net unrealized appreciation/depreciation

     292,113        (487,210

Net income (loss)

   $ (310,547    $ (189,155

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

 

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ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 11,974,974     $ 18,713,405  

NAV end of period

   $ 9,125,205     $ 17,389,549  

Percentage change in NAV

     (23.8 )%      (7.1 )% 

Shares outstanding beginning of period

     250,000       350,000  

Shares outstanding end of period

     200,000       350,000  

Percentage change in shares outstanding

     (20.0 )%      0.0

Shares created

     —         —    

Shares redeemed

     50,000       —    

Per share NAV beginning of period

   $ 47.90     $ 53.47  

Per share NAV end of period

   $ 45.63     $ 49.68  

Percentage change in per share NAV

     (4.7 )%      (7.1 )% 

Percentage change in benchmark

     2.1     2.7

Benchmark annualized volatility

     7.3     9.7

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 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 September 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 Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 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 4.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share.

The benchmark’s rise of 2.1% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 2.7% for the three months ended September 30, 2016, can be attributed to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (3,456    $ (33,889

Management fee

     24,991        42,820  

Brokerage commissions

     1,555        3,267  

Net realized gain (loss)

     (1,453,377      (318,841

Change in net unrealized appreciation/depreciation

     837,786        (971,126

Net income (loss)

   $ (619,047    $ (1,323,856

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 237,012,906     $ 386,660,905  

NAV end of period

   $ 226,620,904     $ 370,915,586  

Percentage change in NAV

     (4.4 )%      (4.1 )% 

Shares outstanding beginning of period

     10,250,000       15,900,000  

Shares outstanding end of period

     10,450,000       15,600,000  

Percentage change in shares outstanding

     2.0     (1.9 )% 

Shares created

     1,350,000       200,000  

Shares redeemed

     1,150,000       500,000  

Per share NAV beginning of period

   $ 23.12     $ 24.32  

Per share NAV end of period

   $ 21.69     $ 23.78  

Percentage change in per share NAV

     (6.2 )%      (2.2 )% 

Percentage change in benchmark

     3.5     1.2

Benchmark annualized volatility

     7.3     5.9

During the three months ended September 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 inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 10,250,000 outstanding Shares at June 30, 2017 to 10,450,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 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 three months ended September 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 6.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

 

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During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ 22,669      $ (657,657

Management fee

     537,193        906,488  

Net realized gain (loss)

     (24,506,914      (5,535,442

Change in net unrealized appreciation/depreciation

     10,108,092        (2,516,227

Net income (loss)

   $ (14,376,153    $ (8,709,326

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 170,316,152     $ 193,732,080  

NAV end of period

   $ 148,459,101     $ 263,899,544  

Percentage change in NAV

     (12.8 )%      36.2

Shares outstanding beginning of period

     2,299,290       3,049,290  

Shares outstanding end of period

     1,999,290       4,349,290  

Percentage change in shares outstanding

     (13.0 )%      42.6

Shares created

     150,000       1,300,000  

Shares redeemed

     450,000       —    

Per share NAV beginning of period

   $ 74.07     $ 63.53  

Per share NAV end of period

   $ 74.26     $ 60.68  

Percentage change in per share NAV

     0.3     (4.5 )% 

Percentage change in benchmark

     —^       1.8

Benchmark annualized volatility

     8.3     13.4

 

^ Amount represents less than (0.05%)

 

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During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,299,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 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 September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,049,290 outstanding Shares at June 30, 2016 to 4,349,290 outstanding Shares at September 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 September 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 0.3% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended September 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 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 September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ 12,821      $ (408,214

Management fee

     376,339        563,817  

Net realized gain (loss)

     (1,068,934      (33,476,429

Change in net unrealized appreciation/depreciation

     (79,932      23,085,942  

Net income (loss)

   $ (1,136,045    $ (10,798,701

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 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 three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 958,703,511     $ 898,563,742  

NAV end of period

   $ 622,142,765     $ 979,757,506  

Percentage change in NAV

     (35.1 )%      9.0

Shares outstanding beginning of period

     64,761,317       36,938,933  

Shares outstanding end of period

     34,761,317       46,613,933  

Percentage change in shares outstanding

     (46.3 )%      26.2

Shares created

     4,400,000       17,800,000  

Shares redeemed

     34,400,000       8,125,000  

Per share NAV beginning of period

   $ 14.80     $ 24.33  

Per share NAV end of period

   $ 17.90     $ 21.02  

Percentage change in per share NAV

     20.9     13.6

Percentage change in benchmark

     11.2     (5.0 )% 

Benchmark annualized volatility

     25.6     40.5

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 64,761,317 outstanding Shares at June 30, 2017 to 34,761,317 outstanding Shares at September 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 Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 36,938,933 outstanding Shares at June 30, 2016 to 46,613,933 outstanding Shares at September 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 three months ended September 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 20.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 13.6% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $18.28 per Share and reached its low for the period on July 7, 2017 at $13.57 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $24.96 per Share and reached its low for the period on August 2, 2016 at $15.56 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (19,527    $ (1,683,430

Management fee

     1,798,486        2,118,318  

Brokerage commissions

     40,850        112,742  

Net realized gain (loss)

     45,488,493        (246,216,521

Change in net unrealized appreciation/depreciation

     112,829,499        165,591,081  

Net income (loss)

   $ 158,298,465      $ (82,308,870

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 30, 2016.

 

* 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 three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 30, 2017:

 

     Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 20,499,886  

NAV end of period

   $ 7,581,464  

Percentage change in NAV

     (63.0 )% 

Shares outstanding beginning of period

     1,050,008  

Shares outstanding end of period

     300,008  

Percentage change in shares outstanding

     (71.4 )% 

Shares created

     250,000  

Shares redeemed

     1,000,000  

Per share NAV beginning of period

   $ 19.52  

Per share NAV end of period

   $ 25.27  

Percentage change in per share NAV

     29.5

Percentage change in benchmark

     11.2

Benchmark annualized volatility

     25.6

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,050,008 outstanding Shares at June 30, 2017 to 300,008 outstanding Shares at September 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 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 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 September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $26.10 per Share and reached its low for the period on July 7, 2017 at $17.04 per Share.

 

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The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

 

     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (56,323

Brokerage commissions

     13,100  

Offering costs

     37,405  

Reduction to Limitation by Sponsor

     5,818  

Net realized gain (loss)

     4,971,742  

Change in net unrealized appreciation/depreciation

     694,326  

Net income (loss)

   $ 5,609,745  

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 43,886,614     $ 43,355,961  

NAV end of period

   $ 51,059,617     $ 31,750,207  

Percentage change in NAV

     16.3     (26.8 )% 

Shares outstanding beginning of period

     4,492,169       2,442,169  

Shares outstanding end of period

     5,842,169       2,192,169  

Percentage change in shares outstanding

     30.1     (10.2 )% 

Shares created

     2,600,000       700,000  

Shares redeemed

     1,250,000       950,000  

Per share NAV beginning of period

   $ 9.77     $ 17.75  

Per share NAV end of period

   $ 8.74     $ 14.48  

Percentage change in per share NAV

     (10.5 )%      (18.4 )% 

Percentage change in benchmark

     (4.1 )%      (8.0 )% 

Benchmark annualized volatility

     29.6     36.5

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 4,492,169 outstanding Shares at June 30, 2017 to 5,842,169 outstanding Shares at September 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 three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 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 Bloomberg Natural Gas SubindexSM.

