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ProShares Trust II - Quarter Report: 2014 September (Form 10-Q)

10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended September 30, 2014.

OR

 

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

for the transition period from                          to                     .

 

 

Commission file number: 001-34200

 

 

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

 

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

 

 

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

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

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

 

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

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

 

 

 


Table of Contents

PROSHARES TRUST II

Table of Contents

 

     Page

Part I. FINANCIAL INFORMATION

  

Item 1. Condensed Financial Statements.

   1

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

   154

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

   213

Item 4. Controls and Procedures.

   231

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings.

   232

Item 1A. Risk Factors.

   232

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

   236

Item 3. Defaults Upon Senior Securities.

   240

Item 4. Mine Safety Disclosures.

   240

Item 5. Other Information.

   240

Item 6. Exhibits.

   240


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 UltraShort Bloomberg Commodity

     2   

ProShares UltraShort Bloomberg Crude Oil

     7   

ProShares UltraShort Bloomberg Natural Gas

     12   

ProShares UltraShort Gold

     17   

ProShares UltraShort Silver

     22   

ProShares Short Euro

     27   

ProShares UltraShort Australian Dollar

     32   

ProShares UltraShort Euro

     37   

ProShares UltraShort Yen

     42   

ProShares Ultra Bloomberg Commodity

     47   

ProShares Ultra Bloomberg Crude Oil

     52   

ProShares Ultra Bloomberg Natural Gas

     57   

ProShares Ultra Gold

     62   

ProShares Ultra Silver

     67   

ProShares Ultra Australian Dollar

     72   

ProShares Ultra Euro

     77   

ProShares Ultra Yen

     82   

ProShares Managed Futures Strategy

     87   

ProShares VIX Short-Term Futures ETF

     88   

ProShares VIX Mid-Term Futures ETF

     93   

ProShares Ultra VIX Short-Term Futures ETF

     98   

ProShares Short VIX Short-Term Futures ETF

     103   

ProShares Trust II

     108   

Notes to Financial Statements

     112   

 

1


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 578,943       $ 374,245   

Short-term U.S. government and agency obligations (Note 3) (cost $3,221,884 and $3,453,851, respectively)

     3,221,933         3,453,890   

Unrealized appreciation on swap agreements

     351,391         —     
  

 

 

    

 

 

 

Total assets

     4,152,267         3,828,135   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     3,083         3,043   

Unrealized depreciation on swap agreements

     —           27,665   
  

 

 

    

 

 

 

Total liabilities

     3,083         30,708   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     4,149,184         3,797,427   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 4,152,267       $ 3,828,135   
  

 

 

    

 

 

 

Shares outstanding

     59,997         59,997   
  

 

 

    

 

 

 

Net asset value per share

   $ 69.16       $ 63.29   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 67.85       $ 58.41   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

2


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(78% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.037% due 10/23/14†

   $ 621,000       $ 620,992   

0.036% due 11/13/14†

     1,478,000         1,477,974   

0.028% due 12/04/14

     246,000         245,993   

0.015% due 12/11/14†

     877,000         876,974   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,221,884)

      $ 3,221,933   
     

 

 

 

Swap Agreements^

 

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

Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index

     0.25     10/06/14       $ (3,142,104   $ 138,092   

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index

     0.25        10/06/14         (3,692,948     151,279   

Swap agreement with UBS AG based on Bloomberg Commodity Index

     0.60        10/06/14         (1,467,635     62,020   
         

 

 

 
          $ 351,391   
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

3


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 295      $ 416      $ 947      $ 1,651   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,827        8,866        24,737        24,901   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,827        8,866        24,737        24,901   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,532     (8,450     (23,790     (23,250
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     502,112        13,664        (3,522     472,331   

Short-term U.S. government and agency obligations

     3        22        3        24   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     502,115        13,686        (3,519     472,355   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     401,110        (212,120     379,056        51,626   

Short-term U.S. government and agency obligations

     75        91        10        (268
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     401,185        (212,029     379,066        51,358   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     903,300        (198,343     375,547        523,713   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 894,768      $ (206,793   $ 351,757      $ 500,463   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 14.91      $ (3.45   $ 5.86      $ 8.34   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     59,997        59,997        59,997        59,997   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 3,797,427   

Net investment income (loss)

     (23,790

Net realized gain (loss)

     (3,519

Change in net unrealized appreciation/depreciation

     379,066   
  

 

 

 

Net income (loss)

     351,757   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 4,149,184   
  

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 351,757      $ 500,463   

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

    

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

     231,967        (393,331

Change in unrealized appreciation/depreciation on investments

     (379,066     (51,358

Increase (Decrease) in management fee payable

     40        276   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     204,698        56,050   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     204,698        56,050   

Cash, beginning of period

     374,245        296,119   
  

 

 

   

 

 

 

Cash, end of period

   $ 578,943      $ 352,169   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 1,380,259       $ 1,872,915   

Segregated cash balances with brokers for futures contracts

     5,449,950         7,633,395   

Short-term U.S. government and agency obligations (Note 3) (cost $182,779,226 and $247,573,678, respectively)

     182,780,326         247,584,623   

Unrealized appreciation on swap agreements

     1,336,940         —     

Receivable on open futures contracts

     5,351,442         1,503,943   
  

 

 

    

 

 

 

Total assets

     196,298,917         258,594,876   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     158,854         201,827   

Unrealized depreciation on swap agreements

     —           2,332,900   
  

 

 

    

 

 

 

Total liabilities

     158,854         2,534,727   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     196,140,063         256,060,149   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 196,298,917       $ 258,594,876   
  

 

 

    

 

 

 

Shares outstanding

     6,369,944         8,069,944   
  

 

 

    

 

 

 

Net asset value per share

   $ 30.79       $ 31.73   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 30.60       $ 31.58   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(93% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.037% due 10/23/14†

   $ 9,098,000       $ 9,097,889   

0.030% due 11/06/14

     1,635,000         1,634,967   

0.024% due 11/13/14

     21,111,000         21,110,622   

0.027% due 11/20/14†

     28,254,000         28,253,412   

0.026% due 11/28/14

     10,061,000         10,060,757   

0.028% due 12/04/14

     3,377,000         3,376,910   

0.031% due 12/11/14†

     35,189,000         35,187,959   

0.010% due 12/18/14†

     13,303,000         13,302,424   

0.051% due 01/08/15†

     7,520,000         7,519,586   

0.016% due 02/12/15†

     43,184,000         43,180,785   

0.006% due 02/19/15†

     10,056,000         10,055,015   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $182,779,226)

      $ 182,780,326   
     

 

 

 

Futures Contracts Sold††

 

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

Crude Oil – NYMEX, expires November 2014

     1,835       $ 167,278,600       $ 6,498,525   

Swap Agreements^

 

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

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

     0.25     10/06/14       $ (62,351,907   $ 386,649   

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

     0.25        10/06/14         (69,441,497     119,484   

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

     0.25        10/06/14         (23,563,233     263,194   

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

     0.25        10/06/14         (69,653,790     567,613   
         

 

 

 
          $ 1,336,940   
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
†† Cash collateral in the amount of $5,449,950 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

8


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 24,612      $ 34,116      $ 100,900      $ 82,626   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     648,492        1,047,511        2,113,748        1,830,070   

Brokerage commissions

     15,423        23,477        55,085        49,006   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     663,915        1,070,988        2,168,833        1,879,076   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (639,303     (1,036,872     (2,067,933     (1,796,450
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     18,002,176        (25,209,929     (5,265,003     (28,442,320

Swap agreements

     24,547,568        (60,974,182     3,969,738        (62,841,295

Short-term U.S. government and agency obligations

     6,685        3,458        17,002        11,757   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     42,556,429        (86,180,653     (1,278,263     (91,271,858
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     11,667,166        9,595,093        7,731,298        12,746,317   

Swap agreements

     17,442,092        35,068,228        3,669,840        40,295,267   

Short-term U.S. government and agency obligations

     (1,209     11,054        (9,845     8,033   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     29,108,049        44,674,375        11,391,293        53,049,617   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     71,664,478        (41,506,278     10,113,030        (38,222,241
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 71,025,175      $ (42,543,150   $ 8,045,097      $ (40,018,691
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 7.27      $ (2.84   $ 0.76      $ (5.04
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     9,770,487        14,997,661        10,591,189        7,941,189   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 256,060,149   

Addition of 14,850,000 shares

     421,186,839   

Redemption of 16,550,000 shares

     (489,152,022
  

 

 

 

Net addition (redemption) of (1,700,000) shares

     (67,965,183
  

 

 

 

Net investment income (loss)

     (2,067,933

Net realized gain (loss)

     (1,278,263

Change in net unrealized appreciation/depreciation

     11,391,293   
  

 

 

 

Net income (loss)

     8,045,097   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 196,140,063   
  

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 8,045,097      $ (40,018,691

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

     2,183,445        (12,641,916

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

     64,794,452        (331,957,513

Change in unrealized appreciation/depreciation on investments

     (3,659,995     (40,303,300

Decrease (Increase) in receivable on futures contracts

     (3,847,499     (2,100,651

Increase (Decrease) in management fee payable

     (42,973     297,353   

Increase (Decrease) in payable on futures contracts

     —          (979,336
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     67,472,527        (427,704,054
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     421,186,839        738,193,314   

Payment on shares redeemed

     (489,152,022     (307,981,814
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (67,965,183     430,211,500   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (492,656     2,507,446   

Cash, beginning of period

     1,872,915        658,676   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,380,259      $ 3,166,122   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 497,588       $ 564,647   

Segregated cash balances with brokers for futures contracts

     2,846,855         2,384,800   

Short-term U.S. government and agency obligations (Note 3) (cost $16,113,388 and $18,274,602, respectively)

     16,113,481         18,274,713   

Receivable on open futures contracts

     242,198         1,520,548   
  

 

 

    

 

 

 

Total assets

     19,700,122         22,744,708   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     17,102         9,941   
  

 

 

    

 

 

 

Total liabilities

     17,102         9,941   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     19,683,020         22,734,767   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 19,700,122       $ 22,744,708   
  

 

 

    

 

 

 

Shares outstanding

     424,952         324,952   
  

 

 

    

 

 

 

Net asset value per share

   $ 46.32       $ 69.96   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 46.48       $ 69.36   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(82% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.020% due 10/23/14

   $ 1,872,000       $ 1,871,977   

0.037% due 11/06/14

     3,708,000         3,707,926   

0.022% due 11/13/14

     4,966,000         4,965,911   

0.045% due 11/20/14

     2,619,000         2,618,945   

0.013% due 12/11/14

     150,000         149,996   

0.014% due 02/19/15

     2,799,000         2,798,726   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $16,113,388)

      $ 16,113,481   
     

 

 

 

Futures Contracts Sold††

 

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

Natural Gas – NYMEX, expires November 2014

     955       $ 39,355,550$         (1,869,686

 

†† Cash collateral in the amount of $2,846,855 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 2,392      $ 1,267      $ 15,332      $ 7,217   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     73,623        40,159        352,678        137,353   

Brokerage commissions

     14,788        9,143        76,540        36,055   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     88,411        49,302        429,218        173,408   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (86,019     (48,035     (413,886     (166,191
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     13,918,036        2,862,705        2,732,493        254,565   

Short-term U.S. government and agency obligations

     752        418        5,189        1,419   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     13,918,788        2,863,123        2,737,682        255,984   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,337,530     (1,862,190     (2,911,986     58,149   

Short-term U.S. government and agency obligations

     519        648        (18     (343
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (4,337,011     (1,861,542     (2,912,004     57,806   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     9,581,777        1,001,581        (174,322     313,790   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 9,495,758      $ 953,546      $ (588,208   $ 147,599   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 15.21      $ 4.97      $ (0.51   $ 0.60   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     624,408        191,799        1,154,439        244,171   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 22,734,767   

Addition of 2,400,000 shares

     100,908,495   

Redemption of 2,300,000 shares

     (103,372,034
  

 

 

 

Net addition (redemption) of 100,000 shares

     (2,463,539
  

 

 

 

Net investment income (loss)

     (413,886

Net realized gain (loss)

     2,737,682   

Change in net unrealized appreciation/depreciation

     (2,912,004
  

 

 

 

Net income (loss)

     (588,208
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 19,683,020   
  

 

 

 

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (588,208   $ 147,599   

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

     (462,055     (286,280

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

     2,161,214        (3,616,197

Change in unrealized appreciation/depreciation on investments

     18        343   

Decrease (Increase) in receivable on futures contracts

     1,278,350        587,465   

Increase (Decrease) in management fee payable

     7,161        35   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,396,480        (3,167,035
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     100,908,495        30,364,906   

Payment on shares redeemed

     (103,372,034     (27,245,818
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,463,539     3,119,088   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (67,059     (47,947

Cash, beginning of period

     564,647        310,060   
  

 

 

   

 

 

 

Cash, end of period

   $ 497,588      $ 262,113   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 154,221       $ 197,647   

Segregated cash balances with brokers for futures contracts

     10,120         15,950   

Short-term U.S. government and agency obligations (Note 3) (cost $76,390,490 and $148,987,995, respectively)

     76,390,633         148,988,329   

Unrealized appreciation on forward agreements

     5,603,080         5,633,053   

Receivable on open futures contracts

     760         300   
  

 

 

    

 

 

 

Total assets

     82,158,814         154,835,279   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           15,275,004   

Management fee payable

     62,905         123,819   
  

 

 

    

 

 

 

Total liabilities

     62,905         15,398,823   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     82,095,909         139,436,456   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 82,158,814       $ 154,835,279   
  

 

 

    

 

 

 

Shares outstanding

     846,978         1,346,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 96.93       $ 103.52   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 98.24       $ 103.53   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(93% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.003% due 10/23/14

   $ 10,214,000       $ 10,213,875   

0.036% due 11/13/14†

     2,641,000         2,640,953   

0.019% due 11/20/14†

     8,719,000         8,718,818   

0.012% due 11/28/14†

     2,335,000         2,334,944   

0.028% due 12/04/14†

     30,068,000         30,067,198   

0.010% due 12/18/14†

     2,714,000         2,713,882   

0.051% due 01/08/15†

     995,000         994,945   

0.017% due 02/19/15†

     13,894,000         13,892,640   

0.023% due 03/05/15

     4,814,000         4,813,378   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $76,390,490)

      $ 76,390,633   
     

 

 

 

Futures Contracts Sold††

 

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

Gold Futures – COMEX, expires December 2014

     2       $ 242,320       $ 19,400   

Forward Agreements^

 

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

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

     0.17   10/06/14    $ (68,000   $ (82,724,040   $ 2,934,951   

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

     0.27      10/06/14      (26,998     (32,843,877     1,104,499   

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

     0.37      10/06/14      (13,700     (16,666,461     566,668   

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

     0.27      10/06/14      (26,050     (31,690,607     996,962   
           

 

 

 
            $ 5,603,080   
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $10,120 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

18


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 7,015      $ 13,065      $ 34,960      $ 48,373   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     192,878        296,972        689,861        892,226   

Brokerage commissions

     8        8        32        32   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     192,886        296,980        689,893        892,258   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (185,871     (283,915     (654,933     (843,885
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (1,900     30,380        (6,330     95,800   

Forward agreements

     (4,374,364     5,990,767        (12,644,226     39,666,864   

Short-term U.S. government and agency obligations

     843        2,788        3,054        3,993   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,375,421     6,023,935        (12,647,502     39,766,657   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     24,240        (50,640     4,880        (24,640

Forward agreements

     16,186,588        (44,003,240     (29,973     4,052,594   

Short-term U.S. government and agency obligations

     (2,534     982        (191     (1,045
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     16,208,294        (44,052,898     (25,284     4,026,909   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     11,832,873        (38,028,963     (12,672,786     43,793,566   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 11,647,002      $ (38,312,878   $ (13,327,719   $ 42,949,681   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 12.68      $ (27.99   $ (12.16   $ 27.46   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     918,717        1,368,717        1,096,428        1,564,194   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 139,436,456   

Addition of 450,000 shares

     41,642,791   

Redemption of 950,000 shares

     (85,655,619
  

 

 

 

Net addition (redemption) of (500,000) shares

     (44,012,828
  

 

 

 

Net investment income (loss)

     (654,933

Net realized gain (loss)

     (12,647,502

Change in net unrealized appreciation/depreciation

     (25,284
  

 

 

 

Net income (loss)

     (13,327,719
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 82,095,909   
  

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (13,327,719   $ 42,949,681   

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

     5,830        (2,750

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

     72,597,505        (48,555,554

Change in unrealized appreciation/depreciation on investments

     30,164        (4,051,549

Decrease (Increase) in receivable on futures contracts

     (460     (2,440

Increase (Decrease) in management fee payable

     (60,914     17,818   

Increase (Decrease) in payable on futures contracts

     —          (3,980
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     59,244,406        (9,648,774
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     41,642,791        148,082,137   

Payment on shares redeemed

     (100,930,623     (138,335,150
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (59,287,832     9,746,987   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (43,426     98,213   

Cash, beginning of period

     197,647        175,194   
  

 

 

   

 

 

 

Cash, end of period

   $ 154,221      $ 273,407   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 194,542       $ 461,167   

Segregated cash balances with brokers for futures contracts

     7,150         22,000   

Short-term U.S. government and agency obligations (Note 3) (cost $47,308,329 and $114,822,672, respectively)

     47,309,314         114,826,066   

Unrealized appreciation on forward agreements

     12,351,895         —     

Receivable on open futures contracts

     1,905         2,450   
  

 

 

    

 

 

 

Total assets

     59,864,806         115,311,683   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     44,006         94,140   

Unrealized depreciation on forward agreements

     —           2,227,857   
  

 

 

    

 

 

 

Total liabilities

     44,006         2,321,997   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     59,820,800         112,989,686   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 59,864,806       $ 115,311,683   
  

 

 

    

 

 

 

Shares outstanding

     558,489         1,258,489   
  

 

 

    

 

 

 

Net asset value per share

   $ 107.11       $ 89.78   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 107.60       $ 90.19   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(79% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.037% due 10/23/14

   $ 127,000       $ 126,998   

0.039% due 11/06/14

     125,000         124,998   

0.028% due 11/20/14†

     7,862,000         7,861,836   

0.027% due 11/28/14†

     18,554,000         18,553,552   

0.028% due 12/04/14†

     1,500,000         1,499,960   

0.025% due 12/11/14†

     10,169,000         10,168,699   

0.042% due 12/18/14†

     1,968,000         1,967,915   

0.051% due 01/08/15†

     992,000         991,945   

0.028% due 02/19/15†

     6,014,000         6,013,411   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $47,308,329)

      $ 47,309,314   
     

 

 

 

Futures Contracts Sold††

 

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

Silver Futures – COMEX, expires December 2014

     1       $ 85,285       $ 14,690   

Forward Agreements^

 

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

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

     (0.17 )%      10/06/14       $ (3,443,000   $ (58,914,206   $ 6,311,898   

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

     0.05        10/06/14         (1,206,500     (20,644,422     2,281,378   

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

     0.14        10/06/14         (687,000     (11,755,257     1,430,359   

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

     0.07        10/06/14         (1,650,000     (28,233,315     2,328,260   
           

 

 

 
            $ 12,351,895   
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $7,150 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

23


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 5,567      $ 8,580      $ 26,362      $ 47,626   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     134,847        219,042        479,955        759,657   

Brokerage commissions

     9        8        33        32   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     134,856        219,050        479,988        759,689   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (129,289     (210,470     (453,626     (712,063
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,375     3,700        10,875        129,440   

Forward agreements

     (1,119,039     5,999,781        (1,293,578     86,693,880   

Short-term U.S. government and agency obligations

     1,921        4,502        3,931        7,599   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (1,121,493     6,007,983        (1,278,772     86,830,919   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     31,600        (25,580     490        (42,200

Forward agreements

     22,915,108        (32,063,071     14,579,752        (10,224,571

Short-term U.S. government and agency obligations

     (505     3,530        (2,409     (4,698
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     22,946,203        (32,085,121     14,577,833        (10,271,469
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     21,824,710        (26,077,138     13,299,061        76,559,450   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 21,695,421      $ (26,287,608   $ 12,845,435      $ 75,847,387   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 31.25      $ (23.75   $ 15.59      $ 46.96   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     694,358        1,106,858        824,057        1,615,265   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 112,989,686   

Addition of 800,000 shares

     61,660,743   

Redemption of 1,500,000 shares

     (127,675,064
  

 

 

 

Net addition (redemption) of (700,000) shares

     (66,014,321
  

 

 

 

Net investment income (loss)

     (453,626

Net realized gain (loss)

     (1,278,772

Change in net unrealized appreciation/depreciation

     14,577,833   
  

 

 

 

Net income (loss)

     12,845,435   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 59,820,800   
  

 

 

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 12,845,435      $ 75,847,387   

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

    