For the three months ended September 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 10.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

 

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During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $9.98 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share.

The benchmark’s decline of 4.1% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (42,774    $ (93,432

Management fee

     110,894        85,894  

Brokerage commissions

     24,919        25,652  

Net realized gain (loss)

     (2,015,002      1,964,675  

Change in net unrealized appreciation/depreciation

     (1,076,819      (8,407,770

Net income (loss)

   $ (3,134,595    $ (6,536,527

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 88,717,834     $ 100,789,893  

NAV end of period

   $ 89,587,943     $ 99,949,269  

Percentage change in NAV

     1.0     (0.8 )% 

Shares outstanding beginning of period

     2,350,000       2,250,000  

Shares outstanding end of period

     2,250,000       2,250,000  

Percentage change in shares outstanding

     (4.3 )%      0.0

Shares created

     50,000       50,000  

Shares redeemed

     150,000       50,000  

Per share NAV beginning of period

   $ 37.75     $ 44.80  

Per share NAV end of period

   $ 39.82     $ 44.42  

Percentage change in per share NAV

     5.5     (0.8 )% 

Percentage change in benchmark

     3.3     0.1

Benchmark annualized volatility

     10.6     10.8

During the three months ended September 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 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 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

 

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For the three months ended September 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 5.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ 7,054      $ (172,490

Management fee

     224,583        245,192  

Brokerage commissions

     10        8  

Net realized gain (loss)

     5,462,857        12,630,084  

Change in net unrealized appreciation/depreciation

     (546,321      (13,422,965

Net income (loss)

   $ 4,923,590      $ (965,371

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

 

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 245,798,564     $ 386,838,399  

NAV end of period

   $ 244,805,182     $ 372,251,128  

Percentage change in NAV

     (0.4 )%      (3.8 )% 

Shares outstanding beginning of period

     7,396,526       8,496,526  

Shares outstanding end of period

     7,196,526       7,596,526  

Percentage change in shares outstanding

     (2.7 )%      (10.6 )% 

Shares created

     300,000       150,000  

Shares redeemed

     500,000       1,050,000  

Per share NAV beginning of period

   $ 33.23     $ 45.53  

Per share NAV end of period

   $ 34.02     $ 49.00  

Percentage change in per share NAV

     2.4     7.6

Percentage change in benchmark

     2.4     5.4

Benchmark annualized volatility

     23.7     30.1

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 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 silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 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 silver bullion as measured by the London Silver Price.

For the three months ended September 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 2.4% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ 543      $ (701,202

Management fee

     612,285        978,671  

Brokerage commissions

     10        9  

Net realized gain (loss)

     1,063,548        119,372,702  

Change in net unrealized appreciation/depreciation

     7,164,374        (88,236,402

Net income (loss)

   $ 8,228,465      $ 30,435,098  

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 12,928,079     $ 9,532,904  

NAV end of period

   $ 13,705,608     $ 9,678,714  

Percentage change in NAV

     6.0     1.5

Shares outstanding beginning of period

     800,000       600,000  

Shares outstanding end of period

     800,000       600,000  

Percentage change in shares outstanding

     0.0     0.0

Shares created

     450,000       —    

Shares redeemed

     450,000       —    

Per share NAV beginning of period

   $ 16.16     $ 15.89  

Per share NAV end of period

   $ 17.13     $ 16.13  

Percentage change in per share NAV

     6.0     1.5

Percentage change in benchmark

     3.5     1.2

Benchmark annualized volatility

     7.3     5.9

During the three months ended September 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. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 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 euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 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 6.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

 

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During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on July 5, 2017 at $15.93 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (1,256    $ (16,659

Management fee

     31,427        22,916  

Net realized gain (loss)

     1,259,650        46,258  

Change in net unrealized appreciation/depreciation

     (519,604      116,211  

Net income (loss)

   $ 738,790      $ 145,810  

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
    Three Months Ended
September 30, 2016
 

NAV beginning of period

   $ 5,866,403     $ 7,265,264  

NAV end of period

   $ 5,804,920     $ 7,443,729  

Percentage change in NAV

     (1.0 )%      2.5

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

   $ 58.68     $ 72.67  

Per share NAV end of period

   $ 58.07     $ 74.46  

Percentage change in per share NAV

     (1.0 )%      2.5

Percentage change in benchmark

     —^       1.8

Benchmark annualized volatility

     8.3     13.4

 

^ Amount represents less than (0.05%)

 

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During the three months ended September 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 June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 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 June 30, 2016 to September 30, 2016.

For the three months ended September 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 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 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 September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

 

     Three Months Ended
September 30, 2017
     Three Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (4,166    $ (12,886

Management fee

     14,387        17,545  

Net realized gain (loss)

     (4,545      955,119  

Change in net unrealized appreciation/depreciation

     (52,772      (763,768

Net income (loss)

   $ (61,483    $ 178,465  

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

 

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Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 174,160,146     $ 105,272,823  

NAV end of period

   $ 191,364,819     $ 227,819,218  

Percentage change in NAV

     9.9     116.4

Shares outstanding beginning of period

     2,052,363       397,491  

Shares outstanding end of period

     5,876,317       1,996,113  

Percentage change in shares outstanding

     186.3     402.2

Shares created

     6,125,000       2,497,500  

Shares redeemed

     2,301,046       898,878  

Per share NAV beginning of period

   $ 84.86     $ 264.84  

Per share NAV end of period

   $ 32.57     $ 114.13  

Percentage change in per share NAV

     (61.6 )%      (56.9 )% 

Percentage change in benchmark

     (61.5 )%      (56.7 )% 

Benchmark annualized volatility

     53.1     78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 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 nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 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 nine months ended September 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 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 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 September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 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 September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (356,273    $ (1,116,018

Management fee

     1,004,091        1,210,844  

Brokerage commission

     138,487        229,993  

Net realized gain (loss)

     (126,203,648      (134,339,691

Change in net unrealized appreciation/depreciation

     (17,854,285      (8,439,809

Net income (loss)

   $ (144,414,206    $ (143,895,518

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 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 nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 45,818,914     $ 27,650,638  

NAV end of period

   $ 45,047,423     $ 58,894,811  

Percentage change in NAV

     (1.7 )%      113.0

Shares outstanding beginning of period

     1,087,403       512,404  

Shares outstanding end of period

     1,787,403       1,287,403  

Percentage change in shares outstanding

     64.4     151.2

Shares created

     850,000       950,000  

Shares redeemed

     150,000       175,001  

Per share NAV beginning of period

   $ 42.14     $ 53.96  

Per share NAV end of period

   $ 25.20     $ 45.75  

Percentage change in per share NAV

     (40.2 )%      (15.2 )% 

Percentage change in benchmark

     (39.7 )%      (14.5 )% 

Benchmark annualized volatility

     21.3     36.6

During the nine months ended September 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 1,787,403 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 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 nine months ended September 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 40.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.2% for the nine months ended September 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 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 August 1, 2017 at $24.92 per Share. By comparison, during the nine months ended September 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 September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 39.7% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 14.5% for the nine months ended September 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 nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (83,495    $ (210,903

Management fee

     235,818        251,163  

Brokerage commission

     11,815        23,544  

Net realized gain (loss)

     (19,180,662      (5,248,593

Change in net unrealized appreciation/depreciation

     (651,228      (1,908,048

Net income (loss)

   $ (19,915,385    $ (7,367,544

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 228,075,387     $ 642,811,361  

NAV end of period

   $ 1,039,873,910     $ 504,798,665  

Percentage change in NAV

     355.9     (21.5 )% 

Shares outstanding beginning of period

     5,000,000       25,300,080  

Shares outstanding end of period

     11,100,000       13,900,000  

Percentage change in shares outstanding

     122.0     (45.1 )% 

Shares created

     46,750,000       88,100,000  

Shares redeemed

     40,650,000       99,500,080  

Per share NAV beginning of period

   $ 45.62     $ 25.41  

Per share NAV end of period

   $ 93.68     $ 36.32  

Percentage change in per share NAV

     105.3     42.9

Percentage change in benchmark

     (61.5 )%      (56.7 )% 

Benchmark annualized volatility

     53.1     78.7

 

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During the nine months ended September 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 11,100,000 outstanding Shares at September 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 nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 25,300,080 outstanding Shares at December 31, 2015 to 13,900,000 outstanding Shares at September 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 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 105.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 42.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.

The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 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 nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (3,913,203    $ (4,236,471

Management fee

     4,636,720        3,561,744  

Brokerage commission

     2,761,371        1,522,859  

Net realized gain (loss)

     471,123,858        262,990,607  

Change in net unrealized appreciation/depreciation

     104,609,483        16,725,819  

Net income (loss)

   $ 571,820,138      $ 275,479,955  

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 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 nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 515,758,754     $ 547,708,740  

NAV end of period

   $ 535,095,732     $ 738,749,800  

Percentage change in NAV

     3.7     34.9

Shares outstanding beginning of period

     2,965,383       195,025  

Shares outstanding end of period

     25,927,238       2,185,383  

Percentage change in shares outstanding

     774.3     1,020.6

Shares created

     51,185,000       3,857,000  

Shares redeemed

     28,223,145       1,866,642  

Per share NAV beginning of period

   $ 173.93     $ 2,808.40  

Per share NAV end of period

   $ 20.64     $ 338.04  

Percentage change in per share NAV

     (88.1 )%      (88.0 )% 

Percentage change in benchmark

     (61.5 )%      (56.7 )% 

Benchmark annualized volatility

     53.1     78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,965,383 outstanding Shares at December 31, 2016 to 25,927,238 outstanding Shares at September 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 nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 2,185,383 outstanding Shares at September 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 nine months ended September 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 88.1% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 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 September 29, 2017 at $20.64 per Share. By comparison, during the nine months ended September 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 September 28, 2016 at $319.60 per Share.

The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (3,866,250    $ (7,007,927

Management fee

     2,880,339        5,006,558  

Brokerage commission

     2,819,322        3,228,763  

Net realized gain (loss)

     (646,063,604      (1,269,208,841

Change in net unrealized appreciation/depreciation

     (93,756,755      (51,154,812

Net income (loss)

   $ (743,686,609    $ (1,327,371,580

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 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 nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 200,958,303     $ 95,897,894  

NAV end of period

   $ 238,227,025     $ 189,577,580  

Percentage change in NAV

     18.5     97.7

Shares outstanding beginning of period

     6,339,884       1,439,888  

Shares outstanding end of period

     7,089,884       4,739,884  

Percentage change in shares outstanding

     11.8     229.2

Shares created

     10,700,000       13,100,000  

Shares redeemed

     9,950,000       9,800,004  

Per share NAV beginning of period

   $ 31.70     $ 66.60  

Per share NAV end of period

   $ 33.60     $ 40.00  

Percentage change in per share NAV

     6.0     (39.9 )% 

Percentage change in benchmark

     (9.4 )%      (0.3 )% 

Benchmark annualized volatility

     25.4     47.3

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 outstanding Shares at September 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 WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,739,884 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 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 6.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

 

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During the nine months ended September 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 nine months ended September 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 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (426,772    $ (1,070,888

Management fee

     1,374,438        1,291,075  

Brokerage commission

     50,772        125,327  

Net realized gain (loss)

     49,805,940        (36,901,010

Change in net unrealized appreciation/depreciation

     (5,398,492      (29,797,685

Net income (loss)

   $ 43,980,676      $ (67,769,583

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 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 September 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 September 30, 2017 may not be meaningful.

 

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The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

   $ 200  

NAV end of period

   $ 15,768,728  

Percentage change in NAV

     NM  

Shares outstanding beginning of period

     8  

Shares outstanding end of period

     900,008  

Percentage change in shares outstanding

     NM  

Shares created

     1,050,008  

Shares redeemed

     150,000  

Per share NAV beginning of period

   $ 25.00  

Per share NAV end of period

   $ 17.52  

Percentage change in per share NAV

     (29.9 )% 

Percentage change in benchmark

     (4.8 )% 

Benchmark annualized volatility

     26.1

NM — Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 900,008 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended September 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 September 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 September 25, 2017 at $17.00 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

   $ (59,643

Brokerage commission

     17,296  

Offering costs

     77,250  

Limitation by Sponsor

     (34,903

Net realized gain (loss)

     232,006  

Change in net unrealized appreciation/depreciation

     (2,423,370

Net income (loss)

   $ (2,251,007

 

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ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 4,038,794     $ 10,462,856  

NAV end of period

   $ 5,921,434     $ 6,349,132  

Percentage change in NAV

     46.6     (39.3 )% 

Shares outstanding beginning of period

     174,832       224,856  

Shares outstanding end of period

     174,832       174,832  

Percentage change in shares outstanding

     0.0     (22.2 )% 

Shares created

     300,000       850,000  

Shares redeemed

     300,000       900,024  

Per share NAV beginning of period

   $ 23.10     $ 46.53  

Per share NAV end of period

   $ 33.87     $ 36.32  

Percentage change in per share NAV

     46.6     (21.9 )% 

Percentage change in benchmark

     (27.9 )%      (5.9 )% 

Benchmark annualized volatility

     34.64     39.6

During the nine months ended September 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 inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 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 Bloomberg Natural Gas SubindexSM.