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

     14,850        (550

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

     67,514,343        (19,846,952

Change in unrealized appreciation/depreciation on investments

     (14,577,343     10,229,269   

Decrease (Increase) in receivable on futures contracts

     545        (580

Increase (Decrease) in management fee payable

     (50,134     (924

Increase (Decrease) in payable on futures contracts

     —          (2,520
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     65,747,696        66,225,130   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     61,660,743        220,175,462   

Payment on shares redeemed

     (127,675,064     (286,316,592
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (66,014,321     (66,141,130
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (266,625     84,000   

Cash, beginning of period

     461,167        344,378   
  

 

 

   

 

 

 

Cash, end of period

   $ 194,542      $ 428,378   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 1,913,477       $ 863,980   

Segregated cash balances with brokers for futures contracts

     242,000         128,700   

Short-term U.S. government and agency obligations (Note 3) (cost $15,108,007 and $7,901,405, respectively)

     15,108,184         7,902,056   

Receivable on open futures contracts

     86,385         9,100   
  

 

 

    

 

 

 

Total assets

     17,350,046         8,903,836   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     13,257         6,994   
  

 

 

    

 

 

 

Total liabilities

     13,257         6,994   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     17,336,789         8,896,842   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 17,350,046       $ 8,903,836   
  

 

 

    

 

 

 

Shares outstanding

     450,005         250,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 38.53       $ 35.59   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 38.50       $ 35.66   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(87% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.003% due 10/23/14

   $ 1,686,000       $ 1,685,979   

0.039% due 11/06/14

     103,000         102,998   

0.031% due 11/13/14

     2,120,000         2,119,962   

0.045% due 11/20/14

     1,799,000         1,798,963   

0.015% due 12/11/14

     2,966,000         2,965,912   

0.028% due 02/19/15

     6,435,000         6,434,370   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $15,108,007)

      $ 15,108,184   
     

 

 

 

Futures Contracts Sold††

 

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

Euro Fx Currency Futures – CME, expires December 2014

     110       $ 17,373,125       $ 430,669   

 

†† Cash collateral in the amount of $242,000 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 1,279      $ 338      $ 3,684      $ 1,363   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     38,144        16,080        83,705        16,573   

Brokerage commissions

     564        287        1,262        517   

Offering costs

     —          —          —          45,511   

Limitation by Sponsor

     —          —          —          (28,232
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     38,708        16,367        84,967        34,369   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (37,429     (16,029     (81,283     (33,006
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     767,314        (39,024     925,848        (114,962

Short-term U.S. government and agency obligations

     —          15        258        162   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     767,314        (39,009     926,106        (114,800
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     541,828        (208,707     463,900        (86,038

Short-term U.S. government and agency obligations

     (150     (93     (474     (200
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     541,678        (208,800     463,426        (86,238
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     1,308,992        (247,809     1,389,532        (201,038
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 1,271,563      $ (263,838   $ 1,308,249      $ (234,044
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 2.94      $ (1.46   $ 4.02      $ (1.84
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     433,157        180,983        325,646        127,294   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 8,896,842   

Addition of 250,000 shares

     8,924,282   

Redemption of 50,000 shares

     (1,792,584
  

 

 

 

Net addition (redemption) of 200,000 shares

     7,131,698   
  

 

 

 

Net investment income (loss)

     (81,283

Net realized gain (loss)

     926,106   

Change in net unrealized appreciation/depreciation

     463,426   
  

 

 

 

Net income (loss)

     1,308,249   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 17,336,789   
  

 

 

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 1,308,249      $ (234,044

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

    

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

     (113,300     (55,000

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

     (7,206,602     (3,257,086

Change in unrealized appreciation/depreciation on investments

     474        200   

Decrease (Increase) in receivable on futures contracts

     (77,285     6,612   

Decrease (Increase) in Limitation by Sponsor

     —          2,145   

Change in offering cost

     —          19,770   

Increase (Decrease) in management fee payable

     6,263        5,758   

Increase (Decrease) in payable on futures contracts

     —          3,225   

Increase (Decrease) in payable for offering costs

     —          (41,000
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (6,082,201     (3,549,420
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     8,924,282        3,748,394   

Payment on shares redeemed

     (1,792,584     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     7,131,698        3,748,394   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,049,497        198,974   

Cash, beginning of period

     863,980        302,359   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,913,477      $ 501,333   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 2,579,656       $ 2,751,320   

Segregated cash balances with brokers for futures contracts

     676,390         1,141,635   

Short-term U.S. government and agency obligations (Note 3)
(cost $17,489,224 and $24,197,046, respectively)

     17,488,683         24,198,507   
  

 

 

    

 

 

 

Total assets

     20,744,729         28,091,462   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     83,164         86,166   

Management fee payable

     16,291         22,017   
  

 

 

    

 

 

 

Total liabilities

     99,455         108,183   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     20,645,274         27,983,279   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 20,744,729       $ 28,091,462   
  

 

 

    

 

 

 

Shares outstanding

     450,005         600,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 45.88       $ 46.64   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 45.82       $ 46.66   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(85% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.035% due 10/23/14

   $ 2,907,000       $ 2,906,964   

0.026% due 11/13/14

     161,000         160,997   

0.048% due 12/11/14

     1,962,000         1,961,942   

0.011% due 02/19/15

     12,460,000         12,458,780   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $17,489,224)

      $ 17,488,683   
     

 

 

 

Futures Contracts Sold††

 

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

Australian Dollar Fx Currency Futures – CME, expires December 2014

     473       $ 41,136,810       $ 1,886,600   

 

†† Cash collateral in the amount of $676,390 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 1,375      $ 1,790      $ 7,366      $ 3,399   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     49,101        47,611        157,466        47,611   

Brokerage commissions

     2,854        4,057        9,220        7,836   

Offering costs

     —          2,926        —          47,870   

Limitation by Sponsor

     —          —          —          (1,259

Reduction in Limitation by Sponsor

     —          6,817        —          —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     51,955        61,411        166,686        102,058   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (50,580     (59,621     (159,320     (98,659
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     549,795        389,254        (1,375,743     2,294,351   

Short-term U.S. government and agency obligations

     5        156        492        317   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     549,800        389,410        (1,375,251     2,294,668   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     2,249,440        (1,865,253     968,995        (552,202

Short-term U.S. government and agency obligations

     (523     535        (2,002     309   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,248,917        (1,864,718     966,993        (551,893
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     2,798,717        (1,475,308     (408,258     1,742,775   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 2,748,137      $ (1,534,929   $ (567,578   $ 1,644,116   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 5.54      $ (2.94   $ (1.10   $ 5.43   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     495,657        522,831        515,573        302,935   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 27,983,279   

Redemption of 150,000 shares

     (6,770,427
  

 

 

 

Net investment income (loss)

     (159,320

Net realized gain (loss)

     (1,375,251

Change in net unrealized appreciation/depreciation

     966,993   
  

 

 

 

Net income (loss)

     (567,578
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 20,645,274   
  

 

 

 

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 
    

Cash flow from operating activities

    

Net income (loss)

   $ (567,578   $ 1,644,116   

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

     465,245        (900,207

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

     6,707,822        (18,712,921

Change in unrealized appreciation/depreciation on investments

     2,002        (309

Decrease (Increase) in Limitation by Sponsor

     —          2,216   

Change in offering cost

     —          22,129   

Increase (Decrease) in management fee payable

     (5,726     19,068   

Increase (Decrease) in payable on futures contracts

     (3,002     25,380   

Increase (Decrease) in payable for offering costs

     —          (41,000
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     6,598,763        (17,941,528
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          18,553,112   

Payment on shares redeemed

     (6,770,427     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (6,770,427     18,553,112   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (171,664     611,584   

Cash, beginning of period

     2,751,320        361,157   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,579,656      $ 972,741   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 220,494       $ 218,940   

Short-term U.S. government and agency obligations (Note 3) (cost $441,228,657 and $437,821,545, respectively)

     441,230,341         437,847,159   

Unrealized appreciation on foreign currency forward contracts

     39,102,543         151,351   
  

 

 

    

 

 

 

Total assets

     480,553,378         438,217,450   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     5,992,470         5,971,084   

Management fee payable

     373,176         345,393   

Unrealized depreciation on foreign currency forward contracts

     1,779,484         13,899,858   
  

 

 

    

 

 

 

Total liabilities

     8,145,130         20,216,335   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     472,408,248         418,001,115   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 480,553,378       $ 438,217,450   
  

 

 

    

 

 

 

Shares outstanding

     23,650,014         24,500,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 19.97       $ 17.06   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 19.96       $ 17.06   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(93% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.029% due 10/09/14†

   $ 55,284,000       $ 55,283,816   

0.031% due 10/23/14†

     91,411,000         91,409,883   

0.031% due 11/06/14†

     9,119,000         9,118,818   

0.040% due 11/13/14†

     2,717,000         2,716,951   

0.021% due 12/04/14

     57,364,000         57,362,470   

0.031% due 12/11/14†

     12,157,000         12,156,640   

0.019% due 12/18/14†

     213,191,000         213,181,763   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $441,228,657)

      $ 441,230,341   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     10/03/14         50,953,400      $ 64,354,521      $ (1,279,781

Euro with UBS AG

     10/03/14         16,358,400        20,660,780        (499,703
         

 

 

 
          $ (1,779,484
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     10/03/14         (407,363,625   $ (514,503,272   $ 19,230,460   

Euro with UBS AG

     10/03/14         (408,335,300     (515,730,505     19,872,083   
         

 

 

 
          $ 39,102,543   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 41,636      $ 39,032      $ 170,287      $ 179,135   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,111,745        1,169,113        3,090,163        3,553,447   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,111,745        1,169,113        3,090,163        3,553,447   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,070,109     (1,130,081     (2,919,876     (3,374,312
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     32,039,809        (8,625,860     25,744,724        (19,722,590

Short-term U.S. government and agency obligations

     2,005        2,718        4,490        7,137   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     32,041,814        (8,623,142     25,749,214        (19,715,453
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     42,910,400        (30,678,790     51,071,566        (12,784,494

Short-term U.S. government and agency obligations

     (9,136     17,665        (23,930     (5,930
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     42,901,264        (30,661,125     51,047,636        (12,790,424
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     74,943,078        (39,284,267     76,796,850        (32,505,877
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 73,872,969      $ (40,414,348   $ 73,876,974      $ (35,880,189
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 2.89      $ (1.53   $ 2.97      $ (1.36
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     25,554,362        26,331,536        24,893,054        26,459,721   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 418,001,115   

Addition of 2,550,000 shares

     43,961,622   

Redemption of 3,400,000 shares

     (63,431,463
  

 

 

 

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

     (19,469,841
  

 

 

 

Net investment income (loss)

     (2,919,876

Net realized gain (loss)

     25,749,214   

Change in net unrealized appreciation/depreciation

     51,047,636   
  

 

 

 

Net income (loss)

     73,876,974   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 472,408,248   
  

 

 

 

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 73,876,974      $ (35,880,189

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

    

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

     (3,407,112     70,603,634   

Change in unrealized appreciation/depreciation on investments

     (51,047,636     12,790,424   

Increase (Decrease) in management fee payable

     27,783        (129,118
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     19,450,009        47,384,751   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     43,961,622        119,076,233   

Payment on shares redeemed

     (63,410,077     (166,496,235
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (19,448,455     (47,420,002
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,554        (35,251

Cash, beginning of period

     218,940        276,372   
  

 

 

   

 

 

 

Cash, end of period

   $ 220,494      $ 241,121   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 392,331       $ 575,108   

Short-term U.S. government and agency obligations (Note 3) (cost $388,924,889 and $558,563,134, respectively)

     388,927,061         558,597,264   

Unrealized appreciation on foreign currency forward contracts

     35,860,499         31,317,568   

Receivable from capital shares sold

     11,362,409         —     
  

 

 

    

 

 

 

Total assets

     436,542,300         590,489,940   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     312,392         437,540   

Unrealized depreciation on foreign currency forward contracts

     729,246         1,930,884   
  

 

 

    

 

 

 

Total liabilities

     1,041,638         2,368,424   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     435,500,662         588,121,516   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 436,542,300       $ 590,489,940   
  

 

 

    

 

 

 

Shares outstanding

     5,749,294         8,299,294   
  

 

 

    

 

 

 

Net asset value per share

   $ 75.75       $ 70.86   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 75.76       $ 70.91   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(89% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.029% due 10/09/14†

   $ 10,101,000       $ 10,100,966   

0.005% due 10/23/14

     94,854,000         94,852,841   

0.048% due 11/06/14

     2,720,000         2,719,946   

0.045% due 11/13/14†

     9,846,000         9,845,824   

0.045% due 11/20/14†

     56,683,000         56,681,819   

0.028% due 12/04/14

     7,291,000         7,290,806   

0.030% due 12/11/14†

     68,375,000         68,372,977   

0.013% due 12/18/14†

     18,342,000         18,341,205   

0.016% due 02/12/15†

     41,521,000         41,517,909   

0.027% due 03/05/15†

     79,213,000         79,202,768   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $388,924,889)

      $ 388,927,061   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/03/14         2,823,176,700      $ 25,741,849      $ (549,891

Yen with UBS AG

     10/03/14         2,754,478,000        25,115,452        (179,355
         

 

 

 
          $ (729,246
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/03/14         (51,996,123,300   $ (474,102,939   $ 17,729,988   

Yen with UBS AG

     10/03/14         (49,151,071,100     (448,161,628     18,130,511   
         

 

 

 
          $ 35,860,499   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 28,871      $ 40,839      $ 163,880      $ 171,429   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     894,941        1,205,676        2,800,653        3,450,237   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     894,941        1,205,676        2,800,653        3,450,237   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (866,070     (1,164,837     (2,636,773     (3,278,808
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     15,787,084        (5,693,424     15,952,890        139,331,278   

Short-term U.S. government and agency obligations

     994        1,031        12,611        5,849   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     15,788,078        (5,692,393     15,965,501        139,337,127   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     44,778,863        (8,391,457     5,744,569        (50,633,718

Short-term U.S. government and agency obligations

     8,059        (44     (31,958     (9,916
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     44,786,922        (8,391,501     5,712,611        (50,643,634
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     60,575,000        (14,083,894     21,678,112        88,693,493   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 59,708,930      $ (15,248,731   $ 19,041,339      $ 85,414,685   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 10.90      $ (1.92   $ 3.25      $ 10.85   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     5,478,642        7,957,990        5,862,481        7,874,019   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 588,121,516   

Addition of 1,350,000 shares

     93,358,637   

Redemption of 3,900,000 shares

     (265,020,830
  

 

 

 

Net addition (redemption) of (2,550,000) shares

     (171,662,193
  

 

 

 

Net investment income (loss)

     (2,636,773

Net realized gain (loss)

     15,965,501   

Change in net unrealized appreciation/depreciation

     5,712,611   
  

 

 

 

Net income (loss)

     19,041,339   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 435,500,662   
  

 

 

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 19,041,339      $ 85,414,685   

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

    

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

     169,638,245        (112,971,096

Change in unrealized appreciation/depreciation on investments

     (5,712,611     50,643,634   

Increase (Decrease) in management fee payable

     (125,148     107,034   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     182,841,825        23,194,257   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     81,996,228        279,683,729   

Payment on shares redeemed

     (265,020,830     (302,766,273
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (183,024,602     (23,082,544
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (182,777     111,713   

Cash, beginning of period

     575,108        363,826   
  

 

 

   

 

 

 

Cash, end of period

   $ 392,331      $ 475,539   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 109,433       $ 85,642   

Short-term U.S. government and agency obligations (Note 3) (cost $3,629,729 and $2,816,627, respectively)

     3,629,825         2,816,688   

Unrealized appreciation on swap agreements

     —           15,078   
  

 

 

    

 

 

 

Total assets

     3,739,258         2,917,408   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,810         2,374   

Unrealized depreciation on swap agreements

     330,554         —     
  

 

 

    

 

 

 

Total liabilities

     333,364         2,374   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     3,405,894         2,915,034   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,739,258       $ 2,917,408   
  

 

 

    

 

 

 

Shares outstanding

     200,014         150,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 17.03       $ 19.43   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 17.06       $ 19.13   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(107% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.003% due 10/23/14†

   $ 1,159,000       $ 1,158,986   

0.036% due 11/13/14†

     487,000         486,991   

0.051% due 01/08/15†

     984,000         983,946   

0.028% due 02/19/15

     1,000,000         999,902   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $3,629,729)

      $ 3,629,825   
     

 

 

 

Swap Agreements^

 

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

Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index

     0.25     10/06/14       $ 2,826,697       $ (135,580

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index

     0.25        10/06/14         3,040,456         (148,743

Swap agreement with UBS AG based on Bloomberg Commodity Index

     0.60        10/06/14         938,766         (46,231
          

 

 

 
           $ (330,554
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

48


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 351      $ 395      $ 1,070      $ 1,809   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     9,295        9,770        24,709        32,386   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     9,295        9,770        24,709        32,386   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,944     (9,375     (23,639     (30,577
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Swap agreements

     (651,785     (85,078     (274,839     (868,053

Short-term U.S. government and agency obligations

     19        11        19        41   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (651,766     (85,067     (274,820     (868,012
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Swap agreements

     (339,598     233,903        (345,632     68,896   

Short-term U.S. government and agency obligations

     84        40        35        (77
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (339,514     233,943        (345,597     68,819   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (991,280     148,876        (620,417     (799,193
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,000,224   $ 139,501      $ (644,056   $ (829,770
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (5.00   $ 0.70      $ (3.84   $ (4.03
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     200,014        200,014        167,780        205,692   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $  2,915,034   

Addition of 50,000 shares

     1,134,916   
  

 

 

 

Net investment income (loss)

     (23,639

Net realized gain (loss)

     (274,820

Change in net unrealized appreciation/depreciation

     (345,597
  

 

 

 

Net income (loss)

     (644,056
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 3,405,894   
  

 

 

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (644,056   $ (829,770

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

    

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

     (813,102     2,133,006   

Change in unrealized appreciation/depreciation on investments

     345,597        (68,819

Increase (Decrease) in management fee payable

     436        (1,793
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (1,111,125     1,232,624   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,134,916        —     

Payment on shares redeemed

     —          (1,275,613
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,134,916        (1,275,613
  

 

 

   

 

 

 

Net increase (decrease) in cash

     23,791        (42,989

Cash, beginning of period

     85,642        167,546   
  

 

 

   

 

 

 

Cash, end of period

   $ 109,433      $ 124,557   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 2,546,720       $ 689,596   

Segregated cash balances with brokers for futures contracts

     5,028,210         3,821,895   

Short-term U.S. government and agency obligations (Note 3) (cost $183,289,538 and $137,423,179, respectively)

     183,290,203         137,435,610   

Unrealized appreciation on swap agreements

     —           1,957,893   
  

 

 

    

 

 

 

Total assets

     190,865,133         143,904,994   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     4,516,554         —     

Payable on open futures contracts

     5,850,066         997,210   

Management fee payable

     147,123         134,355   

Unrealized depreciation on swap agreements

     1,175,472         —     
  

 

 

    

 

 

 

Total liabilities

     11,689,215         1,131,565   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     179,175,918         142,773,429   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 190,865,133       $ 143,904,994   
  

 

 

    

 

 

 

Shares outstanding

     5,949,170         4,449,170   
  

 

 

    

 

 

 

Net asset value per share

   $ 30.12       $ 32.09   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 30.34       $ 32.22   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(102% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.016% due 10/23/14

   $ 9,493,000       $ 9,492,884   

0.027% due 11/06/14

     10,958,000         10,957,781   

0.023% due 11/13/14

     22,913,000         22,912,589   

0.045% due 11/20/14

     1,986,000         1,985,959   

0.028% due 11/28/14

     6,784,000         6,783,836   

0.026% due 12/04/14†

     4,500,000         4,499,880   

0.025% due 12/11/14†

     29,896,000         29,895,116   

0.025% due 12/18/14†

     31,535,000         31,533,634   

0.051% due 01/08/15†

     14,590,000         14,589,197   

0.017% due 01/29/15

     9,158,000         9,157,389   

0.013% due 02/19/15†

     41,486,000         41,481,938   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $183,289,538)

      $ 183,290,203   
     

 

 

 

Futures Contracts Purchased††

 

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

Crude Oil – NYMEX, expires November 2014

     1,693       $ 154,333,880       $ (6,067,155

Swap Agreements^

 

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

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

     0.25   10/06/14    $ 66,036,469       $ (299,424

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

     0.25      10/06/14      52,389,330         (68,287

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

     0.25      10/06/14      24,059,224         (222,180

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

     0.25      10/06/14      61,519,125         (585,581
          

 

 

 
           $ (1,175,472
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
†† Cash collateral in the amount of $5,028,210 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

53


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 11,935      $ 13,828      $ 44,923      $ 115,731   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     333,837        391,381        908,339        1,902,343   

Brokerage commissions

     7,661        5,957        24,160        44,268   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     341,498        397,338        932,499        1,946,611   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (329,563     (383,510     (887,576     (1,830,880
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (6,183,721     14,935,152        7,188,529        58,472,792   