For the nine months ended September 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 46.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 21.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months September 30, 2017.

During the nine months ended September 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 nine months ended September 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 September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (44,874    $ (107,463

Management fee

     51,110        70,066  

Brokerage commission

     19,673        53,910  

Net realized gain (loss)

     1,755,918        458,954  

Change in net unrealized appreciation/depreciation

     830,801        2,803,491  

Net income (loss)

   $ 2,541,845      $ 3,154,982  

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstanding during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 63,653,647     $ 74,971,764  

NAV end of period

   $ 35,426,783     $ 76,364,786  

Percentage change in NAV

     (44.3 )%      1.9

Shares outstanding beginning of period

     696,978       646,978  

Shares outstanding end of period

     496,978       1,096,978  

Percentage change in shares outstanding

     (28.7 )%      69.6

Shares created

     300,000       1,000,000  

Shares redeemed

     500,000       550,000  

Per share NAV beginning of period

   $ 91.33     $ 115.88  

Per share NAV end of period

   $ 71.28     $ 69.61  

Percentage change in per share NAV

     (22.0 )%      (39.9 )% 

Percentage change in benchmark

     12.0     24.8

Benchmark annualized volatility

     11.7     17.0

During the nine months ended September 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 September 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 nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the nine months ended September 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 22.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

 

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During the nine months ended September 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 September 8, 2017 at $64.79 per Share. By comparison, during the nine months ended September 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 July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (66,015    $ (350,865

Management fee

     268,125        469,612  

Brokerage commission

     39        33  

Net realized gain (loss)

     (10,940,120      (29,965,948

Change in net unrealized appreciation/depreciation

     (99,988      (225,049

Net income (loss)

   $ (11,106,123    $ (30,541,862

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 23,017,656     $ 55,987,938  

NAV end of period

   $ 22,933,677     $ 39,589,348  

Percentage change in NAV

     (0.4 )%      (29.3 )% 

Shares outstanding beginning of period

     616,976       866,978  

Shares outstanding end of period

     716,976       1,416,976  

Percentage change in shares outstanding

     16.2     63.4

Shares created

     700,000       1,600,000  

Shares redeemed

     600,000       1,050,002  

Per share NAV beginning of period

   $ 37.31     $ 64.58  

Per share NAV end of period

   $ 31.99     $ 27.94  

Percentage change in per share NAV

     (14.3 )%      (56.7 )% 

Percentage change in benchmark

     3.8     40.0

Benchmark annualized volatility

     19.6     27.1

 

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During the nine months ended September 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 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 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 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 1,416,976 outstanding Shares at September 30, 2016.

For the nine months ended September 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 14.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the nine months ended September 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 August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (40,264    $ (210,102

Management fee

     143,542        281,605  

Brokerage commission

     39        33  

Net realized gain (loss)

     (2,693,510      (26,657,499

Change in net unrealized appreciation/depreciation

     745,784        (4,263,685

Net income (loss)

   $ (1,987,990    $ (31,131,286

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

 

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ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 15,770,088     $ 17,510,898  

NAV end of period

   $ 8,093,438     $ 14,775,779  

Percentage change in NAV

     (48.7 )%      (15.6 )% 

Shares outstanding beginning of period

     350,000       400,005  

Shares outstanding end of period

     200,000       350,000  

Percentage change in shares outstanding

     (42.9 )%      (12.5 )% 

Shares created

     —         50,000  

Shares redeemed

     150,000       100,005  

Per share NAV beginning of period

   $ 45.06     $ 43.78  

Per share NAV end of period

   $ 40.47     $ 42.22  

Percentage change in per share NAV

     (10.2 )%      (3.6 )% 

Percentage change in benchmark

     12.3     3.4

Benchmark annualized volatility

     7.4     8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 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 nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 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 nine months ended September 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 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 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 September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 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 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (36,347    $ (95,407

Management fee

     92,259        116,244  

Brokerage commission

     1,433        2,009  

Net realized gain (loss)

     (1,335,372      (199,557

Change in net unrealized appreciation/depreciation

     (26,290      (268,792

Net income (loss)

   $ (1,398,009    $ (563,756

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 16,613,473     $ 20,460,679  

NAV end of period

   $ 9,125,205     $ 17,389,549  

Percentage change in NAV

     (45.1 )%      (15.0 )% 

Shares outstanding beginning of period

     300,000       350,005  

Shares outstanding end of period

     200,000       350,000  

Percentage change in shares outstanding

     (33.3 )%      —^  

Shares created

     —         —    

Shares redeemed

     100,000       5  

Per share NAV beginning of period

   $ 55.38     $ 58.46  

Per share NAV end of period

   $ 45.63     $ 49.68  

Percentage change in per share NAV

     (17.6 )%      (15.0 )% 

Percentage change in benchmark

     8.7     5.1

Benchmark annualized volatility

     7.7     12.1
    

 

^ Amount represents less than 0.05%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 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 nine months ended September 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 September 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 nine months ended September 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 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

 

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During the nine months ended September 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 September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 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 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (42,311    $ (115,076

Management fee

     94,837        136,306  

Brokerage commission

     6,088        11,011  

Net realized gain (loss)

     (1,920,783      (2,462,114

Change in net unrealized appreciation/depreciation

     (802,007      (493,626

Net income (loss)

   $ (2,765,101    $ (3,070,816

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 349,392,650     $ 522,306,518  

NAV end of period

   $ 226,620,904     $ 370,915,586  

Percentage change in NAV

     (35.1 )%      (29.0 )% 

Shares outstanding beginning of period

     12,900,000       20,450,014  

Shares outstanding end of period

     10,450,000       15,600,000  

Percentage change in shares outstanding

     (19.0 )%      (23.7 )% 

Shares created

     1,800,000       650,000  

Shares redeemed

     4,250,000       5,500,014  

Per share NAV beginning of period

   $ 27.08     $ 25.54  

Per share NAV end of period

   $ 21.69     $ 23.78  

Percentage change in per share NAV

     (19.9 )%      (6.9 )% 

Percentage change in benchmark

     12.3     3.4

Benchmark annualized volatility

     7.4     8.3

 

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During the nine months ended September 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 10,450,000 outstanding Shares at September 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 nine months ended September 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 15,600,000 outstanding Shares at September 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 nine months ended September 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 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 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 September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 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 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (461,825    $ (2,129,104

Management fee

     1,914,770        2,894,802  

Net realized gain (loss)

     (45,338,431      (60,591,510

Change in net unrealized appreciation/depreciation

     (12,255,062      30,468,759  

Net income (loss)

   $ (58,055,318    $ (32,251,855

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

 

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 276,781,747     $ 237,372,900  

NAV end of period

   $ 148,459,101     $ 263,899,544  

Percentage change in NAV

     (46.4 )%      11.2

Shares outstanding beginning of period

     3,449,290       2,699,294  

Shares outstanding end of period

     1,999,290       4,349,290  

Percentage change in shares outstanding

     (42.0 )%      61.1

Shares created

     900,000       2,100,000  

Shares redeemed

     2,350,000       450,004  

Per share NAV beginning of period

   $ 80.24     $ 87.94  

Per share NAV end of period

   $ 74.26     $ 60.68  

Percentage change in per share NAV

     (7.5 )%      (31.0 )% 

Percentage change in benchmark

     3.9     18.5

Benchmark annualized volatility

     8.7     13.0

During the nine months ended September 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 1,999,290 outstanding Shares at September 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 nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 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 nine months ended September 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 7.5% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 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 September 8, 2017 at $68.10 per Share. By comparison, during the nine months ended September 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 August 18, 2016 at $59.02 per Share.