Swap agreements

     (10,226,540     38,653,932        7,408,979        82,414,286   

Short-term U.S. government and agency obligations

     2,046        2,220        10,004        11,070   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (16,408,215     53,591,304        14,607,512        140,898,148   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (7,190,259     (3,023,114     (6,693,816     (24,671,176

Swap agreements

     (5,286,502     (15,181,493     (3,133,365     (44,328,639

Short-term U.S. government and agency obligations

     (1,104     (157     (11,766     (16,190
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (12,477,865     (18,204,764     (9,838,947     (69,016,005
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (28,886,080     35,386,540        4,768,565        71,882,143   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (29,215,643   $ 35,003,030      $ 3,880,989      $ 70,051,263   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (6.90   $ 7.77      $ 1.01      $ 8.11   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     4,236,127        4,506,235        3,855,763        8,637,082   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 142,773,429   

Addition of 10,400,000 shares

     326,129,425   

Redemption of 8,900,000 shares

     (293,607,925
  

 

 

 

Net addition (redemption) of 1,500,000 shares

     32,521,500   
  

 

 

 

Net investment income (loss)

     (887,576

Net realized gain (loss)

     14,607,512   

Change in net unrealized appreciation/depreciation

     (9,838,947
  

 

 

 

Net income (loss)

     3,880,989   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 179,175,918   
  

 

 

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 3,880,989      $ 70,051,263   

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

     (1,206,315     18,427,197   

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

     (45,866,359     301,252,163   

Change in unrealized appreciation/depreciation on investments

     3,145,131        44,344,829   

Decrease (Increase) in receivable on futures contracts

     —          3,430,415   

Increase (Decrease) in management fee payable

     12,768        (292,552

Increase (Decrease) in payable on futures contracts

     4,852,856        772,970   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (35,180,930     437,986,285   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     326,129,425        212,258,224   

Payment on shares redeemed

     (289,091,371     (651,758,235
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     37,038,054        (439,500,011
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,857,124        (1,513,726

Cash, beginning of period

     689,596        2,198,932   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,546,720      $ 685,206   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 3,107,602       $ 3,102,827   

Segregated cash balances with brokers for futures contracts

     10,057,894         6,602,200   

Short-term U.S. government and agency obligations (Note 3) (cost $59,024,900 and $58,918,095, respectively)

     59,025,434         58,921,011   
  

 

 

    

 

 

 

Total assets

     72,190,930         68,626,038   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     1,810,408         —     

Payable on open futures contracts

     803,837         5,628,532   

Management fee payable

     51,975         81,727   
  

 

 

    

 

 

 

Total liabilities

     2,666,220         5,710,259   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     69,524,710         62,915,779   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 72,190,930       $ 68,626,038   
  

 

 

    

 

 

 

Shares outstanding

     1,919,941         1,619,941   
  

 

 

    

 

 

 

Net asset value per share

   $ 36.21       $ 38.84   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 36.20       $ 39.28   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(85% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.020% due 10/23/14

   $ 10,567,000       $ 10,566,871   

0.035% due 11/06/14

     8,839,000         8,838,823   

0.028% due 11/13/14

     2,225,000         2,224,960   

0.006% due 11/20/14

     1,429,000         1,428,970   

0.012% due 11/28/14

     3,290,000         3,289,921   

0.028% due 12/04/14

     1,351,000         1,350,964   

0.022% due 12/11/14

     6,789,000         6,788,799   

0.010% due 12/18/14

     2,183,000         2,182,905   

0.051% due 01/08/15

     9,348,000         9,347,486   

0.011% due 01/29/15

     2,761,000         2,760,816   

0.015% due 02/19/15

     7,744,000         7,743,242   

0.023% due 03/05/15

     2,502,000         2,501,677   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $59,024,900)

      $ 59,025,434   
     

 

 

 

Futures Contracts Purchased††

 

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

Natural Gas – NYMEX, expires November 2014

     3,374       $ 139,042,540       $ 4,355,964   

 

†† Cash collateral in the amount of $10,057,894 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 3,296      $ 5,794      $ 11,380      $ 22,420   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     114,501        188,763        264,587        458,553   

Brokerage commissions

     17,003        31,168        44,280        87,565   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     131,504        219,931        308,867        546,118   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (128,208     (214,137     (297,487     (523,698
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (7,087,097     (14,491,916     9,878,729        410,025   

Short-term U.S. government and agency obligations

     306        1,729        3,519        5,506   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (7,086,791     (14,490,187     9,882,248        415,531   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     5,766,729        9,380,633        8,012,503        7,251,345   

Short-term U.S. government and agency obligations

     479        2,201        (2,382     486   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     5,767,208        9,382,834        8,010,121        7,251,831   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (1,319,583     (5,107,353     17,892,369        7,667,362   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,447,791   $ (5,321,490   $ 17,594,882      $ 7,143,664   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (1.04   $ (2.33   $ 19.02      $ 4.27   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     1,389,506        2,285,158        924,886        1,671,223   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 62,915,779   

Addition of 2,050,000 shares

     75,528,011   

Redemption of 1,750,000 shares

     (86,513,962
  

 

 

 

Net addition (redemption) of 300,000 shares

     (10,985,951
  

 

 

 

Net investment income (loss)

     (297,487

Net realized gain (loss)

     9,882,248   

Change in net unrealized appreciation/depreciation

     8,010,121   
  

 

 

 

Net income (loss)

     17,594,882   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 69,524,710   
  

 

 

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 17,594,882      $ 7,143,664   

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

    

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

     (3,455,694     (1,958,120

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

     (106,805     (10,924,298

Change in unrealized appreciation/depreciation on investments

     2,382        (486

Increase (Decrease) in management fee payable

     (29,752     20,030   

Increase (Decrease) in payable on futures contracts

     (4,824,695     (2,892,640
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     9,180,318        (8,611,850
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     75,528,011        129,408,077   

Payment on shares redeemed

     (84,703,554     (120,220,935
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (9,175,543     9,187,142   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     4,775        575,292   

Cash, beginning of period

     3,102,827        3,385,764   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,107,602      $ 3,961,056   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31,
2013
 

Assets

     

Cash

   $ 121,685       $ 142,566   

Segregated cash balances with brokers for futures contracts

     10,120         15,950   

Short-term U.S. government and agency obligations (Note 3) (cost $121,091,598 and $140,884,104, respectively)

     121,093,621         140,880,950   
  

 

 

    

 

 

 

Total assets

     121,225,426         141,039,466   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           2,097,225   

Payable on open futures contracts

     1,440         300   

Management fee payable

     91,935         111,562   

Unrealized depreciation on forward agreements

     8,125,619         6,812,974   
  

 

 

    

 

 

 

Total liabilities

     8,218,994         9,022,061   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     113,006,432         132,017,405   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 121,225,426       $ 141,039,466   
  

 

 

    

 

 

 

Shares outstanding

     2,750,014         3,200,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 41.09       $ 41.26   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 40.59       $ 41.26   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(107% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.008% due 10/23/14†

   $ 8,640,000       $ 8,639,894   

0.027% due 11/28/14†

     9,396,000         9,395,773   

0.028% due 12/04/14†

     29,630,000         29,629,210   

0.045% due 12/11/14†

     22,350,000         22,349,339   

0.033% due 12/18/14†

     12,623,000         12,622,453   

0.051% due 01/08/15†

     13,004,000         13,003,285   

0.010% due 01/29/15†

     5,118,000         5,117,659   

0.007% due 02/19/15†

     20,338,000         20,336,008   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $121,091,598)

      $ 121,093,621   
     

 

 

 

Futures Contracts Purchased††

 

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

Gold Futures – COMEX, expires December 2014

     2       $  242,320       $ (19,400

Forward Agreements^

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

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

     0.43     10/06/14       $  96,500       $  117,395,145       $ (4,255,264

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

     0.58        10/06/14         39,320         47,833,960         (1,626,387

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

     0.63        10/06/14         15,200         18,491,256         (714,569

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

     0.53        10/06/14         34,600         42,091,938         (1,529,399
             

 

 

 
              $ (8,125,619
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $10,120 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

63


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended

September 30,
2014
    Three months
ended

September 30,
2013
    Nine months
ended

September 30,
2014
    Nine months
ended

September 30,
2013
 

Investment Income

        

Interest

   $ 13,569      $ 18,099      $ 45,026      $ 118,967   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     307,247        409,677        953,309        1,692,282   

Brokerage commissions

     8        8        32        32   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     307,255        409,685        953,341        1,692,314   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (293,686     (391,586     (908,315     (1,573,347
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     1,880        (30,400     6,320        (95,940

Forward agreements

     1,373,311        (5,880,490     3,313,355        (124,238,804

Short-term U.S. government and agency obligations

     985        3,048        1,708        11,545   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     1,376,176        (5,907,842     3,321,383        (124,323,199
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (24,220     50,680        (4,840     24,660   

Forward agreements

     (21,353,534     36,515,444        (1,312,645     (1,537,902

Short-term U.S. government and agency obligations

     (969     6,673        5,177        (12,309
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (21,378,723     36,572,797        (1,312,308     (1,525,551
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (20,002,547     30,664,955        2,009,075        (125,848,750
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (20,296,233   $ 30,273,369      $ 1,100,760      $ (127,422,097
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (7.26   $ 9.07      $ 0.38      $ (34.81
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     2,795,123        3,338,057        2,878,769        3,661,003   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $  132,017,405   

Addition of 250,000 shares

     11,583,569   

Redemption of 700,000 shares

     (31,695,302
  

 

 

 

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

     (20,111,733
  

 

 

 

Net investment income (loss)

     (908,315

Net realized gain (loss)

     3,321,383   

Change in net unrealized appreciation/depreciation

     (1,312,308
  

 

 

 

Net income (loss)

     1,100,760   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 113,006,432   
  

 

 

 

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 1,100,760      $ (127,422,097

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

     5,830        (2,750

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

     19,792,506        160,943,187   

Change in unrealized appreciation/depreciation on investments

     1,307,468        1,550,211   

Decrease (Increase) in receivable on futures contracts

     —          3,980   

Increase (Decrease) in management fee payable

     (19,627     (139,058

Increase (Decrease) in payable on futures contracts

     1,140        2,440   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     22,188,077        34,935,913   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     11,583,569        30,696,013   

Payment on shares redeemed

     (33,792,527     (65,782,385
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (22,208,958     (35,086,372
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (20,881     (150,459

Cash, beginning of period

     142,566        342,345   
  

 

 

   

 

 

 

Cash, end of period

   $ 121,685      $ 191,886   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 450,608       $ 463,001   

Segregated cash balances with brokers for futures contracts

     14,300         22,000   

Short-term U.S. government and agency obligations (Note 3) (cost $448,616,600 and $467,849,038, respectively)

     448,624,453         467,868,976   
  

 

 

    

 

 

 

Total assets

     449,089,361         468,353,977   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     5,100         2,450   

Management fee payable

     316,091         379,128   

Unrealized depreciation on forward agreements

     91,592,767         2,492,880   
  

 

 

    

 

 

 

Total liabilities

     91,913,958         2,874,458   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     357,175,403         465,479,519   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 449,089,361       $ 468,353,977   
  

 

 

    

 

 

 

Shares outstanding

     7,696,533         7,350,007   
  

 

 

    

 

 

 

Net asset value per share

   $ 46.41       $ 63.33   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 46.15       $ 63.04   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(126% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.014% due 10/23/14†

   $ 22,511,000       $ 22,510,725   

0.038% due 11/06/14†

     83,775,000         83,773,324   

0.031% due 11/13/14†

     113,655,000         113,652,963   

0.027% due 11/28/14†

     25,788,000         25,787,377   

0.035% due 12/04/14†

     44,898,000         44,896,803   

0.031% due 12/11/14†

     4,258,000         4,257,874   

0.033% due 12/18/14†

     45,315,000         45,313,037   

0.011% due 01/29/15

     12,085,000         12,084,194   

0.026% due 02/12/15†

     77,754,000         77,748,212   

0.026% due 02/19/15†

     11,111,000         11,109,912   

0.010% due 03/05/15

     7,491,000         7,490,032   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $448,616,600)

      $ 448,624,453   
     

 

 

 

Futures Contracts Purchased††

 

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

Silver Futures – COMEX, expires December 2014

     2       $ 170,570       $ (29,380

Forward Agreements^

 

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

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

     0.77     10/06/14       $ 21,621,000       $ 369,963,417       $ (46,744,838

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

     0.80        10/06/14         8,202,800         140,358,111         (17,435,908

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

     0.86        10/06/14         4,628,000         79,189,708         (9,689,940

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

     0.83        10/06/14         7,285,000         124,654,364         (17,722,081
             

 

 

 
              $ (91,592,767
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements.
†† Cash collateral in the amount of $14,300 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
* 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.

 

68


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 41,216      $ 51,513      $ 155,173      $ 313,406   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,064,643        1,317,246        3,351,080        4,410,160   

Brokerage commissions

     5        8        35        28   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,064,648        1,317,254        3,351,115        4,410,188   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,023,432     (1,265,741     (3,195,942     (4,096,782
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     2,825        (3,850     (9,550     (129,994

Forward agreements

     9,484,132        28,403,922        (22,787,871     (509,769,205

Short-term U.S. government and agency obligations

     834        5,757        6,514        28,868   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     9,487,791        28,405,829        (22,790,907     (509,870,331
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (37,835     25,680        (15,180     42,200   

Forward agreements

     (178,494,978     96,463,510        (89,099,887     65,653,357   

Short-term U.S. government and agency obligations

     5,748        4,593        (12,085     (49,887
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (178,527,065     96,493,783        (89,127,152     65,645,670   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (169,039,274     124,899,612        (111,918,059     (444,224,661
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (170,062,706   $ 123,633,871      $ (115,114,001   $ (448,321,443
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (23.96   $ 17.91      $ (15.80   $ (78.96
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     7,096,533        6,902,589        7,283,608        5,677,480   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 465,479,519   

Addition of 2,087,500 shares

     127,480,399   

Redemption of 1,740,974 shares

     (120,670,514
  

 

 

 

Net addition (redemption) of 346,526 shares

     6,809,885   
  

 

 

 

Net investment income (loss)

     (3,195,942

Net realized gain (loss)

     (22,790,907

Change in net unrealized appreciation/depreciation

     (89,127,152
  

 

 

 

Net income (loss)

     (115,114,001
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 357,175,403   
  

 

 

 

See accompanying notes to financial statements.

 

70


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (115,114,001   $ (448,321,443

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

    

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

     7,700        (550

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

     19,232,438        257,179,896   

Change in unrealized appreciation/depreciation on investments

     89,111,972        (65,603,470

Decrease (Increase) in receivable on futures contracts

     —          2,520   

Increase (Decrease) in management fee payable

     (63,037     (183,794

Increase (Decrease) in payable on futures contracts

     2,650        1,780   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (6,822,278     (256,925,061
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     127,480,399        335,894,773   

Payment on shares redeemed

     (120,670,514     (79,224,344
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     6,809,885        256,670,429   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (12,393     (254,632

Cash, beginning of period

     463,001        890,051   
  

 

 

   

 

 

 

Cash, end of period

   $ 450,608      $ 635,419   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

71


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 170,702       $ 314,796   

Segregated cash balances with brokers for futures contracts

     102,960         128,865   

Short-term U.S. government and agency obligations (Note 3) (cost $2,833,834 and $2,716,026, respectively)

     2,833,943         2,716,439   

Receivable on open futures contracts

     13,680         10,650   
  

 

 

    

 

 

 

Total assets

     3,121,285         3,170,750   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     2,615         2,585   
  

 

 

    

 

 

 

Total liabilities

     2,615         2,585   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     3,118,670         3,168,165   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 3,121,285       $ 3,170,750   
  

 

 

    

 

 

 

Shares outstanding

     100,005         100,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 31.19       $ 31.68   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 30.99       $ 31.61   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(91% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.037% due 10/23/14

   $ 284,000       $ 283,996   

0.045% due 11/20/14

     2,550,000         2,549,947   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,833,834)

      $ 2,833,943   
     

 

 

 

Futures Contracts Purchased††

 

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

Australian Dollar Fx Currency Futures – CME, expires December 2014

     72       $ 6,261,840       $ (321,111

 

†† Cash collateral in the amount of $102,960 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

73


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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 347      $ 242      $ 1,433      $ 1,312   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,338        6,535        24,141        6,535   

Brokerage commissions

     378        394        1,134        1,171   

Offering costs

     —          2,926        —          47,870   

Limitation by Sponsor

     —          (1,572     —          (27,636
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     8,716        8,283        25,275        27,940   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,369     (8,041     (23,842     (26,628
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (80,720     (123,128     177,523        (863,033

Short-term U.S. government and agency obligations

     19        7        19        22   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (80,701     (123,121     177,542        (863,011
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (384,611     277,231        (202,891     169,154   

Short-term U.S. government and agency obligations

     162        (67     (304     (185
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (384,449     277,164        (203,195     168,969   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (465,150     154,043        (25,653     (694,042
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (473,519   $ 146,002      $ (49,495   $ (720,670
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (4.73   $ 1.46      $ (0.49   $ (7.21
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     100,005        100,005        100,005        100,005   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

74


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 3,168,165   

Net investment income (loss)

     (23,842

Net realized gain (loss)

     177,542   

Change in net unrealized appreciation/depreciation

     (203,195
  

 

 

 

Net income (loss)

     (49,495
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 3,118,670   
  

 

 

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (49,495   $ (720,670

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

     25,905        9,438   

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

     (117,808     570,805   

Change in unrealized appreciation/depreciation on investments

     304        185   

Decrease (Increase) in receivable on futures contracts

     (3,030     6,820   

Decrease (Increase) in Limitation by Sponsor

     —          1,012   

Change in offering cost

     —          22,128   

Increase (Decrease) in management fee payable

     30        2,639   

Increase (Decrease) in payable for offering costs

     —          (41,000
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (144,094     (148,643
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (144,094     (148,643

Cash, beginning of period

     314,796        426,634   
  

 

 

   

 

 

 

Cash, end of period

   $ 170,702      $ 277,991   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 169,958       $ 49,723   

Short-term U.S. government and agency obligations (Note 3)
(cost $2,189,902 and $2,455,715, respectively)

     2,189,947         2,455,863   

Unrealized appreciation on foreign currency forward contracts

     3,517         120,908   
  

 

 

    

 

 

 

Total assets

     2,363,422         2,626,494   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     1,775         2,721   

Unrealized depreciation on foreign currency forward contracts

     185,378         19,946   
  

 

 

    

 

 

 

Total liabilities

     187,153         22,667   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     2,176,269         2,603,827   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 2,363,422       $ 2,626,494   
  

 

 

    

 

 

 

Shares outstanding

     100,014         100,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 21.76       $ 26.03   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.72       $ 25.98   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

77


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(101% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.037% due 10/23/14†

   $ 246,000       $ 245,997   

0.036% due 11/13/14†

     1,038,000         1,037,981   

0.028% due 12/04/14

     500,000         499,987   

0.026% due 12/18/14

     406,000         405,982   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $2,189,902)

      $ 2,189,947   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

     

Euro with Goldman Sachs International

     10/03/14         621,725      $ 785,243      $ (31,823

Euro with UBS AG

     10/03/14         2,994,100        3,781,570        (153,555
         

 

 

 
          $ (185,378
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     10/03/14         (72,700   $ (91,821   $ 825   

Euro with UBS AG

     10/03/14         (97,300     (122,891     2,692   
         

 

 

 
          $ 3,517   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

78


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 231      $ 371      $ 936      $ 1,468   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     5,760        8,494        17,908        28,458   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     5,760        8,494        17,908        28,458   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (5,529     (8,123     (16,972     (26,990
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (172,537     41,105        (127,652     12,734   

Short-term U.S. government and agency obligations

     (8     9        (8     18   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (172,545     41,114        (127,660     12,752   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (212,588     227,504        (282,823     103,314   

Short-term U.S. government and agency obligations

     30        90        (103     (6
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (212,558     227,594        (282,926     103,308   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (385,103     268,708        (410,586     116,060   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (390,632   $ 260,585      $ (427,558   $ 89,070   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (3.91   $ 1.78      $ (4.27   $ 0.54   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     100,014        146,210        100,014        166,131   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 2,603,827   

Net investment income (loss)

     (16,972

Net realized gain (loss)

     (127,660

Change in net unrealized appreciation/depreciation

     (282,926
  

 

 

 

Net income (loss)

     (427,558
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 2,176,269   
  

 

 

 

See accompanying notes to financial statements.

 

80


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (427,558   $ 89,070   

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

    

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

     265,813        2,256,005   

Change in unrealized appreciation/depreciation on investments

     282,926        (103,308

Increase (Decrease) in management fee payable

     (946     (1,219
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     120,235        2,240,548   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     —          (2,433,926
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     —          (2,433,926
  

 

 

   

 

 

 

Net increase (decrease) in cash

     120,235        (193,378

Cash, beginning of period

     49,723        240,086   
  

 

 

   

 

 

 

Cash, end of period

   $ 169,958      $ 46,708   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 122,005       $ 28,116   

Short-term U.S. government and agency obligations (Note 3) (cost $1,732,924 and $2,928,242, respectively)

     1,732,967         2,928,556   

Unrealized appreciation on foreign currency forward contracts

     3,275         4,052   
  

 

 

    

 

 

 

Total assets

     1,858,247         2,960,724   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     1,388         2,337   

Unrealized depreciation on foreign currency forward contracts

     159,695         163,361   
  

 

 

    

 

 

 

Total liabilities

     161,083         165,698   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     1,697,164         2,795,026   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 1,858,247       $ 2,960,724   
  

 

 

    

 

 

 

Shares outstanding

     100,014         150,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 16.97       $ 18.63   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 17.06       $ 18.61   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

82


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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(102% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.037% due 10/23/14†

   $ 368,000       $ 367,995   

0.036% due 11/13/14†

     751,000         750,987   

0.035% due 11/28/14

     471,000         470,989   

0.035% due 12/04/14

     143,000         142,996   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $1,732,924)

      $ 1,732,967   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/03/14         79,232,400      $ 722,445      $ (31,746

Yen with UBS AG

     10/03/14         312,531,500        2,849,676        (127,949
         

 

 

 
          $ (159,695
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/03/14         (12,190,700   $ (111,155   $ 2,097   

Yen with UBS AG

     10/03/14         (7,374,200     (67,238     1,178   
         

 

 

 
          $ 3,275   
         

 

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

 

83


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PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 167      $ 295      $ 988      $ 1,538   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     4,546        7,652        17,855        26,182   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     4,546        7,652        17,855        26,182   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (4,379     (7,357     (16,867     (24,644
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (86,452     (20,255     (108,048     (1,694,827

Short-term U.S. government and agency obligations

     7        19        85        72   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (86,445     (20,236     (107,963     (1,694,755
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (209,139     65,431        2,889        569,791   

Short-term U.S. government and agency obligations

     76        (55     (271     (147
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (209,063     65,376        2,618        569,644   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (295,508     45,140        (105,345     (1,125,111
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (299,887   $ 37,783      $ (122,212   $ (1,149,755
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ (3.00   $ 0.25      $ (0.95   $ (7.08
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     100,014        150,014        129,318        162,285   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

84


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 2,795,026   

Redemption of 50,000 shares

     (975,650
  

 

 

 

Net investment income (loss)

     (16,867

Net realized gain (loss)

     (107,963

Change in net unrealized appreciation/depreciation

     2,618   
  

 

 

 

Net income (loss)

     (122,212
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 1,697,164   
  

 

 

 

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (122,212   $ (1,149,755

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

    

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

     1,195,318        1,468,886   

Change in unrealized appreciation/depreciation on investments

     (2,618     (569,644

Increase (Decrease) in management fee payable

     (949     (1,180
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,069,539        (251,693
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          1,323,474   

Payment on shares redeemed

     (975,650     (1,180,652
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (975,650     142,822   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     93,889        (108,871

Cash, beginning of period

     28,116        138,033   
  

 

 

   

 

 

 

Cash, end of period

   $ 122,005      $ 29,162   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENT OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
 

Assets

  

Cash

   $ 200   

Offering costs (Note 5)

     65,785   
  

 

 

 

Total assets

     65,985   
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

     65,785   
  

 

 

 

Total liabilities

     65,785   
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

     200   
  

 

 

 

Total liabilities and shareholders’ equity

   $ 65,985   
  

 

 

 

Shares outstanding

     10   
  

 

 

 

 

* See Note 1 and 9.

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 2,328,086       $ 4,333,752   

Segregated cash balances with brokers for futures contracts

     22,960,500         64,020,350   

Short-term U.S. government and agency obligations (Note 3) (cost $112,202,851 and $207,628,319, respectively)

     112,201,096         207,636,383   

Receivable from capital shares sold

     2,083,603         —     

Receivable on open futures contracts

     528,712         3,179,017   
  

 

 

    

 

 

 

Total assets

     140,101,997         279,169,502   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           8,562,195   

Management fee payable

     83,865         208,753   
  

 

 

    

 

 

 

Total liabilities

     83,865         8,770,948   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     140,018,132         270,398,554   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 140,101,997       $ 279,169,502   
  

 

 

    

 

 

 

Shares outstanding

     6,724,812         9,474,812   
  

 

 

    

 

 

 

Net asset value per share

   $ 20.82       $ 28.54   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 20.78       $ 28.53   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

88


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(80% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.029% due 10/23/14

   $ 2,720,000       $ 2,719,967   

0.042% due 11/06/14

     3,414,000         3,413,932   

0.031% due 11/13/14

     3,651,000         3,650,934   

0.006% due 11/20/14

     6,209,000         6,208,871   

0.013% due 11/28/14

     1,463,000         1,462,964   

0.029% due 12/04/14

     15,157,000         15,156,596   

0.012% due 12/11/14

     37,893,000         37,891,879   

0.026% due 12/18/14

     2,122,000         2,121,908   

0.033% due 01/08/15

     3,961,000         3,960,782   

0.011% due 01/29/15

     6,571,000         6,570,562   

0.006% due 02/19/15

     14,490,000         14,488,581   

0.016% due 03/05/15

     14,556,000         14,554,120   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $112,202,851)

      $ 112,201,096   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures – CBOE, expires October 2014

     5,102       $ 83,162,600       $ 9,043,812   

VIX Futures – CBOE, expires November 2014

     3,402         56,643,300         3,388,204   
        

 

 

 
         $ 12,432,016   
        

 

 

 

 

†† Cash collateral in the amount of $22,960,500 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 6,363      $ 10,711      $ 40,577      $ 54,250   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     235,234        365,398        849,283        1,171,508   

Brokerage commissions

     24,499        —          24,499        —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     259,733        365,398        873,782        1,171,508   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (253,370     (354,687     (833,205     (1,117,258
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (2,990,117     (58,627,489     (28,437,457     (102,880,094

Short-term U.S. government and agency obligations

     2,249        5,723        13,481        8,753   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (2,987,868     (58,621,766     (28,423,976     (102,871,341
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     19,045,502        1,983,669        29,084,702        3,441,625   

Short-term U.S. government and agency obligations

     (2,706     7,646        (9,819     (1,732
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     19,042,796        1,991,315        29,074,883        3,439,893   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     16,054,928        (56,630,451     650,907        (99,431,448
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 15,801,558      $ (56,985,138   $ (182,298   $ (100,548,706
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share

   $ 2.77      $ (14.03   $ (0.03   $ (27.74
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding

     5,708,779        4,060,410        5,489,922        3,624,196   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 270,398,554   

Addition of 7,350,000 shares

     165,825,697   

Redemption of 10,100,000 shares

     (296,023,821
  

 

 

 

Net addition (redemption) of (2,750,000) shares

     (130,198,124
  

 

 

 

Net investment income (loss)

     (833,205

Net realized gain (loss)

     (28,423,976

Change in net unrealized appreciation/depreciation

     29,074,883   
  

 

 

 

Net income (loss)

     (182,298
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 140,018,132   
  

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (182,298   $ (100,548,706

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

    

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

     41,059,850        4,750,998   

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

     95,425,468        13,834,840   

Change in unrealized appreciation/depreciation on investments

     9,819        1,732   

Decrease (Increase) in receivable on futures contracts

     2,650,305        (7,590,541

Increase (Decrease) in management fee payable

     (124,888     12,187   

Increase (Decrease) in payable on futures contracts

     —          (31,540,181
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     138,838,256        (121,079,671
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     163,742,094        423,439,517   

Payment on shares redeemed

     (304,586,016     (302,978,467
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (140,843,922     120,461,050   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (2,005,666     (618,621

Cash, beginning of period

     4,333,752        2,989,958   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,328,086      $ 2,371,337   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 3,719,873       $ 1,906,397   

Segregated cash balances with brokers for futures contracts

     3,932,900         8,454,390   

Short-term U.S. government and agency obligations (Note 3) (cost $37,722,027 and $46,039,268, respectively)

     37,722,886         46,040,233   

Receivable on open futures contracts

     268,191         100,734   
  

 

 

    

 

 

 

Total assets

     45,643,850         56,501,754   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           5,321,983   

Management fee payable

     30,064         45,448   
  

 

 

    

 

 

 

Total liabilities

     30,064         5,367,431   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     45,613,786         51,134,323   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 45,643,850       $ 56,501,754   
  

 

 

    

 

 

 

Shares outstanding (Note 9)

     712,501         662,501   
  

 

 

    

 

 

 

Net asset value per share (Note 9)

   $ 64.02       $ 77.18   
  

 

 

    

 

 

 

Market value per share (Note 2) (Note 9)

   $ 63.88       $ 77.16   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

93


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(83% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.029% due 10/09/14

   $ 1,939,000       $ 1,938,993   

0.036% due 10/23/14

     2,232,000         2,231,973   

0.028% due 11/13/14

     2,721,000         2,720,951   

0.045% due 11/20/14

     1,882,000         1,881,961   

0.028% due 11/28/14

     699,000         698,983   

0.035% due 12/04/14

     18,780,000         18,779,499   

0.028% due 12/11/14

     5,607,000         5,606,834   

0.010% due 12/18/14

     1,825,000         1,824,921   

0.002% due 02/19/15

     1,092,000         1,091,893   

0.037% due 03/05/15

     947,000         946,878   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $37,722,027)

      $ 37,722,886   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures – CBOE, expires January 2015

     506       $ 8,829,700       $ 626,810   

VIX Futures – CBOE, expires February 2015

     844         15,107,600         640,270   

VIX Futures – CBOE, expires March 2015

     844         15,403,000         999,160   

VIX Futures – CBOE, expires April 2015

     338         6,286,800         235,500   
        

 

 

 
         $ 2,501,740   
        

 

 

 

 

†† Cash collateral in the amount of $3,932,900 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 3,406      $ 6,721      $ 13,659      $ 20,472   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     92,676        172,413        310,124        410,433   

Brokerage commissions

     2,966        —          2,966        —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     95,642        172,413        313,090        410,433   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (92,236     (165,692     (299,431     (389,961
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,036,079     (6,929,719     (16,100,400     (19,676,804

Short-term U.S. government and agency obligations

     55        1,962        1,772        3,272   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,036,024     (6,927,757     (16,098,628     (19,673,532
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     5,996,790        (6,313,054     7,398,429        739,790   

Short-term U.S. government and agency obligations

     655        3,772        (106     (1,300
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     5,997,445        (6,309,282     7,398,323        738,490   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     1,961,421        (13,237,039     (8,700,305     (18,935,042
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 1,869,185      $ (13,402,731   $ (8,999,736   $ (19,325,003
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss) per weighted-average share (Note 9)

   $ 2.62      $ (16.04   $ (12.71   $ (30.58
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 9)

     712,365        835,531        708,312        631,892   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 51,134,323   

Addition of 581,250 shares (Note 9)

     40,985,669   

Redemption of 531,250 shares (Note 9)

     (37,506,470
  

 

 

 

Net addition (redemption) of 50,000 shares (Note 9)

     3,479,199   
  

 

 

 

Net investment income (loss)

     (299,431

Net realized gain (loss)

     (16,098,628

Change in net unrealized appreciation/depreciation

     7,398,323   
  

 

 

 

Net income (loss)

     (8,999,736
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 45,613,786   
  

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (8,999,736   $ (19,325,003

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

    

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

     4,521,490        (6,282,900

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

     8,317,241        2,148,865   

Change in unrealized appreciation/depreciation on investments

     106        1,300   

Decrease (Increase) in receivable on futures contracts

     (167,457     (1,619,391

Increase (Decrease) in management fee payable

     (15,384     6,745   

Increase (Decrease) in payable on futures contracts

     —          (1,890,675
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     3,656,260        (26,961,059
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     40,985,669        131,215,643   

Payment on shares redeemed

     (42,828,453     (104,691,318
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,842,784     26,524,325   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,813,476        (436,734

Cash, beginning of period

     1,906,397        2,063,715   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,719,873      $ 1,626,981   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 4,383,711       $ 2,240,977   

Segregated cash balances with brokers for futures contracts

     84,721,500         107,101,750   

Short-term U.S. government and agency obligations (Note 3) (cost $214,972,937 and $109,530,861, respectively)

     214,965,711         109,533,487   

Receivable from capital shares sold

     —           10,903,664   

Receivable on open futures contracts

     11,373,242         —     
  

 

 

    

 

 

 

Total assets

     315,444,164         229,779,878   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     57,110,006         —     

Payable on open futures contracts

     —           3,356,803   

Management fee payable

     256,981         189,491   
  

 

 

    

 

 

 

Total liabilities

     57,366,987         3,546,294   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     258,077,177         226,233,584   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 315,444,164       $ 229,779,878   
  

 

 

    

 

 

 

Shares outstanding

     8,670,099         3,372,389   
  

 

 

    

 

 

 

Net asset value per share

   $ 29.77       $ 67.08   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 29.63       $ 67.12   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

98


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(83% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.014% due 10/23/14

   $ 35,153,000       $ 35,152,570   

0.048% due 11/06/14

     1,023,000         1,022,980   

0.020% due 11/13/14

     10,238,000         10,237,817   

0.019% due 11/20/14

     13,861,000         13,860,711   

0.035% due 11/28/14

     3,630,000         3,629,912   

0.027% due 12/18/14

     5,169,000         5,168,776   

0.033% due 01/08/15

     2,925,000         2,924,839   

0.014% due 01/29/15

     45,436,000         45,432,971   

0.011% due 02/19/15

     55,510,000         55,504,565   

0.010% due 03/05/15

     42,036,000         42,030,570   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $214,972,937)

      $ 214,965,711   
     

 

 

 

 

Futures Contracts Purchased††         

 

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

VIX Futures – CBOE, expires October 2014

     18,828       $ 306,896,400       $ 33,327,630   

VIX Futures – CBOE, expires November 2014

     12,550         208,957,500         15,324,457   
        

 

 

 
         $ 48,652,087   
        

 

 

 

 

†† Cash collateral in the amount of $84,721,500 was pledged to cover margin requirements for open futures contracts as September 30, 2014.

See accompanying notes to financial statements.

 

99


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 13,610      $ 10,797      $ 55,542      $ 46,863   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     689,515        667,541        2,064,694        1,944,995   

Brokerage commissions

     632,234        602,808        1,802,162        1,824,624   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,321,749        1,270,349        3,866,856        3,769,619   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,308,139     (1,259,552     (3,811,314     (3,722,756
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,719,200     (197,375,157     (255,442,487     (297,848,329

Swap agreements

     —          —          —          (4,453,107

Short-term U.S. government and agency obligations

     9,696        13,868        23,760        34,128   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,709,504     (197,361,289     (255,418,727     (302,267,308
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     89,185,433        9,751,723        72,661,998        10,935,632   

Swap agreements

     —          —          —          (301,351

Short-term U.S. government and agency obligations

     (5,896     5,260        (9,852     5,675   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     89,179,537        9,756,983        72,652,146        10,639,956   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     84,470,033        (187,604,306     (182,766,581     (291,627,352
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 83,161,894      $ (188,863,858   $ (186,577,895   $ (295,350,108
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 7.47      $ (106.49   $ (24.47   $ (249.07
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     11,128,251        1,773,612        7,625,612        1,185,829   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

100


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 226,233,584   

Addition of 26,025,000 shares

     1,037,824,039   

Redemption of 20,727,290 shares

     (819,402,551
  

 

 

 

Net addition (redemption) of 5,297,710 shares

     218,421,488   
  

 

 

 

Net investment income (loss)

     (3,811,314

Net realized gain (loss)

     (255,418,727

Change in net unrealized appreciation/depreciation

     72,652,146   
  

 

 

 

Net income (loss)

     (186,577,895
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 258,077,177   
  

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (186,577,895   $ (295,350,108

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

     22,380,250        (62,030,793

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

     (105,442,076     (100,070,302

Change in unrealized appreciation/depreciation on investments

     9,852        295,676   

Decrease (Increase) in receivable on futures contracts

     (11,373,242     (30,450,046

Increase (Decrease) in management fee payable

     67,490        113,764   

Increase (Decrease) in payable on futures contracts

     (3,356,803     (35,666,735
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (284,292,424     (523,158,544
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,048,727,703        1,623,405,802   

Payment on shares redeemed

     (762,292,545     (1,099,025,266
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     286,435,158        524,380,536   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,142,734        1,221,992   

Cash, beginning of period

     2,240,977        1,790,825   
  

 

 

   

 

 

 

Cash, end of period

   $ 4,383,711      $ 3,012,817   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 4,637,566       $ 2,153,370   

Segregated cash balances with brokers for futures contracts

     51,099,750         33,552,650   

Short-term U.S. government and agency obligations (Note 3) (cost $227,185,312 and $105,554,675, respectively)

     227,183,170         105,559,022   

Receivable from capital shares sold

     33,676,473         —     

Receivable on open futures contracts

     —           603,833   
  

 

 

    

 

 

 

Total assets

     316,596,959         141,868,875   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     5,914,427         —     

Management fee payable

     203,759         117,673   
  

 

 

    

 

 

 

Total liabilities

     6,118,186         117,673   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     310,478,773         141,751,202   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 316,596,959       $ 141,868,875   
  

 

 

    

 

 

 

Shares outstanding

     4,150,040         2,100,040   
  

 

 

    

 

 

 

Net asset value per share

   $ 74.81       $ 67.50   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 74.94       $ 67.47   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

103


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

     

(73% of shareholders’ equity)

     

U.S. Treasury Bills:

     

0.026% due 10/23/14

   $ 5,327,000       $ 5,326,935   

0.025% due 11/06/14

     48,777,000         48,776,024   

0.026% due 11/13/14

     14,822,000         14,821,734   

0.045% due 11/20/14

     2,661,000         2,660,945   

0.020% due 11/28/14

     6,540,000         6,539,842   

0.024% due 12/04/14

     25,218,000         25,217,327   

0.030% due 12/11/14

     14,951,000         14,950,558   

0.012% due 12/18/14

     20,174,000         20,173,126   

0.040% due 01/08/15

     1,850,000         1,849,898   

0.010% due 01/29/15

     9,455,000         9,454,370   

0.017% due 02/19/15

     13,159,000         13,157,712   

0.020% due 03/05/15

     64,263,000         64,254,699   
     

 

 

 

Total short-term U.S. government and agency obligations (cost $227,185,312)

      $ 227,183,170   
     

 

 

 

Futures Contracts Sold††

 

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

VIX Futures – CBOE, expires October 2014

     11,352       $ 185,037,600       $ (18,147,969

VIX Futures – CBOE, expires November 2014

     7,575         126,123,750         (6,900,477
        

 

 

 
         $ (25,048,446
        

 

 

 

 

†† Cash collateral in the amount of $51,099,750 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

 

104


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 16,267      $ 6,018      $ 60,496      $ 22,651   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     620,236        212,926        1,610,858        535,989   

Brokerage commissions

     385,191        132,363        949,948        335,552   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,005,427        345,289        2,560,806        871,541   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (989,160     (339,271     (2,500,310     (848,890
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     18,146,923        37,631,293        94,414,974        58,706,439   

Short-term U.S. government and agency obligations

     7,571        4,416        17,530        6,470   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     18,154,494        37,635,709        94,432,504        58,712,909   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (33,969,073     (2,816,258     (33,165,401     (2,062,754

Short-term U.S. government and agency obligations

     (2,468     3,113        (6,489     (807
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (33,971,541     (2,813,145     (33,171,890     (2,063,561
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (15,817,047     34,822,564        61,260,614        56,649,348   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (16,806,207   $ 34,483,293      $ 58,760,304      $ 55,800,458   
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ (5.40   $ 19.40      $ 18.53      $ 33.40   
  

 

 

   

 

 

   

 

 

   

 

 

 

Weighted-average shares outstanding (Note 1)

     3,109,823        1,777,214        3,171,835        1,670,736   
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

105


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 141,751,202   

Addition of 8,400,000 shares

     595,573,367   

Redemption of 6,350,000 shares

     (485,606,100
  

 

 

 

Net addition (redemption) of 2,050,000 shares

     109,967,267   
  

 

 

 

Net investment income (loss)

     (2,500,310

Net realized gain (loss)

     94,432,504   

Change in net unrealized appreciation/depreciation

     (33,171,890
  

 

 

 

Net income (loss)

     58,760,304   
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 310,478,773   
  

 

 

 

See accompanying notes to financial statements.