The benchmark’s rise of 3.9%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (396,084    $ (1,133,789

Management fee

     1,468,775        1,462,231  

Net realized gain (loss)

     (17,532,916      (86,179,609

Change in net unrealized appreciation/depreciation

     (7,490,982      14,046,211  

Net income (loss)

   $ (25,419,982    $ (73,267,187

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 933,731,860     $ 783,922,475  

NAV end of period

   $ 622,142,765     $ 979,757,506  

Percentage change in NAV

     (33.4 )%      25.0

Shares outstanding beginning of period

     40,013,933       31,163,934  

Shares outstanding end of period

     34,761,317       46,613,933  

Percentage change in shares outstanding

     (13.1 )%      49.6

Shares created

     65,600,000       50,475,000  

Shares redeemed

     70,852,616       35,025,001  

Per share NAV beginning of period

   $ 23.34     $ 25.15  

Per share NAV end of period

   $ 17.90     $ 21.02  

Percentage change in per share NAV

     (23.3 )%      (16.4 )% 

Percentage change in benchmark

     (9.4 )%      (0.3 )% 

Benchmark annualized volatility

     25.4     47.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 40,013,933 outstanding Shares at December 31, 2016 to 34,761,317 outstanding Shares at September 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 the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 46,613,933 outstanding Shares at September 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 nine months ended September 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 23.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 16.4% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

 

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During the nine months ended September 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 nine months ended September 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 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (1,483,954    $ (4,978,159

Management fee

     5,773,725        6,031,448  

Brokerage commission

     147,117        443,936  

Net realized gain (loss)

     (123,526,841      (132,886,039

Change in net unrealized appreciation/depreciation

     (6,245,549      190,350,573  

Net income (loss)

   $ (131,256,344    $ 52,486,375  

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 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 September 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 September 30, 2017 may not be meaningful.

 

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The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

   $ 200  

NAV end of period

   $ 7,581,464  

Percentage change in NAV

     NM  

Shares outstanding beginning of period

     8  

Shares outstanding end of period

     300,008  

Percentage change in shares outstanding

     NM  

Shares created

     1,400,008  

Shares redeemed

     1,100,000  

Per share NAV beginning of period

   $ 25.00  

Per share NAV end of period

   $ 25.27  

Percentage change in per share NAV

     1.1

Percentage change in benchmark

     (4.8 )% 

Benchmark annualized volatility

     26.1

NM – Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 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 September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.

During the period ended September 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 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

 

     March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

   $ (99,140

Brokerage commission

     24,374  

Offering costs

     77,250  

Limitation by Sponsor

     (2,484

Net realized gain (loss)

     3,137,907  

Change in net unrealized appreciation/depreciation

     1,272,779  

Net income (loss)

   $ 4,311,546  

 

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ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 43,203,386     $ 38,851,184  

NAV end of period

   $ 51,059,617     $ 31,750,207  

Percentage change in NAV

     18.2     (18.3 )% 

Shares outstanding beginning of period

     2,292,169       2,092,170  

Shares outstanding end of period

     5,842,169       2,192,169  

Percentage change in shares outstanding

     154.9     4.8

Shares created

     6,600,000       2,200,000  

Shares redeemed

     3,050,000       2,100,001  

Per share NAV beginning of period

   $ 18.85     $ 18.57  

Per share NAV end of period

   $ 8.74     $ 14.48  

Percentage change in per share NAV

     (53.6 )%      (22.0 )% 

Percentage change in benchmark

     (27.9 )%      (5.9 )% 

Benchmark annualized volatility

     34.6     39.6

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 5,842,169 outstanding Shares at September 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 nine months ended September 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 Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.

For the nine months ended September 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 53.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 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 August 4, 2017 at $8.09 per Share. By comparison, during the nine months ended September 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 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (190,949    $ (282,519

Management fee

     318,839        229,760  

Brokerage commission

     71,984        98,016  

Net realized gain (loss)

     (21,041,439      6,591,292  

Change in net unrealized appreciation/depreciation

     (3,507,126      (7,750,780

Net income (loss)

   $ (24,739,514    $ (1,442,007

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 92,127,200     $ 69,864,815  

NAV end of period

   $ 89,587,943     $ 99,949,269  

Percentage change in NAV

     (2.8 )%      43.1

Shares outstanding beginning of period

     2,800,000       2,350,014  

Shares outstanding end of period

     2,250,000       2,250,000  

Percentage change in shares outstanding

     (19.6 )%      (4.3 )% 

Shares created

     400,000       150,000  

Shares redeemed

     950,000       250,014  

Per share NAV beginning of period

   $ 32.90     $ 29.73  

Per share NAV end of period

   $ 39.82     $ 44.42  

Percentage change in per share NAV

     21.0     49.4

Percentage change in benchmark

     12.0     24.8

Benchmark annualized volatility

     11.6     17.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 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 nine months ended September 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 September 30, 2016.

For the nine months ended September 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 21.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 49.4% for the nine months ended September 30, 2016 was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

 

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During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (160,597    $ (486,568

Management fee

     692,340        665,265  

Brokerage commission

     39        33  

Net realized gain (loss)

     23,363,236        33,704,266  

Change in net unrealized appreciation/depreciation

     (3,986,925      (208,227

Net income (loss)

   $ 19,215,714      $ 33,009,471  

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 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 nine months ended September 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 275,779,940     $ 216,416,642  

NAV end of period

   $ 244,805,182     $ 372,251,128  

Percentage change in NAV

     (11.2 )%      72.0

Shares outstanding beginning of period

     8,246,526       7,996,533  

Shares outstanding end of period

     7,196,526       7,596,526  

Percentage change in shares outstanding

     (12.7 )%      (5.0 )% 

Shares created

     950,000       1,500,000  

Shares redeemed

     2,000,000       1,900,007  

Per share NAV beginning of period

   $ 33.44     $ 27.06  

Per share NAV end of period

   $ 34.02     $ 49.00  

Percentage change in per share NAV

     1.7     81.1

Percentage change in benchmark

     3.8     40.0

Benchmark annualized volatility

     19.6     27.1

 

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During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,196,526 outstanding Shares at September 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 silver bullion as measured by the London Silver Price. By comparison, during the nine months ended September 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 silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016.