 

106


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ 58,760,304      $ 55,800,458   

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

    

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

     (17,547,100     4,007,197   

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

     (121,630,637     (8,621,966

Change in unrealized appreciation/depreciation on investments

     6,489        807   

Decrease (Increase) in receivable on futures contracts

     603,833        5,524,721   

Increase (Decrease) in management fee payable

     86,086        20,936   

Increase (Decrease) in payable on futures contracts

     5,914,427        5,707,549   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (73,806,598     62,439,702   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     561,896,894        394,666,787   

Payment on shares redeemed

     (485,606,100     (459,088,575
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     76,290,794        (64,421,788
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,484,196        (1,982,086

Cash, beginning of period

     2,153,370        2,236,726   
  

 

 

   

 

 

 

Cash, end of period

   $ 4,637,566      $ 254,640   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

107


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2014
(unaudited)
     December 31, 2013  

Assets

     

Cash

   $ 29,779,660       $ 23,390,732   

Segregated cash balances with brokers for futures contracts

     187,160,599         235,046,530   

Short-term U.S. government and agency obligations (Note 3) (cost $2,603,056,246 and $2,846,340,077, respectively)

     2,603,063,212         2,846,465,825   

Unrealized appreciation on swap agreements

     1,688,331         1,972,971   

Unrealized appreciation on forward agreements

     17,954,975         5,633,053   

Unrealized appreciation on foreign currency forward contracts

     74,969,834         31,593,879   

Receivable from capital shares sold

     47,122,485         10,903,664   

Receivable on open futures contracts

     17,866,515         6,930,575   

Offering costs (Note 5)

     65,785         —     
  

 

 

    

 

 

 

Total assets

     2,979,671,396         3,161,937,229   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     69,429,438         37,227,491   

Payable on open futures contracts

     12,658,034         10,071,461   

Management fee payable

     2,191,447         2,522,868   

Unrealized depreciation on swap agreements

     1,506,026         2,360,565   

Unrealized depreciation on forward agreements

     99,718,386         11,533,711   

Unrealized depreciation on foreign currency forward contracts

     2,853,803         16,014,049   

Payable for offering costs

     65,785         —     
  

 

 

    

 

 

 

Total liabilities

     188,422,919         79,730,145   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     2,791,248,477         3,082,207,084   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 2,979,671,396       $ 3,161,937,229   
  

 

 

    

 

 

 

Shares outstanding

     77,632,845         77,438,599   
  

 

 

    

 

 

 

See accompanying notes to financial statements.

 

108


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Three months
ended
September 30,
2014
    Three months
ended
September 30,
2013
    Nine months
ended
September 30,
2014
    Nine months
ended
September 30,
2013
 

Investment Income

        

Interest

   $ 223,800      $ 264,227      $ 954,921      $ 1,263,706   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     6,638,426        7,808,826        20,189,853        23,331,899   

Brokerage commissions

     1,103,591        809,686        2,991,388        2,386,718   

Offering costs

     —          5,852        —          141,251   

Limitation by Sponsor

     —          (1,572     —          (57,127

Reduction in Limitation by Sponsor

     —          6,817        —          —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     7,742,017        8,629,609        23,181,241        25,802,741   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (7,518,217     (8,365,382     (22,226,320     (24,539,035
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     26,285,740        (246,978,128     (191,301,679     (329,688,064

Swap agreements

     14,171,355        (22,391,664     11,100,356        14,724,162   

Forward agreements

     5,364,040        34,513,980        (33,412,320     (507,647,265

Foreign currency forward contracts

     47,567,904        (14,298,434     41,461,914        117,926,595   

Short-term U.S. government and agency obligations

     36,987        53,877        125,433        148,022   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     93,426,026        (249,100,369     (172,026,296     (704,536,550
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     88,565,200        14,899,913        83,333,081        7,969,862   

Swap agreements

     12,217,102        19,908,518        569,899        (4,214,201

Forward agreements

     (160,746,816     56,912,643        (75,862,753     57,943,478   

Foreign currency forward contracts

     87,267,536        (38,777,312     56,536,201        (62,745,107

Short-term U.S. government and agency obligations

     (11,313     67,477        (118,782     (90,537
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     27,291,709        53,011,239        64,457,646        (1,136,505
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     120,717,735        (196,089,130     (107,568,650     (705,673,055
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 113,199,518      $ (204,454,512   $ (129,794,970   $ (730,212,090
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to financial statements.

 

109


Table of Contents

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)

 

Shareholders’ equity, at December 31, 2013

   $ 3,082,207,084   

Addition of 79,843,760 shares (Note 9)

     3,153,708,701   

Redemption of 79,649,514 shares (Note 9)

     (3,314,872,338
  

 

 

 

Net addition (redemption) of 194,246 shares (Note 9)

     (161,163,637
  

 

 

 

Net investment income (loss)

     (22,226,320

Net realized gain (loss)

     (172,026,296

Change in net unrealized appreciation/depreciation

     64,457,646   
  

 

 

 

Net income (loss)

     (129,794,970
  

 

 

 

Shareholders’ equity, at September 30, 2014

   $ 2,791,248,477   
  

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

     Nine months ended
September 30, 2014
    Nine months ended
September 30, 2013
 

Cash flow from operating activities

    

Net income (loss)

   $ (129,794,970   $ (730,212,090

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

     47,885,931        (56,966,986

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

     243,283,831        153,464,071   

Change in unrealized appreciation/depreciation on investments

     18,875,435        9,106,367   

Decrease (Increase) in receivable on futures contracts

     (10,935,940     (32,201,116

Decrease (Increase) in receivable from Sponsor

     —          5,373   

Change in offering cost

     (65,785     64,027   

Increase (Decrease) in management fee payable

     (331,421     (125,995

Increase (Decrease) in payable on futures contracts

     2,586,573        (66,462,723

Increase (Decrease) in payable for offering costs

     65,785        (123,000
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     171,569,439        (723,452,072
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,117,489,880        4,840,185,597   

Payment on shares redeemed

     (3,282,670,391     (4,116,802,198
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (165,180,511     723,383,399   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     6,388,928        (68,673

Cash, beginning of period

     23,390,732        19,959,356   
  

 

 

   

 

 

 

Cash, end of period

   $ 29,779,660      $ 19,890,683   
  

 

 

   

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2014

(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, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). 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 Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX 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 registered shares for one additional series: ProShares Managed Futures Strategy (the “Managed Futures Fund”). As of September 30, 2014, the Managed Futures Fund had seed capital, but had not commenced investment operations; therefore, these Financial Statements do not include the Schedule of Investments, Statement of Operations, Statement of Changes in Shareholders’ Equity or Statement of Cash Flows for the Managed Futures Fund.

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

 

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Effective as of July 1, 2014, the official name for the Dow-Jones Commodity Index and its sub-indexes (Dow-Jones Commodity SubindexSM, Dow Jones-UBS WTI Crude Oil SubindexSM, and Dow-Jones Natural Gas SubindexSM) changed to the Bloomberg Commodity Index, Bloomberg Commodity SubindexSM, Bloomberg WTI Crude Oil SubindexSM, and Bloomberg Natural Gas SubindexSM, respectively. The changes were made to reflect the transfer of several Dow Jones-UBS indexes to Bloomberg L.P. The methodology for the underlying index of each Commodity Index Fund will remain the same in all material respects. As a result, the fund name, underlying index name and ticker symbol changed for each of the Commodity Index Funds and are reflected in the financial statements and footnotes. The new name, underlying index name and ticker symbol for each of the Commodity Index Funds are as follows:

 

Prior Fund Name   New Fund Name  

Prior Underlying Index

Name and Ticker

Symbol

 

New Underlying Index

Name and Ticker

Symbol

ProShares UltraShort DJ-UBS Commodity   ProShares UltraShort Bloomberg Commodity  

Dow Jones – UBS Commodity

IndexSM – DJUBSTR

  Bloomberg Commodity IndexSM – BCOMTR
ProShares Ultra DJ-UBS Commodity   ProShares Ultra Bloomberg Commodity  

Dow Jones – UBS Commodity

IndexSM – DJUBSTR

  Bloomberg Commodity IndexSM – BCOMTR
ProShares UltraShort DJ-UBS Crude Oil   ProShares UltraShort Bloomberg Crude Oil   Dow Jones – UBS WTI Crude Oil SubindexSM – DJUBCLTR   Bloomberg WTI Crude Oil SubindexSM – BCOMCLTR
ProShares Ultra DJ-UBS Crude Oil   ProShares Ultra Bloomberg Crude Oil   Dow Jones – UBS WTI Crude Oil SubindexSM – DJUBCLTR   Bloomberg WTI Crude Oil SubindexSM – BCOMCLTR
ProShares UltraShort DJ-UBS Natural Gas   ProShares UltraShort Bloomberg Natural Gas  

Dow Jones – UBS Natural Gas

SubindexSM – DJUBNGTR

 

Bloomberg Natural Gas

SubindexSM – BCOMNGTR

ProShares Ultra DJ-UBS Natural Gas   ProShares Ultra Bloomberg Natural Gas  

Dow Jones – UBS Natural Gas

SubindexSM – DJUBNGTR

 

Bloomberg Natural Gas SubindexSM –

BCOMNGTR

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

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

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.

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

 

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Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the nine months ended September 30, 2014 and year ended December 31, 2013. 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   June 10, 2013   1-for-4 reverse Share split   June 10, 2013
ProShares Ultra Silver   January 21, 2014   1-for-4 reverse Share split   January 24, 2014
ProShares VIX Short-Term Futures ETF   June 10, 2013   1-for-5 reverse Share split   June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF   June 10, 2013   1-for-10 reverse Share split   June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF   January 21, 2014   1-for-4 reverse Share split   January 24, 2014
ProShares Short VIX Short-Term Futures ETF   January 21, 2014   2-for-1 Share split   January 24, 2014

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

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

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013, as filed with the SEC on March 3, 2014.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

 

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In June 2013, the FASB issued Accounting Standard Update No. 2013-08, “Financial Services – Investment Companies (“Topic 946”): Amendments to the Scope, Measurement and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company and for the measurement of non-controlling ownership interests in other investment companies. The Trust and each Fund meet the requirements to be classified as an investment company and follow the accounting and reporting guidance in FASB Topic 946.

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, 2014, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2014 were as follows. All times are Eastern Standard Time:

 

     NAV Calculation Time     NAV Calculation Date  

UltraShort Silver, Ultra Silver

     7:00 a.m.        September 30   

UltraShort Gold, Ultra Gold

     10:00 a.m.        September 30   

UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil

     2:30 p.m.        September 30   

UltraShort Bloomberg Natural Gas, Ultra Bloomberg Natural Gas

     2:30 p.m.        September 30   

UltraShort Bloomberg Commodity, Ultra Bloomberg Commodity

     2:30 p.m.     September 30   

UltraShort Australian Dollar, Ultra Australian Dollar

     4:00 p.m.        September 30   

Short Euro, UltraShort Euro, Ultra Euro

     4:00 p.m.        September 30   

UltraShort Yen, Ultra Yen

     4:00 p.m.        September 30   

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

     4:15 p.m.        September 30   

VIX Mid-Term Futures ETF

     4:15 p.m.        September 30   

 

* On July 31, 2014, the NAV Calculation Time for ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity was changed from 3:00 p.m. to 2:30 p.m.

Although the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX 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, 2014.

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 Leveraged Funds, the Short Euro Fund, and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2014.

 

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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 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. 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 Leveraged Funds’, the Short Euro Fund’s and the VIX Funds’ policies are intended to result in a calculation of a Leveraged Fund’s, the Short Euro Fund’s or a VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, a Leveraged Fund, the Short Euro Fund or a VIX 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 a Leveraged Fund, the Short Euro Fund or a 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.

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.

 

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

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

The following table summarizes the valuation of investments at September 30, 2014 using the fair value hierarchy:

 

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

UltraShort Bloomberg Commodity

   $ 3,221,933       $ —        $ —        $ —        $ 351,391      $ 3,573,324   

UltraShort Bloomberg Crude Oil

     182,780,326         6,498,525        —          —          1,336,940        190,615,791   

UltraShort Bloomberg Natural Gas

     16,113,481         (1,869,686     —          —          —          14,243,795   

UltraShort Gold

     76,390,633         19,400        5,603,080        —          —          82,013,113   

UltraShort Silver

     47,309,314         14,690        12,351,895        —          —          59,675,899   

Short Euro

     15,108,184         430,669        —          —          —          15,538,853   

UltraShort Australian Dollar

     17,488,683         1,886,600        —          —          —          19,375,283   

UltraShort Euro

     441,230,341         —          —          37,323,059        —          478,553,400   

UltraShort Yen

     388,927,061         —          —          35,131,253        —          424,058,314   

Ultra Bloomberg Commodity

     3,629,825         —          —          —          (330,554     3,299,271   

Ultra Bloomberg Crude Oil

     183,290,203         (6,067,155     —          —          (1,175,472     176,047,576   

Ultra Bloomberg Natural Gas

     59,025,434         4,355,964        —          —          —          63,381,398   

Ultra Gold

     121,093,621         (19,400     (8,125,619     —          —          112,948,602   

Ultra Silver

     448,624,453         (29,380     (91,592,767     —          —          357,002,306   

Ultra Australian Dollar

     2,833,943         (321,111     —          —          —          2,512,832   

Ultra Euro

     2,189,947         —          —          (181,861     —          2,008,086   

Ultra Yen

     1,732,967         —          —          (156,420     —          1,576,547   

VIX Short-Term Futures ETF

     112,201,096         12,432,016        —          —          —          124,633,112   

VIX Mid-Term Futures ETF

     37,722,886         2,501,740        —          —          —          40,224,626   

Ultra VIX Short-Term Futures ETF

     214,965,711         48,652,087        —          —          —          263,617,798   

Short VIX Short-Term Futures ETF

     227,183,170         (25,048,446     —          —          —          202,134,724   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 2,603,063,212       $ 43,436,513      $ (81,763,411   $ 72,116,031      $ 182,305      $ 2,637,034,650   

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule 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, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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, 2013 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  

UltraShort Bloomberg Commodity

   $ 3,453,890       $ —        $ —        $ —        $ (27,665   $ 3,426,225   

UltraShort Bloomberg Crude Oil

     247,584,623         (1,232,773     —          —          (2,332,900     244,018,950   

UltraShort Bloomberg Natural Gas

     18,274,713         1,042,300        —          —          —          19,317,013   

UltraShort Gold

     148,988,329         14,520        5,633,053        —          —          154,635,902   

UltraShort Silver

     114,826,066         14,200        (2,227,857     —          —          112,612,409   

Short Euro

     7,902,056         (33,231     —          —          —          7,868,825   

UltraShort Australian Dollar

     24,198,507         917,605        —          —          —          25,116,112   

UltraShort Euro

     437,847,159         —          —          (13,748,507     —          424,098,652   

UltraShort Yen

     558,597,264         —          —          29,386,684        —          587,983,948   

Ultra Bloomberg Commodity

     2,816,688         —          —          —          15,078        2,831,766   

Ultra Bloomberg Crude Oil

     137,435,610         626,661        —          —          1,957,893        140,020,164   

Ultra Bloomberg Natural Gas

     58,921,011         (3,656,539     —          —          —          55,264,472   

Ultra Gold

     140,880,950         (14,560     (6,812,974     —          —          134,053,416   

Ultra Silver

     467,868,976         (14,200     (2,492,880     —          —          465,361,896   

Ultra Australian Dollar

     2,716,439         (118,220     —          —          —          2,598,219   

Ultra Euro

     2,455,863         —          —          100,962        —          2,556,825   

Ultra Yen

     2,928,556         —          —          (159,309     —          2,769,247   

VIX Short-Term Futures ETF

     207,636,383         (16,652,686     —          —          —          190,983,697   

VIX Mid-Term Futures ETF

     46,040,233         (4,896,689     —          —          —          41,143,544   

Ultra VIX Short-Term Futures ETF

     109,533,487         (24,009,911     —          —          —          85,523,576   

Short VIX Short-Term Futures ETF

     105,559,022         8,116,955        —          —          —          113,675,977   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 2,846,465,825       $ (39,896,568   $ (5,900,658   $ 15,579,830      $ (387,594   $ 2,815,860,835   

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2013. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures.

At December 31, 2013, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

Each Fund pays or will pay 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

 

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of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). For the three and nine months periods ended September 30, 2013 and the period from January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept)

 

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the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

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

Futures contracts involve, to varying degrees, elements of market risk 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 and forward transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

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

 

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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, 2014 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2014, 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.

 

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

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

 

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Fair Value of Derivative Instruments

as of September 30, 2014

 

Asset Derivatives

   

Liability Derivatives

 

Derivatives not

accounted for

as hedging

instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Depreciation
 

Commodities Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

   $ 351,391     

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

  

ProShares UltraShort Bloomberg Natural Gas

   $ 1,869,686
     

ProShares UltraShort Bloomberg Crude Oil

     7,835,465     

ProShares Ultra

    Bloomberg Commodity

     330,554   
     

ProShares UltraShort Gold

     5,622,480     

ProShares Ultra Bloomberg Crude Oil

     7,242,627
     

ProShares UltraShort Silver

     12,366,585     

ProShares Ultra Gold

    

 

8,145,019

 

 

     

ProShares Ultra Bloomberg Natural Gas

     4,355,964     

ProShares Ultra Silver

    

 

91,622,147

 

 

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

    

 

430,669

 

 

 

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

  

ProShares UltraShort Euro

     1,779,484   
     

ProShares UltraShort Australian Dollar

     1,886,600     

ProShares UltraShort Yen

     729,246  
     

ProShares UltraShort Euro

     39,102,543       

ProShares Ultra Australian Dollar

     321,111
     

ProShares UltraShort Yen

     35,860,499       

ProShares Ultra Euro

     185,378   
     

ProShares Ultra Euro

     3,517       

ProShares Ultra Yen

     159,695  
     

ProShares Ultra Yen

     3,275           

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares VIX Short-Term Futures
ETF

     12,432,016  

Payable on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

     25,048,446
     

ProShares VIX Mid-Term Futures ETF

     2,501,740        
     

ProShares Ultra VIX Short-Term Futures ETF

     48,652,087        
        

 

 

         

 

 

 
     

Total Trust

   $ 171,404,831      Total Trust    $ 137,433,393

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule 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, 2013

 

Asset Derivatives

   

Liability Derivatives

 

Derivatives not

accounted for

as hedging

instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Depreciation
 

Commodities Contracts

  

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

  

ProShares UltraShort Bloomberg Natural Gas

   $ 1,042,300  

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

  

ProShares UltraShort Bloomberg Commodity

   $ 27,665  
     

ProShares UltraShort Gold

    

 

5,647,573

 

 

    

ProShares UltraShort Bloomberg Crude Oil

     3,565,673
     

ProShares UltraShort Silver

     14,200     

ProShares UltraShort Silver

     2,227,857  
     

ProShares Ultra Bloomberg Commodity

     15,078       

ProShares Ultra Bloomberg Natural Gas

     3,656,539
     

ProShares Ultra Bloomberg Crude Oil

     2,584,554     

ProShares Ultra Gold

    

 

6,827,534

 

 

             

ProShares Ultra Silver

     2,507,080

Foreign Exchange Contracts

  

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

  

ProShares UltraShort Australian Dollar

     917,605  

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

  

ProShares Short Euro

    

 

 

33,231

 

 

 

 

     

ProShares UltraShort Euro

     151,351       

ProShares UltraShort Euro

     13,899,858  
     

ProShares UltraShort Yen

     31,317,568       

ProShares UltraShort Yen

     1,930,884  
     

ProShares Ultra Euro

  

 

 

 

120,908

 

 

    

ProShares Ultra Australian Dollar

     118,220
     

ProShares Ultra Yen

     4,052       

ProShares Ultra Euro

     19,946  
             

ProShares Ultra Yen

     163,361  

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

    

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

     16,652,686
           8,116,955     

ProShares VIX Mid-Term Futures ETF

     4,896,689
             

ProShares Ultra VIX Short-Term Futures ETF

     24,009,911
        

 

 

         

 

 

 
     

Total Trust

   $ 49,932,144     

Total Trust

   $ 80,537,134 

 

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2013. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures contracts.