For the nine months ended September 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 1.7% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 81.1% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 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 July 10, 2017 at $28.26 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (474,113    $ (1,713,227

Management fee

     1,971,071        2,300,935  

Brokerage commission

     49        36  

Net realized gain (loss)

     20,326,492        174,873,081  

Change in net unrealized appreciation/depreciation

     (7,233,752      9,844,227  

Net income (loss)

   $ 12,618,627      $ 183,004,081  

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

 

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 11,914,585     $ 10,857,730  

NAV end of period

   $ 13,705,608     $ 9,678,714  

Percentage change in NAV

     15.0     (10.9 )% 

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

     1,200,000       50,000  

Shares redeemed

     1,250,000       150,014  

Per share NAV beginning of period

   $ 14.02     $ 15.51  

Per share NAV end of period

   $ 17.13     $ 16.13  

Percentage change in per share NAV

     22.2     4.0

Percentage change in benchmark

     12.3     3.4

Benchmark annualized volatility

     7.4     8.3

During the nine months ended September 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 September 30, 2017. By comparison, during the nine months ended September 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 September 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 nine months ended September 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 22.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (26,051    $ (53,805

Management fee

     95,974        71,859  

Net realized gain (loss)

     2,666,306        1,156,114  

Change in net unrealized appreciation/depreciation

     364,855        (654,956

Net income (loss)

   $ 3,005,110      $ 447,353  

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
    Nine Months Ended
September 30, 2016
 

NAV beginning of period

   $ 5,540,957     $ 5,473,848  

NAV end of period

   $ 5,804,920     $ 7,443,729  

Percentage change in NAV

     4.8     36.0

Shares outstanding beginning of period

     99,970       99,974  

Shares outstanding end of period

     99,970       99,970  

Percentage change in shares outstanding

     —^       —^  

Shares created

     —         —    

Shares redeemed

     —         4  

Per share NAV beginning of period

   $ 55.43     $ 54.75  

Per share NAV end of period

   $ 58.07     $ 74.46  

Percentage change in per share NAV

     4.8     36.0

Percentage change in benchmark

     3.9     18.5

Benchmark annualized volatility

     8.7     13.0

 

^ Amount represents less than 0.05%

During the nine months ended September 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 September 30, 2017. By comparison, during the nine months ended September 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 September 30, 2016.

For the nine months ended September 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 4.8% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 36.0% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

 

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During the nine months ended September 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 nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 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 nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

 

     Nine Months Ended
September 30, 2017
     Nine Months Ended
September 30, 2016
 

Net investment income (loss)

   $ (20,949    $ (35,548

Management fee

     42,356        47,356  

Net realized gain (loss)

     338,006        2,273,202  

Change in net unrealized appreciation/depreciation

     (53,094      (267,574

Net income (loss)

   $ 263,963      $ 1,970,080  

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 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 September 30, 2017 and 2016, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF:

As of September 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        October 2017        9,373      $ 11.68        1,000      $ 109,429,775  

VIX Futures (CBOE)

     Long        November 2017        6,252        13.03        1,000        81,432,300  

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        October 2016        8,392      $ 15.78        1,000      $ 132,383,800  

VIX Futures (CBOE)

     Long        November 2016        5,601        16.95        1,000        94,936,950  

The September 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 September 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

 

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Futures Positions as of September 30, 2017

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        January 2018        582      $ 14.78        1,000      $ 8,599,050  

VIX Futures (CBOE)

     Long        February 2018        971        15.23        1,000        14,783,475  

VIX Futures (CBOE)

     Long        March 2018        971        15.80        1,000        15,341,800  

VIX Futures (CBOE)

     Long        April 2018        388        16.28        1,000        6,314,700  

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        January 2017        614      $ 18.50        1,000      $ 11,359,000  

VIX Futures (CBOE)

     Long        February 2017        1,024        19.05        1,000        19,507,200  

VIX Futures (CBOE)

     Long        March 2017        1,023        19.40        1,000        19,846,200  

VIX Futures (CBOE)

     Long        April 2017        409        19.98        1,000        8,169,775  

The September 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 September 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Short        October 2017        51,224      $ 11.68        1,000      $ (598,040,200

VIX Futures (CBOE)

     Short        November 2017        34,126        13.03        1,000        (444,491,150

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Short        October 2016        18,688      $ 15.78        1,000      $ (294,803,200

VIX Futures (CBOE)

     Short        November 2016        12,445        16.95        1,000        (210,942,750

 

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The September 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.

ProShares Ultra VIX Short-Term Futures ETF:

As of September 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        October 2017        52,495      $ 11.68        1,000      $ 612,879,125  

VIX Futures (CBOE)

     Long        November 2017        35,008        13.03        1,000        455,979,200  
Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long        October 2016        54,497      $ 15.78        1,000      $ 859,690,175  

VIX Futures (CBOE)

     Long        November 2016        36,351        16.95        1,000        616,149,450  

The September 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 September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

 

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ProShares UltraShort Bloomberg Crude Oil:

As of September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short      November 2017        1,894      $ 51.67        1,000      $ (97,862,980

 

Swap Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank, N.A.    Short    $ 76.1424      $ (149,040,494

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      76.1424        (109,832,549

Bloomberg WTI Crude Oil Subindex

   Societe Generale    Short      76.1424        (12,927,229

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      76.1424        (106,765,884

 

Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Short        November 2016        2,093      $ 48.24        1,000      $ (100,966,320

 

Swap Agreements as of September 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank, N.A.    Short    $ 79.0094      $ (110,835,497

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      79.0094        (78,877,241

Bloomberg WTI Crude Oil Subindex

   Societe Generale    Short      79.0094        (8,278,478

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      79.0094        (80,182,717

The September 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 September 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.

 

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ProShares UltraPro 3x Short Crude Oil ETF:

As of September 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 September 30, 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Short        November 2017        916      $ 51.67        1,000      $ (47,329,720

The September 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 September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short        November 2017        394      $ 3.01        10,000      $ (11,847,580
Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short        November 2016        437      $ 2.91        10,000      $ (12,699,220

The September 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.

 

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ProShares UltraShort Gold:

As of September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Short        December 2017        2      $ 1,284.80        100      $ (256,960

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank, N.A.    Short    $ 1,283.43      $ (20,663,223

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,283.41        (21,687,062

0.995 Fine Troy Ounce Gold

   Societe Generale    Short      1,283.41        (6,160,368

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,283.41        (22,138,823

 

Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Short        December 2016        2      $ 1,317.10        100      $ (263,420

 

Forward Agreements as of September 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank, N.A.    Short    $ 1,322.72      $ (29,893,472

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short      1,322.80        (73,018,560

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,322.70        (21,689,635

0.995 Fine Troy Ounce Gold

   Societe Generale    Short      1,322.71        (5,290,840

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,322.71        (22,552,206

The September 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 September 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.