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2014

 

Derivatives not

accounted for as

hedging instruments

  

Location of Gain or

(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

   $ 502,112      $ 401,110   
     

ProShares UltraShort Bloomberg Crude Oil

     42,549,744       29,109,258   
     

ProShares UltraShort Bloomberg Natural Gas

     13,918,036       (4,337,530
     

ProShares UltraShort Gold

     (4,376,264 )     16,210,828   
     

ProShares UltraShort Silver

     (1,123,414 )     22,946,708   
     

ProShares Ultra Bloomberg Commodity

     (651,785 )     (339,598
     

ProShares Ultra Bloomberg Crude Oil

     (16,410,261 )     (12,476,761
     

ProShares Ultra Bloomberg Natural Gas

     (7,087,097 )     5,766,729   
     

ProShares Ultra Gold

     1,375,191       (21,377,754
     

ProShares Ultra Silver

     9,486,957       (178,532,813

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     767,314        541,828   
     

ProShares UltraShort Australian Dollar

     549,795       2,249,440   
     

ProShares UltraShort Euro

     32,039,809       42,910,400   
     

ProShares UltraShort Yen

     15,787,084       44,778,863   
     

ProShares Ultra Australian Dollar

     (80,720 )     (384,611
     

ProShares Ultra Euro

     (172,537 )     (212,588
     

ProShares Ultra Yen

     (86,452 )     (209,139

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

     (2,990,117 )     19,045,502   
     

ProShares VIX Mid-Term Futures ETF

     (4,036,079 )     5,996,790   
     

ProShares Ultra VIX Short-Term Futures ETF

     (4,719,200 )     89,185,433   
     

ProShares Short VIX Short-Term Futures ETF

     18,146,923        (33,969,073
        

 

 

   

 

 

 
     

Total Trust

   $ 93,389,039     $ 27,303,022   

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2013

 

Derivatives not

accounted for as

hedging instruments

  

Location of Gain or

(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

   $ 13,664     $ (212,120 )
     

ProShares UltraShort Bloomberg Crude Oil

     (86,184,111 )     44,663,321  
     

ProShares UltraShort Bloomberg Natural Gas

     2,862,705       (1,862,190 )
     

ProShares UltraShort Gold

     6,021,147       (44,053,880 )
     

ProShares UltraShort Silver

     6,003,481       (32,088,651 )
     

ProShares Ultra Bloomberg Commodity

     (85,078 )     233,903  
     

ProShares Ultra Bloomberg Crude Oil

     53,589,084       (18,204,607 )
     

ProShares Ultra Bloomberg Natural Gas

     (14,491,916 )     9,380,633  
     

ProShares Ultra Gold

     (5,910,890 )     36,566,124  
     

ProShares Ultra Silver

     28,400,072       96,489,190  

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     (39,024 )     (208,707 )
     

ProShares UltraShort Australian Dollar

     389,254       (1,865,253 )
     

ProShares UltraShort Euro

     (8,625,860 )     (30,678,790 )
     

ProShares UltraShort Yen

     (5,693,424 )     (8,391,457 )
     

ProShares Ultra Australian Dollar

     (123,128 )     277,231  
     

ProShares Ultra Euro

     41,105       227,504  
     

ProShares Ultra Yen

     (20,255 )     65,431  

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

     (58,627,489 )     1,983,669  
     

ProShares VIX Mid-Term Futures ETF

     (6,929,719 )     (6,313,054 )
     

ProShares Ultra VIX Short-Term Futures ETF

     (197,375,157 )     9,751,723  
     

ProShares Short VIX Short-Term Futures ETF

     37,631,293       (2,816,258 )
        

 

 

   

 

 

 
     

Total Trust

   $ (249,154,246 )   $ 52,943,762  

 

126


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2014

 

Derivatives not

accounted for as

hedging instruments

  

Location of Gain or

(Loss) on Derivatives

Recognized in Income

  

Fund

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

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

   $ (3,522   $ 379,056   
     

ProShares UltraShort Bloomberg Crude Oil

     (1,295,265 )     11,401,138   
     

ProShares UltraShort Bloomberg Natural Gas

     2,732,493       (2,911,986
     

ProShares UltraShort Gold

     (12,650,556 )     (25,093
     

ProShares UltraShort Silver

     (1,282,703 )     14,580,242   
     

ProShares Ultra Bloomberg Commodity

     (274,839 )     (345,632
     

ProShares Ultra Bloomberg Crude Oil

     14,597,508       (9,827,181
     

ProShares Ultra Bloomberg Natural Gas

     9,878,729       8,012,503   
     

ProShares Ultra Gold

     3,319,675       (1,317,485
     

ProShares Ultra Silver

     (22,797,421 )     (89,115,067

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     925,848       463,900   
     

ProShares UltraShort Australian Dollar

     (1,375,743 )     968,995   
     

ProShares UltraShort Euro

     25,744,724       51,071,566   
     

ProShares UltraShort Yen

     15,952,890       5,744,569   
     

ProShares Ultra Australian Dollar

     177,523       (202,891
     

ProShares Ultra Euro

     (127,652 )     (282,823
     

ProShares Ultra Yen

     (108,048 )     2,889   

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

     (28,437,457 )     29,084,702   
     

ProShares VIX Mid-Term Futures ETF

     (16,100,400 )     7,398,429   
     

ProShares Ultra VIX Short-Term Futures ETF

     (255,442,487 )     72,661,998   
     

ProShares Short VIX Short-Term Futures ETF

     94,414,974        (33,165,401
        

 

 

   

 

 

 
     

Total Trust

   $ (172,151,729   $ 64,576,428   

 

127


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2013

 

Derivatives not

accounted for as

hedging instruments

  

Location of Gain or
(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

   $ 472,331     $ 51,626  
     

ProShares UltraShort Bloomberg Crude Oil

     (91,283,615 )     53,041,584  
     

ProShares UltraShort Bloomberg Natural Gas

     254,565       58,149  
     

ProShares UltraShort Gold

     39,762,664       4,027,954  
     

ProShares UltraShort Silver

     86,823,320       (10,266,771 )
     

ProShares Ultra Bloomberg Commodity

     (868,053 )     68,896  
     

ProShares Ultra Bloomberg Crude Oil

     140,887,078       (68,999,815 )
     

ProShares Ultra Bloomberg Natural Gas

     410,025       7,251,345  
     

ProShares Ultra Gold

     (124,334,744 )     (1,513,242 )
     

ProShares Ultra Silver

     (509,899,199     65,695,557  

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     (114,962 )     (86,038 )
     

ProShares UltraShort Australian Dollar

     2,294,351       (552,202 )
     

ProShares UltraShort Euro

     (19,722,590 )     (12,784,494 )
     

ProShares UltraShort Yen

     139,331,278       (50,633,718 )
     

ProShares Ultra Australian Dollar

     (863,033 )     169,154  
     

ProShares Ultra Euro

     12,734       103,314  
     

ProShares Ultra Yen

     (1,694,827 )     569,791  

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

     (102,880,094 )     3,441,625  
     

ProShares VIX Mid-Term Futures ETF

     (19,676,804 )     739,790  
     

ProShares Ultra VIX Short-Term Futures ETF

     (302,301,436 )     10,634,281  
     

ProShares Short VIX Short-Term Futures ETF

     58,706,439       (2,062,754 )
        

 

 

   

 

 

 
     

Total Trust

   $ (704,684,572 )   $ (1,045,968

 

128


Table of Contents

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2014 and December 31, 2013:

 

                                                                                                                                                                       

Fair Values of Derivative Instruments as of September 30, 2014

 
     Assets      Liabilities  
     Gross
Amounts of
Recognized
Assets
presented in
the Statements

of Financial
Condition
     Gross
Amounts
Offset in the
Statements of
Financial
Condition
     Net Amounts
of

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

Liabilities
presented in
the Statements

of Financial
Condition
 

ProShares UltraShort Bloomberg Commodity

                 

Swap agreements

   $ 351,391       $ —         $ 351,391       $ —         $ —         $ —     

ProShares UltraShort Bloomberg Crude Oil

                 

Futures contracts*

     5,351,442         —           5,351,442         —           —           —     

Swap agreements

     1,336,940         —           1,336,940         —           —           —     

ProShares UltraShort Bloomberg Natural Gas

                 

Futures contracts*

     242,198         —           242,198         —           —           —     

ProShares UltraShort Gold

                 

Forward agreements

     5,603,080         —           5,603,080         —           —           —     

Futures contracts*

     760         —           760         —           —           —     

ProShares UltraShort Silver

                 

Forward agreements

     12,351,895         —           12,351,895         —           —           —     

Futures contracts*

     1,905         —           1,905         —           —           —     

ProShares Short Euro

                 

Futures contracts*

     86,385         —           86,385         —           —           —     

ProShares UltraShort Australian Dollar

                 

Futures contracts*

     —           —           —           83,164         —           83,164   

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     39,102,543         —           39,102,543         1,779,484         —           1,779,484   

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     35,860,499         —           35,860,499         729,246         —           729,246   

ProShares Ultra Bloomberg Commodity

                 

Swap agreements

     —           —           —           330,554         —           330,554   

ProShares Ultra Bloomberg Crude Oil

                 

Futures contracts*

     —           —           —           5,850,066         —           5,850,066   

Swap agreements

     —           —           —           1,175,472         —           1,175,472   

ProShares Ultra Bloomberg Natural Gas

                 

Futures contracts*

     —           —           —           803,837         —           803,837   

ProShares Ultra Gold

                 

Forward agreements

     —           —           —           8,125,619         —           8,125,619   

 

129


Table of Contents
                                                                                                                                                                       

Futures contracts*

     —           —           —           1,440         —           1,440   

ProShares Ultra Silver

                 

Forward agreements

     —           —           —           91,592,767         —           91,592,767   

Futures contracts*

     —           —           —           5,100         —           5,100   

ProShares Ultra Australian Dollar

                 

Futures contracts*

     13,680         —           13,680         —           —           —     

ProShares Ultra Euro

                 

Foreign currency forward contracts

     3,517         —           3,517         185,378         —           185,378   

ProShares Ultra Yen

                 

Foreign currency forward contracts

     3,275         —           3,275         159,695         —           159,695   

ProShares VIX Short-Term Futures ETF

                 

Futures contracts*

     528,712         —           528,712         —           —           —     

ProShares VIX Mid-Term Futures ETF

                 

Futures contracts*

     268,191         —           268,191         —           —           —     

ProShares Ultra VIX Short-Term Futures ETF

                 

Futures contracts*

     11,373,242         —           11,373,242         —           —           —     

ProShares Short VIX Short-Term Futures ETF

                 

Futures contracts*

     —           —           —           5,914,427         —           5,914,427   

 

* Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the un-collateralized 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 “Account for Derivative Instruments”.

 

                                                                                                                                                                                       

Gross Amounts Not Offset in the Statements of Financial Condition

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

ProShares UltraShort Bloomberg Commodity

         

Deutsche Bank AG

   $ 138,092       $ —        $ —        $ 138,092   

Goldman Sachs International

     151,279         —          —          151,279   

UBS AG

     62,020         —          —          62,020   

ProShares UltraShort Bloomberg Crude Oil

         

Deutsche Bank AG

     386,649         —          (150,000     236,649   

Goldman Sachs & Co.

     5,351,442         —          —          5,351,442   

Goldman Sachs International

     119,484         —          —          119,484   

Societe Generale S.A.

     263,194         (263,194     —          —     

UBS AG

     567,613         —          —          567,613   

ProShares UltraShort Bloomberg Natural Gas

         

Goldman Sachs & Co.

     242,198         —          —          242,198   

ProShares UltraShort Gold

         

Deutsche Bank AG

     2,934,951         —          (2,934,951     —     

Goldman Sachs & Co.

     760         —          —          760   

Goldman Sachs International

     1,104,499         (1,040,501     —          63,998   

Societe Generale S.A.

     566,668         (566,668     —       

UBS AG

     996,962         (955,201     —          41,761   

ProShares UltraShort Silver

         

Deutsche Bank AG

     6,311,898         —          (4,950,000     1,361,898   

 

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Table of Contents
                                                                                                                                                                                       

Goldman Sachs & Co.

     1,905        —          —           1,905   

Goldman Sachs International

     2,281,378        (1,823,180     —           458,198   

Societe Generale S.A.

     1,430,359        (1,430,359     —           —     

UBS AG

     2,328,260        (1,708,692     —           619,568   

ProShares Short Euro

         

RBC Capital Markets

     86,385        —          —           86,385   

ProShares UltraShort Australian Dollar

         

RBC Capital Markets

     (83,164     —          83,164         —     

ProShares UltraShort Euro

         

Goldman Sachs International

     17,950,679        (15,954,132     —           1,996,547   

UBS AG

     19,372,380        (17,710,695     —           1,661,685   

ProShares UltraShort Yen

         

Goldman Sachs International

     17,180,097        (16,269,531     —           910,566   

UBS AG

     17,951,156        (17,719,273     —           231,883   

ProShares Ultra Bloomberg Commodity

         

Deutsche Bank AG

     (135,580     135,580        —           —     

Goldman Sachs International

     (148,743     148,743        —           —     

UBS AG

     (46,231     46,231        —           —     

ProShares Ultra Bloomberg Crude Oil

         

Deutsche Bank AG

     (299,424     299,424        —           —     

Goldman Sachs & Co.

     (5,850,066     —          5,028,210         (821,856

Goldman Sachs International

     (68,287     68,287        —           —     

Societe Generale S.A.

     (222,180     222,180        —           —     

UBS AG

     (585,581     585,581        —           —     

ProShares Ultra Bloomberg Natural Gas

         

Goldman Sachs & Co.

     (803,837     —          803,837         —     

ProShares Ultra Gold

         

Deutsche Bank AG

     (4,255,264     4,255,264        —           —     

Goldman Sachs & Co.

     (1,440     —          1,440         —     

Goldman Sachs International

     (1,626,387     1,626,387        —           —     

Societe Generale S.A.

     (714,569     714,569        —           —     

UBS AG

     (1,529,399     1,529,399        —           —     

ProShares Ultra Silver

         

Deutsche Bank AG

     (46,744,838     46,744,838        —           —     

Goldman Sachs & Co.

     (5,100     —          5,100         —     

Goldman Sachs International

     (17,435,908     17,435,908        —           —     

Societe Generale S.A.

     (9,689,940     9,689,940        —           —     

UBS AG

     (17,722,081     17,722,081        —           —     

ProShares Ultra Australian Dollar

         

RBC Capital Markets

     13,680        —          —           13,680   

ProShares Ultra Euro

         

Goldman Sachs International

     (30,998     30,998        —           —     

UBS AG

     (150,863     150,863        —           —     

ProShares Ultra Yen

         

Goldman Sachs International

     (29,649     29,649        —           —     

UBS AG

     (126,771     113,998        —           (12,773

ProShares VIX Short-Term Futures ETF

         

RBC Capital Markets

     528,712        —          —           528,712   

ProShares VIX Mid-Term Futures ETF

         

RBC Capital Markets

     268,191        —          —           268,191   

ProShares Ultra VIX Short-Term Futures ETF

         

RBC Capital Markets

     11,373,242        —          —           11,373,242   

ProShares Short VIX Short-Term Futures ETF

         

RBC Capital Markets

     (5,914,427     —          5,914,427         —     

 

131


Table of Contents

Fair Values of Derivative Instruments as of December 31, 2013

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

of Financial
Condition
     Net
Amounts of

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

of Financial
Condition
     Net
Amounts of

Liabilities
presented in
the Statements
of  Financial
Condition
 

ProShares UltraShort Bloomberg Commodity

                 

Swap agreements

   $ —         $ —         $ —         $ 27,665         —         $ 27,665   

ProShares UltraShort Bloomberg Crude Oil

                 

Futures contracts*

     1,503,943         —           1,503,943         —           —           —     

Swap agreements

     —           —           —           2,332,900         —           2,332,900   

ProShares UltraShort Bloomberg Natural Gas

                 

Futures contracts*

     1,520,548         —           1,520,548         —           —           —     

ProShares UltraShort Gold

                 

Forward agreements

     5,633,053         —           5,633,053         —           —           —     

Futures contracts*

     300         —           300         —           —           —     

ProShares UltraShort Silver

                 

Forward agreements

     —           —           —           2,227,857         —           2,227,857   

Futures contracts*

     2,450         —           2,450         —           —           —     

ProShares Short Euro

                 

Futures contracts*

     9,100         —           9,100         —           —           —     

ProShares UltraShort Australian Dollar

                 

Futures contracts*

     —           —           —           86,166         —           86,166   

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     151,351         —           151,351         13,899,858         —           13,899,858   

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     31,317,568         —           31,317,568         1,930,884         —           1,930,884   

ProShares Ultra Bloomberg Commodity

                 

Swap agreements

     15,078         —           15,078         —           —           —     

ProShares Ultra Bloomberg Crude Oil

                 

Futures contracts*

     —           —           —           997,210         —           997,210   

Swap agreements

     1,957,893         —           1,957,893         —           —           —     

ProShares Ultra Bloomberg Natural Gas

                 

Futures contracts*

     —           —           —           5,628,532         —           5,628,532   

ProShares Ultra Gold

                 

Forward agreements

     —           —           —           6,812,974         —           6,812,974   

Futures contracts*

     —           —           —           300         —           300   

ProShares Ultra Silver

                 

Forward agreements

     —           —           —           2,492,880         —           2,492,880   

Futures contracts*

     —           —           —           2,450         —           2,450   

ProShares Ultra Australian Dollar

                 

Futures contracts*

     10,650         —           10,650         —           —           —     

ProShares Ultra Euro

                 

Foreign currency forward contracts

     120,908         —           120,908         19,946         —           19,946   

ProShares Ultra Yen

                 

Foreign currency forward contracts

     4,052         —           4,052         163,361         —           163,361   

ProShares VIX Short-Term Futures ETF

                 

Futures contracts*

     3,179,017         —           3,179,017         —           —           —     

ProShares VIX Mid-Term Futures ETF

                 

Futures contracts*

     100,734         —           100,734         —           —           —     

ProShares Ultra VIX Short-Term Futures ETF

                 

Futures contracts*

     —           —           —           3,356,803         —           3,356,803   

ProShares Short VIX Short-Term Futures ETF

                 

Futures contracts*

     603,833         —           603,833         —           —           —     

 

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Table of Contents
* Current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments as presented in the Form 10-K for the year ended December 31, 2013.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2013. 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 “Account for Derivative Instruments”.

 

                                                                                                                                                                                       

Gross Amounts Not Offset in the Statements of Financial Condition

 
     Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
    Financial Instruments
for the Benefit of

(the Funds) / the
Counterparties
    Cash Collateral
for the Benefit of
(the Funds) / the
Counterparties
    Net Amount  

ProShares UltraShort Bloomberg Commodity

        

Deutsche Bank AG

   $ (11,710 )   $ 11,710      $ —        $ —     

Goldman Sachs International

     (12,945 )     12,945        —          —     

UBS AG

     (3,010 )     3,010        —          —     

ProShares UltraShort Bloomberg Crude Oil

        

Deutsche Bank AG

     (570,114 )     570,114        —          —     

Goldman Sachs & Co.

     1,503,943        —          —          1,503,943   

Goldman Sachs International

     (632,990 )     632,990        —          —     

Societe Generale S.A.

     (402,586 )     402,586        —          —     

UBS AG

     (727,210 )     727,210        —          —     

ProShares UltraShort Bloomberg Natural Gas

        

Goldman Sachs & Co.

     1,520,548        —          —          1,520,548   

ProShares UltraShort Gold

        

Deutsche Bank AG

     2,258,281        —          (2,258,281 )     —     

Goldman Sachs & Co.

     300        —          —          300   

Goldman Sachs International

     1,411,290        (1,411,290 )     —          —     

Societe Generale S.A.

     665,044        (665,044 )     —          —     

UBS AG

     1,298,438        (1,298,438 )     —          —     

ProShares UltraShort Silver

        

Deutsche Bank AG

     (445,752 )     445,752        —          —     

Goldman Sachs & Co.

     2,450        —          —          2,450   

Goldman Sachs International

     (1,257,636 )     1,257,636        —          —     

Societe Generale S.A.

     (7,359 )     7,359        —          —     

UBS AG

     (517,110 )     517,110        —          —     

ProShares Short Euro

        

RBC Capital Markets

     9,100        —          —          9,100   

ProShares UltraShort Australian Dollar

        

RBC Capital Markets

     (86,166 )     —          86,166        —     

ProShares UltraShort Euro

        

Goldman Sachs International

     64,104        —          —          64,104   

Goldman Sachs International

     (6,820,802 )     6,820,802          —     

UBS AG

     87,247        —          —          87,247   

UBS AG

     (7,079,056 )     7,079,056        —          —     

ProShares UltraShort Yen

        

Goldman Sachs International

     15,716,318        (13,635,426 )     —          2,080,892   

 

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Goldman Sachs International

     (884,849 )     884,849        —          —     

UBS AG

     15,601,250        (14,004,926 )     —          1,596,324   

UBS AG

     (1,046,035 )     1,046,035        —          —     

ProShares Ultra Bloomberg Commodity

        

Deutsche Bank AG

     6,454        —          —          6,454   

Goldman Sachs International

     4,974        —          —          4,974   

UBS AG

     3,650        —          —          3,650   

ProShares Ultra Bloomberg Crude Oil

        

Deutsche Bank AG

     622,117        —          (622,117 )     —     

Goldman Sachs & Co.

     (997,210 )     —          997,210        —     

Goldman Sachs International

     576,723        (576,723 )     —          —     

Societe Generale S.A.

     275,816        (275,816 )     —          —     

UBS AG

     483,237        (483,237 )     —          —     

ProShares Ultra Bloomberg Natural Gas

        

Goldman Sachs & Co.

     (5,628,532 )     —          4,630,277        (998,255 )

ProShares Ultra Gold

        

Deutsche Bank AG

     (3,543,937 )     3,543,937        —          —     

Goldman Sachs & Co.

     (300 )     —          300        —     

Goldman Sachs International

     (1,327,335 )     1,327,335        —          —     

Societe Generale S.A.

     (785,038 )     785,038        —          —     

UBS AG

     (1,156,664 )     1,156,664        —          —     

ProShares Ultra Silver

        

Deutsche Bank AG

     (350,663 )     350,663        —          —     

Goldman Sachs & Co.

     (2,450 )     —          2,450        —     

Goldman Sachs International

     (1,345,433 )     1,345,433        —          —     

Societe Generale S.A.

     (28,581 )     28,581        —          —     

UBS AG

     (768,203 )     768,203        —          —     

ProShares Ultra Australian Dollar

        

RBC Capital Markets

     10,650        —          —          10,650   

ProShares Ultra Euro

        

Goldman Sachs International

     56,991        —          —          56,991   

Goldman Sachs International

     (19,770 )     19,770        —          —     

UBS AG

     63,917        —          —          63,917   

UBS AG

     (176 )     176        —          —     

ProShares Ultra Yen

        

Goldman Sachs International

     2,462        —          —          2,462   

Goldman Sachs International

     (78,309 )     78,309        —          —     

UBS AG

     1,590        —          —          1,590   

UBS AG

     (85,052 )     85,052        —          —     

ProShares VIX Short-Term Futures ETF

        

RBC Capital Markets

     3,179,017        —          —          3,179,017   

ProShares VIX Mid-Term Futures ETF

        

RBC Capital Markets

     100,734        —          —          100,734   

ProShares Ultra VIX Short-Term Futures ETF

        

RBC Capital Markets

     (3,356,803 )     —          3,356,803        —     

ProShares Short VIX Short-Term Futures ETF

        

RBC Capital Markets

     603,833        —          —          603,833   

 

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NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Managed Futures Fund will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of its average daily net assets. The Sponsor did not and will not charge its fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund to the extent that its offering costs exceed the Management Fee for the first year of operations. The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays the fees and expenses of the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent and any index licensors for the Funds , the routine operational, administrative and other ordinary expenses of each Fund, 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. For the three and nine months ended September 30, 2013 and from January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. Each Fund incurs and pays its non-recurring and unusual fees and expenses.

The Administrator

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

The Custodian

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

The Distributor

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

 

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Routine Operational, Administrative and Other Ordinary Expenses

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, fees and expenses of the Administrator, Custodian, Distributor, PDI, Transfer Agent, accounting and auditing fees and expenses, 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, FINRA filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the NAV 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 which are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not and will not charge its Management Fee in the first year of operations of the Ultra Australian Dollar Fund, UltraShort Australian Dollar Fund, Short Euro Fund and the Managed Futures Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, with the exception of each Matching VIX Fund and the Managed Futures Fund, to the extent that its offering costs exceeded 0.95% of its average daily NAV for the first year of operations. The Sponsor will reimburse the Managed Futures Fund to the extent that its offering costs exceed 0.75% of its average daily NAV for the first year of operations. Normal and expected expenses incurred in connection with the continuous offering of Shares of the Managed Futures Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

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

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

Transaction Fees on Creation and Redemption Transactions

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

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% 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, 2014, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

Fund    Three Months Ended
September 30, 2014
     Nine Months Ended
September 30, 2014
 

UltraShort Bloomberg Commodity

   $ —         $ —     

UltraShort Bloomberg Crude Oil

     54,104         199,604   

UltraShort Bloomberg Natural Gas

     3,896         20,800   

UltraShort Gold

     5,064         28,170   

UltraShort Silver

     6,199         41,467   

Short Euro

     —           —     

UltraShort Australian Dollar

     —           —     

UltraShort Euro

     —           —     

UltraShort Yen

     —           —     

Ultra Bloomberg Commodity

     —           249   

Ultra Bloomberg Crude Oil

     50,115         136,889   

Ultra Bloomberg Natural Gas

     6,542         16,058   

Ultra Gold

     2,477         9,475   

Ultra Silver

     16,924         54,987   

Ultra Australian Dollar

     —           —     

Ultra Euro

     —           —     

Ultra Yen

     —           —     

VIX Short-Term Futures ETF

     20,220         20,220   

VIX Mid-Term Futures ETF

     1,328         1,328   

Ultra VIX Short-Term Futures ETF

     163,716         446,535   

Short VIX Short-Term Futures ETF

     67,037         131,011   
  

 

 

    

 

 

 

Total Trust

   $ 397,622       $ 1,106,793   

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2014:

For the Three Months Ended September 30, 2014 (unaudited)

 

Per Share Operating Performance

   UltraShort
Bloomberg
Commodity
    UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
    UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian Dollar
 

Net asset value, at June 30, 2014

   $ 54.2430      $ 24.6332      $ 40.5583      $ 83.9968      $ 73.6642      $ 35.6131      $ 40.2542   

Net investment income (loss)

     (0.1422     (0.0654     (0.1378     (0.2023     (0.1862     (0.0864     (0.1020

Net realized and unrealized gain (loss)

     15.0557        6.2237        5.8977        13.1335        33.6339        2.9991        5.7257   

Change in net asset value from operations

     14.9135        6.1583        5.7599        12.9312        33.4477        2.9127        5.6237   

Net asset value, at September 30, 2014

   $ 69.1565      $ 30.7915      $ 46.3182      $ 96.9280      $ 107.1119      $ 38.5258      $ 45.8779   

Market value per share, at June 30, 2014†

   $ 52.00      $ 24.61      $ 40.43      $ 82.11      $ 72.05      $ 35.66      $ 40.29   

Market value per share, at September 30, 2014†

   $ 67.85      $ 30.60      $ 46.48      $ 98.24      $ 107.60      $ 38.50      $ 45.82   

Total Return, at net asset value^

     27.5     25.0     14.2     15.4     45.4     8.2     14.0

Total Return, at market value^

     30.5     24.3     15.0     19.6     49.3     8.0     13.7

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.97 )%      (1.14 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.01 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.92 )%      (0.94 )%      (1.11 )%      (0.92 )%      (0.91 )%      (0.93 )%      (0.98 )% 

 

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, 2014.
** Percentages are annualized.

 

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For the Three Months Ended September 30, 2014 (unaudited)

 

Per Share Operating Performance

   UltraShort
Euro
    UltraShort
Yen
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at June 30, 2014

   $ 17.0603      $ 64.8923      $ 22.0290      $ 39.1905      $ 45.0351      $ 48.3777      $ 70.1043   

Net investment income (loss)

     (0.0419     (0.1581     (0.0447     (0.0778     (0.0923     (0.1051     (0.1442

Net realized and unrealized gain (loss)

     2.9566        11.0143        (4.9560     (8.9949     (8.7309     (7.1796     (23.5528

Change in net asset value from operations

     2.9147        10.8562        (5.0007     (9.0727     (8.8232     (7.2847     (23.6970

Net asset value, at September 30, 2014

   $ 19.9750      $ 75.7485      $ 17.0283      $ 30.1178      $ 36.2119      $ 41.0930      $ 46.4073   

Market value per share, at June 30, 2014†

   $ 17.05      $ 64.89      $ 22.02      $ 39.19      $ 45.02      $ 49.41      $ 71.76   

Market value per share, at September 30, 2014†

   $ 19.96      $ 75.76      $ 17.06      $ 30.34      $ 36.20      $ 40.59      $ 46.15   

Total Return, at net asset value^

     17.1     16.7     (22.7 )%      (23.2 )%      (19.6 )%      (15.1 )%      (33.8 )% 

Total Return, at market value^

     17.1     16.8     (22.5 )%      (22.6 )%      (19.6 )%      (17.9 )%      (35.7 )% 

Ratios to Average Net Assets**

            

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.09 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.91 )%      (0.92 )%      (0.91 )%      (0.94 )%      (1.06 )%      (0.91 )%      (0.91 )% 

 

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, 2014.
** Percentages are annualized.

 

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For the Three Months Ended September 30, 2014 (unaudited)

 

Per Share Operating Performance

   Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen     VIX Short-Term
Futures ETF
    VIX Mid-Term
Futures ETF*
    Ultra VIX
Short Term
Futures ETF
    Short VIX
Short Term
Futures ETF
 

Net asset value, at June 30, 2014

   $ 35.9201      $ 25.6654      $ 19.9677      $ 19.0084      $ 61.7690      $ 26.5520      $ 88.4063   

Net investment income (loss)

     (0.0837     (0.0553     (0.0438     (0.0444     (0.1295     (0.1176     (0.3181

Net realized and unrealized gain (loss)

     (4.6513     (3.8505     (2.9546     1.8571        2.3798        3.3319        (13.2748

Change in net asset value from operations

     (4.7350     (3.9058     (2.9984     1.8127        2.2503        3.2143        (13.5929

Net asset value, at September 30, 2014

   $ 31.1851      $ 21.7596      $ 16.9693      $ 20.8211      $ 64.0193      $ 29.7663      $ 74.8134   

Market value per share, at
June 30, 2014†

   $ 35.65      $ 25.80      $ 20.07      $ 19.03      $ 61.88      $ 26.62      $ 88.27   

Market value per share, at September 30, 2014†

   $ 30.99      $ 21.72      $ 17.06      $ 20.78      $ 63.88      $ 29.63      $ 74.94   

Total Return, at net asset value^

     (13.2 )%      (15.2 )%      (15.0 )%      9.5     3.6     12.1     (15.4 )% 

Total Return, at market value^

     (13.1 )%      (15.8 )%      (15.0 )%      9.2     3.2     11.3     (15.1 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.99 )%      (0.95 )%      (0.95 )%      (0.94 )%      (0.88 )%      (1.82 )%      (1.54 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.95 )%      (0.91 )%      (0.92 )%      (0.92 )%      (0.85 )%      (1.80 )%      (1.52 )% 

 

* See Note 9 of these Notes to Financial Statements.
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, 2014.
** Percentages are annualized.

 

140


Table of Contents

Selected data for a Share outstanding throughout the three months ended September 30, 2013:

For the Three Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

   UltraShort
Bloomberg
Commodity
    UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
    UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian Dollar
 

Net asset value, at June 30, 2013

   $ 65.8903      $ 36.3393      $ 88.5724      $ 114.0985      $ 110.5972      $ 37.9264      $ 46.4112   

Net investment income (loss)

     (0.1408     (0.0691     (0.2504     (0.2074     (0.1902     (0.0886     (0.1140

Net realized and unrealized gain (loss)

     (3.3059     (6.0060     3.3319        (25.7822     (33.8396     (1.4518     (2.7008

Change in net asset value from operations

     (3.4467     (6.0751     3.0815        (25.9896     (34.0298     (1.5404     (2.8148

Net asset value, at September 30, 2013

   $ 62.4436      $ 30.2642      $ 91.6539      $ 88.1089      $ 76.5674      $ 36.3860      $ 43.5964   

Market value per share, at June 30, 2013†

   $ 64.97      $ 36.45      $ 88.00      $ 106.50      $ 101.27      $ 38.01      $ 46.54   

Market value per share, at September 30, 2013†

   $ 57.37      $ 30.25      $ 91.86      $ 87.88      $ 76.49      $ 36.41      $ 43.54   

Total Return, at net asset value^

     (5.2 )%      (16.7 )%      3.5     (22.8 )%      (30.8 )%      (4.1 )%      (6.1 )% 

Total Return, at market value^

     (11.7 )%      (17.0 )%      4.4     (17.5 )%      (24.5 )%      (4.2 )%      (6.4 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.97 )%      (1.17 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.02 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.91 )%      (0.94 )%      (1.14 )%      (0.91 )%      (0.91 )%      (0.95 )%      (0.99 )% 

 

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, 2013.
** Percentages are annualized.

 

141


Table of Contents

For the Three Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at June 30, 2013

   $ 19.2890      $ 64.1071      $ 19.2603      $ 30.1614      $ 36.0214      $ 41.6758      $ 62.9731   

Net investment income (loss)

     (0.0429     (0.1464     (0.0469     (0.0851     (0.0937     (0.1173     (0.1834

Net realized and unrealized gain (loss)

     (1.5079     (1.7693     0.7443        4.6335        (3.6705     9.1902        17.4893   

Change in net asset value from operations

     (1.5508     (1.9157     0.6974        4.5484        (3.7642     9.0729        17.3059   

Net asset value, at September 30, 2013

   $ 17.7382      $ 62.1914      $ 19.9577      $ 34.7098      $ 32.2572      $ 50.7487      $ 80.2790   

Market value per share, at June 30, 2013†

   $ 19.29      $ 64.08      $ 18.96      $ 30.11      $ 36.26      $ 44.63      $ 68.00   

Market value per share, at September 30, 2013†

   $ 17.75      $ 62.23      $ 19.92      $ 34.73      $ 32.18      $ 50.86      $ 80.20   

Total Return, at net asset value^

     (8.0 )%      (3.0 )%      3.6     15.1     (10.4 )%      21.8     27.5

Total Return, at market value^

     (8.0 )%      (2.9 )%      5.1     15.3     (11.3 )%      14.0     17.9

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.11 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.92 )%      (0.92 )%      (0.91 )%      (0.93 )%      (1.08 )%      (0.91 )%      (0.91 )% 

 

* See Note 1 of these Notes to Financial Statements.
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, 2013.
** Percentages are annualized.

 

142


Table of Contents

For the Three Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

   Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen     VIX Short-Term
Futures ETF
    VIX Mid-Term
Futures ETF+
    Ultra VIX
Short Term
Futures ETF*
    Short VIX
Short Term
Futures ETF*
 

Net asset value, at June 30, 2013

   $ 32.8323      $ 23.4744      $ 21.2199      $ 55.9419      $ 113.1502      $ 287.9838      $ 39.1314   

Net investment income (loss)

     (0.0804     (0.0556     (0.0490     (0.0874     (0.1983     (0.7102     (0.1909

Net realized and unrealized gain (loss)

     1.5404        1.8323        0.3008        (16.3058     (20.2429     (149.1718     13.5673   

Change in net asset value from operations

     1.4600        1.7767        0.2518        (16.3932     (20.4412     (149.8820     13.3764   

Net asset value, at September 30, 2013

   $ 34.2923      $ 25.2511      $ 21.4717      $ 39.5487      $ 92.7090      $ 138.1018      $ 52.5078   

Market value per share, at June 30, 2013†

   $ 33.96      $ 23.25      $ 21.10      $ 55.91      $ 113.00      $ 286.76      $ 39.23   

Market value per share, at September 30, 2013†

   $ 34.35      $ 25.30      $ 21.70      $ 39.45      $ 92.08      $ 137.36      $ 52.57   

Total Return, at net asset value^

     4.4     7.6     1.2     (29.3 )%      (18.1 )%      (52.0 )%      34.2

Total Return, at market value^

     1.1     8.8     2.8     (29.4 )%      (18.5 )%      (52.1 )%      34.0

Ratios to Average Net Assets**

              

Expense ratio

     (1.00 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.81 )%      (1.54 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.97 )%      (0.91 )%      (0.91 )%      (0.83 )%      (0.82 )%      (1.79 )%      (1.51 )% 

 

* See Note 1 of these Notes to Financial Statements.
+  See Note 9 of these Notes to Financial Statements.
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, 2013.
** Percentages are annualized.

 

143


Table of Contents

Selected data for a Share outstanding throughout the nine months ended September 30, 2014:

For the Nine Months Ended September 30, 2014 (unaudited)

 

Per Share Operating Performance

   UltraShort
Bloomberg
Commodity
    UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
    UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian

Dollar
 

Net asset value, at December 31, 2013

   $ 63.2936      $ 31.7301      $ 69.9635      $ 103.5180      $ 89.7820      $ 35.5867      $ 46.6384   

Net investment income (loss)

     (0.3965     (0.1953     (0.3585     (0.5973     (0.5505     (0.2496     (0.3090

Net realized and unrealized gain (loss)#

     6.2594        (0.7433     (23.2868     (5.9927     17.8804        3.1887        (0.4515

Change in net asset value from operations

     5.8629        (0.9386     (23.6453     (6.5900     17.3299        2.9391        (0.7605

Net asset value, at September 30, 2014

   $ 69.1565      $ 30.7915      $ 46.3182      $ 96.9280      $ 107.1119      $ 38.5258      $ 45.8779   

Market value per share, at December 31, 2013†

   $ 58.41      $ 31.58      $ 69.36      $ 103.53      $ 90.19      $ 35.66      $ 46.66   

Market value per share, at September 30, 2014†

   $ 67.85      $ 30.60      $ 46.48      $ 98.24      $ 107.60      $ 38.50      $ 45.82   

Total Return, at net asset value^

     9.3     (3.0 )%      (33.8 )%      (6.4 )%      19.3     8.3     (1.6 )% 

Total Return, at market value^

     16.2     (3.1 )%      (33.0 )%      (5.1 )%      19.3     8.0     (1.8 )% 

Ratios to Average Net Assets**

              

Expense ratio

     (0.95 )%      (0.97 )%      (1.16 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.01 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.91 )%      (0.93 )%      (1.11 )%      (0.90 )%      (0.90 )%      (0.92 )%      (0.96 )% 

 

# 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, 2014.
** Percentages are annualized.

 

144


Table of Contents

For the Nine Months Ended September 30, 2014 (unaudited)

 

Per Share Operating Performance

  UltraShort
Euro
    UltraShort
Yen
    Ultra
Bloomberg
Commodity
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas
    Ultra Gold     Ultra Silver  

Net asset value, at December 31, 2013

  $ 17.0613      $ 70.8640      $ 19.4317      $ 32.0899      $ 38.8383      $ 41.2553      $ 63.3305   

Net investment income (loss)

    (0.1173     (0.4498     (0.1409     (0.2302     (0.3216     (0.3155     (0.4388

Net realized and unrealized gain (loss)#

    3.0310        5.3343        (2.2625     (1.7419     (2.3048     0.1532        (16.4844

Change in net asset value from operations

    2.9137        4.8845        (2.4034     (1.9721     (2.6264     (0.1623     (16.9232

Net asset value, at September 30, 2014

  $ 19.9750      $ 75.7485      $ 17.0283      $ 30.1178      $ 36.2119      $ 41.0930      $ 46.4073   

Market value per share, at December 31, 2013†

  $ 17.06      $ 70.91      $ 19.13      $ 32.22      $ 39.28      $ 41.26      $ 63.04   

Market value per share, at September 30, 2014†

  $ 19.96      $ 75.76      $ 17.06      $ 30.34      $ 36.20      $ 40.59      $ 46.15   

Total Return, at net asset value^

    17.1     6.9     (12.4 )%      (6.1 )%      (6.8 )%      (0.4 )%      (26.7 )% 

Total Return, at market value^

    17.0     6.8     (10.8 )%      (5.8 )%      (7.8 )%      (1.6 )%      (26.8 )% 

Ratios to Average Net Assets**

             

Expense ratio

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

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

    (0.90 )%      (0.89 )%      (0.91 )%      (0.93 )%      (1.07 )%      (0.91 )%      (0.91 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2014.
** Percentages are annualized.

 

145


Table of Contents
For the Nine Months Ended September 30, 2014 (unaudited)  

Per Share Operating Performance

  Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen     VIX
Short-Term
Futures ETF
    VIX
Mid-Term
Futures ETF*
    Ultra VIX
Short Term
Futures ETF
    Short VIX
Short Term
Futures ETF
 

Net asset value, at December 31, 2013

  $ 31.6801      $ 26.0346      $ 18.6318      $ 28.5387      $ 77.1837      $ 67.0841      $ 67.4993   

Net investment income (loss)

    (0.2384     (0.1697     (0.1304     (0.1518     (0.4227     (0.4998     (0.7883

Net realized and unrealized gain (loss)#

    (0.2566     (4.1053     (1.5321     (7.5658     (12.7417     (36.8180     8.1024   

Change in net asset value from operations

    (0.4950     (4.2750     (1.6625     (7.7176     (13.1644     (37.3178     7.3141   

Net asset value, at September 30, 2014

  $ 31.1851      $ 21.7596      $ 16.9693      $ 20.8211      $ 64 .0193      $ 29.7663      $ 74.8134   

Market value per share, at December 31, 2013†

  $ 31.61      $ 25.98      $ 18.61      $ 28.53      $ 77.16      $ 67.12      $ 67.47   

Market value per share, at September 30, 2014†

  $ 30.99      $ 21.72      $ 17.06      $ 20.78      $ 63.88      $ 29.63      $ 74.94   

Total Return, at net asset value^

    (1.6 )%      (16.4 )%      (8.9 )%      (27.0 )%      (17.1 )%      (55.6 )%      10.8

Total Return, at market value^

    (2.0 )%      (16.4 )%      (8.3 )%      (27.2 )%      (17.2 )%      (55.9 )%      11.1

Ratios to Average Net Assets**

             

Expense ratio

    (0.99 )%      (0.95 )%      (0.95 )%      (0.87 )%      (0.86 )%      (1.78 )%      (1.51 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

    (0.94 )%      (0.90 )%      (0.90 )%      (0.83 )%      (0.82 )%      (1.75 )%      (1.47 )% 

 

* See Note 9 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, 2014.
** Percentages are annualized.