 

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ProShares UltraShort Silver:

As of September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Short      December 2017      2      $ 16.68        5,000      $ (166,760

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citybank, N.A.    Short    $ 16.8646      $ (16,071,964

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      16.8644        (13,263,851

0.999 Fine Troy Ounce Silver

   Societe Generale    Short      16.8645        (2,630,862

0.999 Fine Troy Ounce Silver

   UBS AG    Short      16.8644        (13,727,622

 

Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Short      December 2016      2      $ 19.21        5,000      $ (192,140

 

Forward Agreements as of September 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank, N.A.    Short    $ 19.3535      $ (11,979,817

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short      19.3551        (41,536,045

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      19.3535        (12,976,522

0.999 Fine Troy Ounce Silver

   Societe Generale    Short      19.3537        (3,019,177

0.999 Fine Troy Ounce Silver

   UBS AG    Short      19.3535        (9,463,862

The September 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 September 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.

 

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Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

     Short        December 2017        55      $ 1.19        125,000      $ (8,156,844
Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

     Short        December 2016        105      $ 1.13        125,000      $ (14,801,063

The September 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 September 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

     Short        December 2017        232      $ 78.36        1,000      $ (18,179,520

 

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Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

     Short        December 2016        456      $ 76.49        1,000      $ (34,879,440

The September 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 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 September 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of September 30, 2017  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long      10/06/17        3,175,800       1.1821      $ 3,754,078  

Euro

   UBS AG    Long      10/06/17        35,067,900       1.1821        41,453,378  

Euro

   Goldman Sachs International    Short      10/06/17        (194,781,925     1.1821        (230,249,569

Euro

   UBS AG    Short      10/06/17        (226,747,400     1.1821        (268,035,604
Foreign Currency Forward Contracts as of September 30, 2016  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long      10/07/16        11,861,500       1.1236      $ 13,327,034  

Euro

   UBS AG    Long      10/07/16        18,134,300       1.1236        20,374,863  

Euro

   Goldman Sachs International    Short      10/07/16        (344,672,125     1.1236        (387,257,692

Euro

   UBS AG    Short      10/07/16        (345,543,400     1.1236        (388,236,616

The September 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.

 

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ProShares UltraShort Yen:

As of September 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of September 30, 2017  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International    Long      10/06/17        571,833,200       0.008888      $ 5,082,606  

Yen

   UBS AG    Long      10/06/17        2,539,647,800       0.008888        22,573,065  

Yen

   Goldman Sachs International    Short      10/06/17        (17,548,070,400     0.008888        (155,971,917

Yen

   UBS AG    Short      10/06/17        (18,981,034,100     0.008888        (168,708,480
Foreign Currency Forward Contracts as of September 30, 2016  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International    Long      10/07/16        812,107,700       0.009863      $ 8,009,961  

Yen

   UBS AG    Long      10/07/16        4,484,904,300       0.009863        44,235,400  

Yen

   Goldman Sachs International    Short      10/07/16        (27,401,188,900     0.009863        (270,262,747

Yen

   UBS AG    Short      10/07/16        (31,384,937,700     0.009863        (309,555,163

The September 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 September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

 

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ProShares Ultra Bloomberg Crude Oil:

As of September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2017      5,855      $ 51.67        1,000      $ 302,527,850  

 

Swap Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank, N.A.    Long    $ 76.1424      $ 332,458,695  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      76.1424        242,703,814  

Bloomberg WTI Crude Oil Subindex

   Societe Generale    Long      76.1424        115,090,880  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      76.1424        251,436,908  

 

Futures Positions as of September 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2016      8,345      $ 48.24        1,000      $ 402,562,800  

 

Swap Agreements as of September 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Index
Close
     Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank, N.A.    Long    $ 79.0094      $ 566,152,847  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      79.0094        454,062,414  

Bloomberg WTI Crude Oil Subindex

   Societe Generale    Long      79.0094        100,430,739  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      79.0094        436,225,560  

The September 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 September 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.

 

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ProShares UltraPro 3x Crude Oil ETF:

As of September 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 September 30, 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2017      440      $ 51.67        1,000      $ 22,734,800  

The September 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 September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    November 2017      3,396      $ 3.01        10,000      $ 102,117,720  
Futures Positions as of September 30, 2016  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    November 2016      2,185      $ 2.91        10,000      $ 63,496,100  

The September 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.

 

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ProShares Ultra Gold:

As of September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Long        December 2017        2      $ 1,284.80        100      $ 256,960  

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank, N.A.    Long    $ 1,283.43      $ 56,984,292  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,283.41        48,923,589  

0.995 Fine Troy Ounce Gold

   Societe Generale    Long      1,283.41        23,101,380  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,283.41        49,924,649  

 

Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Long        December 2016        2      $ 1,317.10        100      $ 263,420  

 

Forward Agreements as of September 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank, N.A.    Long    $ 1,322.72      $ 55,818,784  

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long      1,322.80        42,461,880  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,322.70        48,305,004  

0.995 Fine Troy Ounce Gold

   Societe Generale    Long      1,322.71        20,369,734  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,322.71        32,670,937  

The September 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 September 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.

 

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ProShares Ultra Silver:

As of September 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    December 2017      2      $ 16.68        5,000      $ 166,760  

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank, N.A.    Long    $ 16.8646      $ 161,967,618  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      16.8644        131,471,490  

0.999 Fine Troy Ounce Silver

   Societe Generale    Long      16.8645        63,815,268  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      16.8644        132,149,438  

 

Futures Positions as of September 30, 2016  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Long        December 2016        2      $ 19.21        5,000      $ 192,140  

 

Forward Agreements as of September 30, 2016  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank, N.A.    Long    $ 19.3535      $ 216,797,907  

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long      19.3551        110,726,656  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      19.3535        188,634,694  

0.999 Fine Troy Ounce Silver

   Societe Generale    Long      19.3537        67,428,291  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      19.3535        160,692,111  

The September 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 September 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.

 

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Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of September 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017

 

Reference

Currency

  

Counterparty

   Long or
Short
     Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long        10/06/17        11,961,025       1.1821      $ 14,138,996  

Euro

   UBS AG      Long        10/06/17        17,574,000       1.1821        20,774,032  

Euro

   Goldman Sachs International      Short        10/06/17        (1,663,500     1.1821        (1,966,405

Euro

   UBS AG      Short        10/06/17        (4,680,700     1.1821        (5,533,004

Foreign Currency Forward Contracts as of September 30, 2016

 

Reference

Currency

  

Counterparty

   Long or
Short
     Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International      Long        10/07/16        9,020,825       1.1236      $ 10,135,383  

Euro

   UBS AG      Long        10/07/16        8,385,200       1.1236        9,421,224  

Euro

   UBS AG      Short        10/07/16        (169,500     1.1236        (190,442

The September 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 September 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

 

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Foreign Currency Forward Contracts as of September 30, 2017

 

Reference Currency

  

Counterparty

   Long or
Short
     Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International      Long        10/06/17        735,730,100       0.008888      $ 6,539,365  

Yen

   UBS AG      Long        10/06/17        652,357,100       0.008888        5,798,323  

Yen

   Goldman Sachs International      Short        10/06/17        (23,286,700     0.008888        (206,978

Yen

   UBS AG      Short        10/06/17        (57,172,300     0.008888        (508,163

Foreign Currency Forward Contracts as of September 30, 2016

 

Reference Currency

  

Counterparty

   Long or
Short
     Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International      Long        10/07/16        1,029,857,000       0.009863      $ 10,157,661  

Yen

   UBS AG      Long        10/07/16        524,705,100       0.009863        5,175,259  

Yen

   Goldman Sachs International      Short        10/07/16        (34,119,100     0.009863        (336,523

Yen

   UBS AG      Short        10/07/16        (11,065,500     0.009863        (109,141

The September 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.

 

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Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 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).

 

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Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds or UltraShort Funds will generally decrease when the Index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were 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 September 30, 2017 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

 

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Part II OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

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

 

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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. 333-213918); 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

September 30, 2017
     Shares Sold For the
Three Months Ended
September 30, 2017
     Sale Price of Shares
Sold For the

Three Months Ended
September 30, 2017
 

ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest

     1,878,742,424        3,106,250      $ 119,114,643  

ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest

     555,231,376        675,000        18,111,394  

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

     9,178,056,779        17,750,000        1,373,345,679  

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

     10,862,875,118        33,400,000        988,812,355  

ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest

     2,167,514,328        5,400,000        201,007,302  

ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest

     1,020,000,000        700,000        14,228,859  

ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest

     344,275,705        150,000        4,692,571  

ProShares UltraShort Gold Common Units of Beneficial Interest

     312,159,711        50,000        3,415,569  

ProShares UltraShort Silver Common Units of Beneficial Interest

     1,950,297,178        200,000        5,866,605  

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

     1,916,296,347        1,350,000        29,240,662  

ProShares UltraShort Yen Common Units of Beneficial Interest

     951,478,689        150,000        11,021,193  

ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest

     5,508,543,310        4,400,000        65,521,323  

ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest

     1,020,000,000        250,000        4,957,138  

ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest

     427,459,640        2,600,000        22,195,648  

ProShares Ultra Gold Common Units of Beneficial Interest

     328,071,127        50,000        1,958,848  

ProShares Ultra Silver Common Units of Beneficial Interest

     1,388,553,846        300,000        9,317,745  

ProShares Ultra Euro Common Units of Beneficial Interest

     119,594,796        450,000        7,734,814  

ProShares Ultra Yen Common Units of Beneficial Interest

     138,726,333        —        $ —    

Total:

   $ 40,394,066,725        

 

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(b) From July 1, 2017 through September 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*

     

07/01/17 to 07/31/17

     151,046      $ 39.08  

08/01/17 to 08/31/17

     775,000      $ 45.45  

09/01/17 to 09/30/17

     100,000      $ 39.51  

ProShares VIX Mid-Term Futures ETF

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     —        $ —    

09/01/17 to 09/30/17

     —        $ —    

ProShares Short VIX Short-Term Futures ETF*

     

07/01/17 to 07/31/17

     6,350,000      $ 86.46  

08/01/17 to 08/31/17

     2,200,000      $ 75.67  

09/01/17 to 09/30/17

     8,000,000      $ 87.22  

ProShares Ultra VIX Short-Term Futures ETF*

     

07/01/17 to 07/31/17

     2,354,714      $ 31.97  

08/01/17 to 08/31/17

     10,150,000      $ 39.90  

09/01/17 to 09/30/17

     4,600,000      $ 28.01  

ProShares UltraShort Bloomberg Crude Oil

     

07/01/17 to 07/31/17

     100,000      $ 42.69  

08/01/17 to 08/31/17

     900,000      $ 40.50  

09/01/17 to 09/30/17

     100,000      $ 33.59  

ProShares UltraPro 3X Short Crude Oil ETF

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     —        $ —    

09/01/17 to 09/30/17

     —        $ —    

ProShares UltraShort Bloomberg Natural Gas

     

07/01/17 to 07/31/17

     50,000      $ 33.97  

08/01/17 to 08/31/17

     —        $ —    

09/01/17 to 09/30/17

     150,000      $ 33.19  

ProShares UltraShort Gold

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     —        $ —    

09/01/17 to 09/30/17

     50,000      $ 71.27  

ProShares UltraShort Silver

     

07/01/17 to 07/31/17

     100,000      $ 36.69  

08/01/17 to 08/31/17

     50,000      $ 31.53  

09/01/17 to 09/30/17

     —        $ —    

ProShares Short Euro

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     50,000      $ 40.60  

09/01/17 to 09/30/17

     —        $ —    

ProShares UltraShort Australian Dollar

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     50,000      $ 44.61  

09/01/17 to 09/30/17

     —        $ —    

ProShares UltraShort Euro

     

07/01/17 to 07/31/17

     500,000      $ 22.66  

08/01/17 to 08/31/17

     350,000      $ 21.53  

09/01/17 to 09/30/17

     300,000      $ 21.31  

ProShares UltraShort Yen

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     400,000      $ 70.07  

09/01/17 to 09/30/17

     50,000      $ 74.26  

ProShares Ultra Bloomberg Crude Oil

     

07/01/17 to 07/31/17

     18,300,000      $ 15.77  

08/01/17 to 08/31/17

     4,250,000      $ 16.42  

09/01/17 to 09/30/17

     11,850,000      $ 17.05  

 

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Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares UltraPro 3X Crude Oil ETF

     

07/01/17 to 07/31/17

     150,000      $ 22.74  

08/01/17 to 08/31/17

     150,000      $ 22.66  

09/01/17 to 09/30/17

     700,000      $ 23.82  

ProShares Ultra Bloomberg Natural Gas

     

07/01/17 to 07/31/17

     350,000      $ 9.72  

08/01/17 to 08/31/17

     350,000      $ 9.23  

09/01/17 to 09/30/17

     550,000      $ 9.55  

ProShares Ultra Gold

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     50,000      $ 40.64  

09/01/17 to 09/30/17

     100,000      $ 39.80  

ProShares Ultra Silver

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     250,000      $ 35.67  

09/01/17 to 09/30/17

     250,000      $ 38.49  

ProShares Ultra Euro

     

07/01/17 to 07/31/17

     150,000      $ 16.49  

08/01/17 to 08/31/17

     100,000      $ 17.17  

09/01/17 to 09/30/17

     200,000      $ 17.53  

ProShares Ultra Yen

     

07/01/17 to 07/31/17

     —        $ —    

08/01/17 to 08/31/17

     —        $ —    

09/01/17 to 09/30/17

     —        $ —    

 

* See Note 1 of the Notes to Financial Statements in this Quarterly Report on Form 10-Q regarding the reverse Share splits for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and the Share split for 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: November 9, 2017
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial Officer
Date: November 9, 2017

 

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