 

146


Table of Contents

Selected data for a Share outstanding throughout the nine months ended September 30, 2013:

For the Nine Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

  UltraShort
Bloomberg
Commodity
    UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
    UltraShort
Gold
    UltraShort
Silver
    Short Euro     UltraShort
Australian Dollar
 

Net asset value, at December 31, 2012

  $ 54.1021      $ 40.3079      $ 102.1402      $ 63.8688      $ 51.3951      $ 37.6285      $ 37.8081   

Net investment income (loss)

    (0.3875     (0.2262     (0.6806     (0.5395     (0.4408     (0.2593     (0.3257

Net realized and unrealized gain (loss)#

    8.7290        (9.8175     (9.8057     24.7796        25.6131        (0.9832     6.1140   

Change in net asset value from operations

    8.3415        (10.0437     (10.4863     24.2401        25.1723        (1.2425     5.7883   

Net asset value, at September 30, 2013

  $ 62.4436      $ 30.2642      $ 91.6539      $ 88.1089      $ 76.5674      $ 36.3860      $ 43.5964   

Market value per share, at December 31, 2012†

  $ 51.64      $ 40.44      $ 101.64      $ 62.60      $ 50.07      $ 37.64      $ 37.74   

Market value per share, at September 30, 2013†

  $ 57.37      $ 30.25      $ 91.86      $ 87.88      $ 76.49      $ 36.41      $ 43.54   

Total Return, at net asset value^

    15.4     (24.9 )%      (10.3 )%      38.0     49.0     (3.3 )%      15.3

Total Return, at market value^

    11.1     (25.2 )%      (9.6 )%      40.4     52.8     (3.3 )%      15.4

Ratios to Average Net Assets**

             

Expense ratio

    (0.95 )%      (0.98 )%      (1.20 )%      (0.95 )%      (0.95 )%      (0.96 )%      (1.03 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

    (0.89 )%      (0.93 )%      (1.15 )%      (0.90 )%      (0.89 )%      (0.93 )%      (0.99 )% 

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2013.
** Percentages are annualized.

 

147


Table of Contents

For the Nine Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at December 31, 2012

  $ 19.0172      $ 50.7577      $ 24.3875      $ 29.3941      $ 39.0490      $ 83.7634      $ 171.8906   

Net investment income (loss)

    (0.1275     (0.4164     (0.1487     (0.2120     (0.3134     (0.4298     (0.7216

Net realized and unrealized gain (loss)#

    (1.1515     11.8501        (4.2811     5.5277        (6.4784     (32.5849     (90.8900

Change in net asset value from operations

    (1.2790     11.4337        (4.4298     5.3157        (6.7918     (33.0147     (91.6116

Net asset value, at September 30, 2013

  $ 17.7382      $ 62.1914      $ 19.9577      $ 34.7098      $ 32.2572      $ 50.7487      $ 80.2790   

Market value per share, at December 31, 2012†

  $ 19.01      $ 50.77      $ 23.93      $ 29.32      $ 39.24      $ 85.34      $ 176.40   

Market value per share, at September 30, 2013†

  $ 17.75      $ 62.23      $ 19.92      $ 34.73      $ 32.18      $ 50.86      $ 80.20   

Total Return, at net asset value^

    (6.7 )%      22.5     (18.2 )%      18.1     (17.4 )%      (39.4 )%      (53.3 )% 

Total Return, at market value^

    (6.6 )%      22.6     (16.8 )%      18.5     (18.0 )%      (40.4 )%      (54.5 )% 

Ratios to Average Net Assets**

             

Expense ratio

    (0.95 )%      (0.95 )%      (0.95 )%      (0.97 )%      (1.13 )%      (0.95 )%      (0.95 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

    (0.90 )%      (0.90 )%      (0.90 )%      (0.91 )%      (1.08 )%      (0.88 )%      (0.88 )% 

 

* 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, 2013.
** Percentages are annualized.

 

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For the Nine Months Ended September 30, 2013 (unaudited)

 

Per Share Operating Performance

  Ultra
Australian
Dollar
    Ultra Euro     Ultra Yen     VIX
Short-Term
Futures ETF
    VIX
Mid-Term
Futures ETF+
    Ultra VIX
Short Term
Futures ETF*
    Short VIX
Short Term
Futures ETF*
 

Net asset value, at December 31, 2012

  $ 41.4986      $ 24.3499      $ 28.1840      $ 83.9374      $ 138.8013      $ 805.2711      $ 33.0649   

Net investment income (loss)

    (0.2663     (0.1625     (0.1519     (0.3083     (0.6171     (3.1394     (0.5081

Net realized and unrealized gain (loss)

    (6.9400     1.0637        (6.5604     (44.0804     (45.4752     (664.0299     19.9510   

Change in net asset value from operations

    (7.2063     0.9012        (6.7123     (44.3887     (46.0923     (667.1693     19.4429   

Net asset value, at September 30, 2013

  $ 34.2923      $ 25.2511      $ 21.4717      $ 39.5487      $ 92.7090      $ 138.1018      $ 52.5078   

Market value per share, at December 31, 2012†

  $ 41.45      $ 24.32      $ 28.28      $ 85.05      $ 136.88      $ 836.00      $ 32.73   

Market value per share, at September 30, 2013†

  $ 34.35      $ 25.30      $ 21.70      $ 39.45      $ 92.08      $ 137.36      $ 52.57   

Total Return, at net asset value^

    (17.4 )%      3.7     (23.8 )%      (52.9 )%      (33.2 )%      (82.9 )%      58.8

Total Return, at market value^

    (17.1 )%      4.0     (23.3 )%      (53.6 )%      (32.7 )%      (83.6 )%      60.6

Ratios to Average Net Assets**

             

Expense ratio

    (0.99 )%      (0.95 )%      (0.95 )%      (0.85 )%      (0.85 )%      (1.84 )%      (1.54 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

    (0.95 )%      (0.90 )%      (0.89 )%      (0.81 )%      (0.81 )%      (1.82 )%      (1.50 )% 

 

* See Note 1 of these Notes to Financial Statements.
+  See Note 9 of these Notes to Financial Statements.
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, 2013.
** 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 and the Managed Futures Fund seek to achieve their stated investment objective both over a single day and over time.

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

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

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

 

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Counterparty Risk

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

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

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

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

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

 

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

 

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Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the S&P 500 VIX Short-Term Futures Index or the S&P 500 VIX Mid-Term Futures Index (each a “VIX Futures Index”). Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

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

Other Matters

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

NOTE 9 – SUBSEQUENT EVENTS

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

On October 2, 2014, the Managed Futures Fund commenced investment operations.

On October 15, 2014, the Trust announced a 1-for-4 reverse split of the Shares of beneficial interest of ProShares VIX Mid-Term Futures ETF (NYSE Arca symbol “VIXM”). Prior to the opening of trading on the NYSE Arca on November 6, 2014, ProShares VIX Mid-Term Futures ETF executed a 1-for-4 reverse split of Shares.

The reverse split was effective for shareholders of record after the close of the markets on November 5, 2014, and payable after the close of the markets on November 6, 2014. ProShares VIX Mid-Term Futures ETF traded at its post-reverse split price on November 6, 2014. The ticker symbol for the Fund did not change, and it continues to trade on the NYSE Arca.

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

 

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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, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). 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 Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX 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 registered shares for one additional series: ProShares Managed Futures Strategy (the “Managed Futures Fund”). As of September 30, 2014, the Managed Futures Fund had seed capital, but had not commenced investment operations; therefore, this Quarterly Report on Form 10-Q does not include the Schedule of Investments, Statement of Operations, Statement of Changes in Shareholders’ Equity, Statement of Cash Flows, results of operations or any other financial information for the Managed Futures Fund.

 

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

Eight of the Funds, ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Euro and ProShares Ultra Yen commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver, commenced trading on the NYSE Arca on December 3, 2008. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas, commenced trading on the NYSE Arca on October 4, 2011. One of the Funds, ProShares Short Euro, commenced trading on the NYSE Arca on June 26, 2012. Two of the Funds, ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar, commenced trading on the NYSE Arca on July 17, 2012.

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.

Effective as of July 1, 2014, the official name for the Dow-Jones Commodity Index and its sub-indexes (Dow-Jones Commodity SubindexSM, Dow Jones-UBS WTI Crude Oil SubindexSM, and Dow-Jones Natural Gas SubindexSM) changed to the Bloomberg Commodity Index, Bloomberg Commodity SubindexSM, Bloomberg WTI Crude Oil SubindexSM, and Bloomberg Natural Gas SubindexSM, respectively. The changes were made to reflect the transfer of several Dow Jones-UBS indexes to Bloomberg L.P. The methodology for the underlying index of each Commodity Index Fund remained the same in all material respects. As a result, the fund name, underlying index name and ticker symbol changed for each of the Commodity Index Funds and are reflected in this Quarterly Report on Form 10-Q. The new name, underlying index name and ticker symbol for each of the Commodity Index Funds are as follows:

 

Prior Fund Name   New Fund Name  

Prior Underlying Index

Name and Ticker

Symbol

 

New Underlying Index

Name and Ticker

Symbol

ProShares UltraShort DJ-UBS

Commodity

  ProShares UltraShort Bloomberg Commodity  

Dow Jones – UBS Commodity

IndexSM – DJUBSTR

  Bloomberg Commodity IndexSM – BCOMTR

ProShares Ultra DJ-UBS

Commodity

  ProShares Ultra Bloomberg Commodity  

Dow Jones – UBS Commodity

IndexSM – DJUBSTR

  Bloomberg Commodity IndexSM – BCOMTR

ProShares UltraShort DJ-UBS

Crude Oil

  ProShares UltraShort Bloomberg Crude Oil   Dow Jones – UBS WTI Crude Oil SubindexSM – DJUBCLTR   Bloomberg WTI Crude Oil SubindexSM – BCOMCLTR

ProShares Ultra DJ-UBS Crude

Oil

  ProShares Ultra Bloomberg Crude Oil   Dow Jones – UBS WTI Crude Oil SubindexSM – DJUBCLTR   Bloomberg WTI Crude Oil SubindexSM – BCOMCLTR

ProShares UltraShort DJ-UBS

Natural Gas

  ProShares UltraShort Bloomberg Natural Gas  

Dow Jones – UBS Natural Gas

SubindexSM – DJUBNGTR

  Bloomberg Natural Gas SubindexSM – BCOMNGTR

ProShares Ultra DJ-UBS

Natural Gas

  ProShares Ultra Bloomberg Natural Gas  

Dow Jones – UBS Natural Gas

SubindexSM – DJUBNGTR

  Bloomberg Natural Gas SubindexSM – BCOMNGTR

 

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

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

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

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

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

Until August 14, 2014, the price of silver for each of ProShares Ultra Silver and ProShares UltraShort Silver was the U.S. dollar price of silver bullion as measured by the London fixing price per troy ounce of unallocated silver bullion for delivery in London through a member of the London Bullion Market Association (“LBMA”) authorized to affect such delivery. In May 2014, the company that runs the London silver fixing announced that, as of August 14, 2014, they will stop running the process. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, based on an electronic, auction-based methodology effective August 15, 2014.

 

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2014 and 2013, each of the Funds earned interest income as follows:

 

Fund

   Interest Income
Three Months
Ended
September 30,
2014
     Interest Income
Three Months
Ended
September 30,
2013
     Interest Income
Nine Months
Ended
September 30,
2014
     Interest Income
Nine Months
Ended
September 30,
2013
 

ProShares UltraShort Bloomberg Commodity

   $ 295       $ 416       $ 947       $ 1,651   

ProShares UltraShort Bloomberg Crude Oil

     24,612         34,116         100,900         82,626   

ProShares UltraShort Bloomberg Natural Gas

     2,392         1,267         15,332         7,217   

ProShares UltraShort Gold

     7,015         13,065         34,960         48,373   

ProShares UltraShort Silver

     5,567         8,580         26,362         47,626   

ProShares Short Euro

     1,279         338         3,684         1,363   

ProShares UltraShort Australian Dollar

     1,375         1,790         7,366         3,399   

ProShares UltraShort Euro

     41,636         39,032         170,287         179,135   

ProShares UltraShort Yen

     28,871         40,839         163,880         171,429   

ProShares Ultra Bloomberg Commodity

     351         395         1,070         1,809   

ProShares Ultra Bloomberg Crude Oil

     11,935         13,828         44,923         115,731   

ProShares Ultra Bloomberg Natural Gas

     3,296         5,794         11,380         22,420   

ProShares Ultra Gold

     13,569         18,099         45,026         118,967   

ProShares Ultra Silver

     41,216         51,513         155,173         313,406   

ProShares Ultra Australian Dollar

     347         242         1,433         1,312   

ProShares Ultra Euro

     231         371         936         1,468   

ProShares Ultra Yen

     167         295         988         1,538   

ProShares VIX Short-Term Futures ETF

     6,363         10,711         40,577         54,250   

ProShares VIX Mid-Term Futures ETF

     3,406         6,721         13,659         20,472   

ProShares Ultra VIX Short-Term Futures ETF

     13,610         10,797         55,542         46,863   

ProShares Short VIX Short-Term Futures ETF

     16,267         6,018         60,496         22,651   

 

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

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

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

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

Market Risk

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

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

Credit Risk

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

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

 

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of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

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

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

 

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

 

    limiting the outstanding amounts due from counterparties to the Funds;

 

    not posting margin directly with a counterparty;

 

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

 

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

 

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 3, 2014, 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. One officer of the Trust also serves as an officer and owner of the Sponsor.

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 or 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).

 

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For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2014.

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

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

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

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

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

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. For the three and nine months ended September 30, 2013 and from January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

 

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Results of Operations for the Three Months Ended September 30, 2014 Compared to the Three Months Ended September 30, 2013

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 3,254,416      $ 3,953,221   

NAV end of period

   $ 4,149,184      $ 3,746,428   

Percentage change in NAV

     27.5     (5.2 )% 

Shares outstanding beginning of period

     59,997        59,997   

Shares outstanding end of period

     59,997        59,997   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 54.24      $ 65.89   

Per share NAV end of period

   $ 69.16      $ 62.44   

Percentage change in per share NAV

     27.5     (5.2 )% 

Percentage change in benchmark

     (11.8 )%      2.1

Benchmark annualized volatility

     7.8     10.4

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index (formerly Dow Jones-UBS Commodity Index). There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, 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 27.5% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 5.2% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 23, 2014 at $69.36 per Share and reached its low for the period on July 2, 2014 at $54.51 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 7, 2013 at $66.37 per Share and reached its low for the period on August 28, 2013 at $57.81 per Share.

The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.1% for the three months ended September 30, 2013, can be attributed to depreciation of the underlying components of the index during the three months ended September 30, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (8,532   $ (8,450

Management fee

     8,827        8,866   

Net realized gain (loss)

     502,115        13,686   

Change in net unrealized appreciation/depreciation

     401,185        (212,029

Net income (loss)

   $ 894,768      $ (206,793

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the Fund’s benchmark index during the three months ended September 30, 2014.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 362,599,585      $ 251,466,116   

NAV end of period

   $ 196,140,063      $ 442,461,028   

Percentage change in NAV

     (45.9 )%      76.0

Shares outstanding beginning of period

     14,719,944        6,919,944   

Shares outstanding end of period

     6,369,944        14,619,944   

Percentage change in shares outstanding

     (56.7 )%      111.3

Shares created

     250,000        12,900,000   

Shares redeemed

     8,600,000        5,200,000   

Per share NAV beginning of period

   $ 24.63      $ 36.34   

Per share NAV end of period

   $ 30.79      $ 30.26   

Percentage change in per share NAV

     25.0     (16.7 )% 

Percentage change in benchmark

     (11.8 )%      7.9

Benchmark annualized volatility

     18.3     19.0

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 14,719,944 outstanding Shares at June 30, 2014 to 6,369,944 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM (formerly Dow Jones-UBS WTI Crude Oil SubindexSM). By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 6,919,944 outstanding Shares at June 30, 2013 to 14,619,944 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2014 and 2013, 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 25.0% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 16.7% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 10, 2014 at $31.28 per Share and reached its low for the period on July 1, 2014 at $24.63 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $35.25 per Share and reached its low for the period on September 6, 2013 at $26.59 per Share.

 

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The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 7.9% for the three months ended September 30, 2013, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (639,303   $ (1,036,872

Management fee

     648,492        1,047,511   

Brokerage commissions

     15,423        23,477   

Net realized gain (loss)

     42,556,429        (86,180,653

Change in net unrealized appreciation/depreciation

     29,108,049        44,674,375   

Net income (loss)

   $ 71,025,175      $ (42,543,150

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the Fund’s benchmark index during the three months ended September 30, 2014.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 49,682,009      $ 19,924,537   

NAV end of period

   $ 19,683,020      $ 16,035,027   

Percentage change in NAV

     (60.4 )%      (19.5 )% 

Shares outstanding beginning of period

     1,224,952        224,952   

Shares outstanding end of period

     424,952        174,952   

Percentage change in shares outstanding

     (65.3 )%      (22.2 )% 

Shares created

     —          50,000   

Shares redeemed

     800,000        100,000   

Per share NAV beginning of period

   $ 40.56      $ 88.57   

Per share NAV end of period

   $ 46.32      $ 91.65   

Percentage change in per share NAV

     14.2     3.5

Percentage change in benchmark

     (9.3 )%      (4.4 )% 

Benchmark annualized volatility

     28.0     26.5

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,224,952 outstanding Shares at June 30, 2014 to 424,952 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM (formerly Dow Jones-UBS Natural Gas SubindexSM). By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,952 outstanding Shares at June 30, 2013 to 174,952 outstanding Shares at September 30, 2013. 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.

 

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For the three months ended September 30, 2014 and 2013, 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 14.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 3.5% for the three months ended September 30, 2013, was primarily due to greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 28, 2014 at $55.42 per Share and reached its low for the period on July 1, 2014 at $40.63 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 9, 2013 at $103.75 per Share and reached its low for the period on July 18, 2013 at $75.90 per Share.

The benchmark’s decline of 9.3% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 4.4% for the three months ended September 30, 2013, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (86,019   $ (48,035

Management fee

     73,623        40,159   

Brokerage commissions

     14,788        9,143   

Net realized gain (loss)

     13,918,788        2,863,123   

Change in net unrealized appreciation/depreciation

     (4,337,011     (1,861,542

Net income (loss)

   $ 9,495,758      $ 953,546   

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2014.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 83,742,981      $ 170,802,997   

NAV end of period

   $ 82,095,909      $ 145,113,410   

Percentage change in NAV

     (2.0 )%      (15.0 )% 

Shares outstanding beginning of period

     996,978        1,496,978   

Shares outstanding end of period

     846,978        1,646,978   

Percentage change in shares outstanding

     (15.0 )%      10.0

Shares created

     50,000        550,000   

Shares redeemed

     200,000        400,000   

Per share NAV beginning of period

   $ 84.00      $ 114.10   

Per share NAV end of period

   $ 96.93      $ 88.11   

Percentage change in per share NAV

     15.4     (22.8 )% 

Percentage change in benchmark

     (7.5 )%      11.3

Benchmark annualized volatility

     10.6     22.7

 

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During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 996,978 outstanding Shares at June 30, 2014 to 846,978 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 1,496,978 outstanding Shares at June 30, 2013 to 1,646,978 outstanding Shares at September 30, 2013.

For the three months ended September 30, 2014 and 2013, 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 15.4% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 22.8% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 22, 2014 at $97.47 per Share and reached its low for the period on July 10, 2014 at $80.73 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 5, 2013 at $109.28 per Share and reached its low for the period on August 28, 2013 at $78.23 per Share.

The benchmark’s decline of 7.5% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 11.3% for the three months ended September 30, 2013, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (185,871   $ (283,915

Management fee

     192,878        296,972   

Brokerage commissions

     8        8   

Net realized gain (loss)

     (4,375,421     6,023,935   

Change in net unrealized appreciation/depreciation

     16,208,294        (44,052,898

Net income (loss)

   $ 11,647,002      $ (38,312,878

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

 

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ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 52,190,256      $ 83,886,747   

NAV end of period

   $ 59,820,800      $ 115,501,076   

Percentage change in NAV

     14.6     37.7

Shares outstanding beginning of period

     708,489        758,489   

Shares outstanding end of period

     558,489        1,508,489   

Percentage change in shares outstanding

     (21.2 )%      98.9

Shares created

     100,000        1,550,000   

Shares redeemed

     250,000        800,000   

Per share NAV beginning of period

   $ 73.66      $ 110.60   

Per share NAV end of period

   $ 107.11      $ 76.57   

Percentage change in per share NAV

     45.4     (30.8 )% 

Percentage change in benchmark

     (18.0 )%      15.0

Benchmark annualized volatility

     16.5     33.4

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse 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 708,489 outstanding Shares at June 30, 2014 to 558,489 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 758,489 outstanding Shares at June 30, 2013 to 1,508,489 outstanding Shares at September 30, 2013. 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 U.S. dollar fixing price for delivery in London.

For the three months ended September 30, 2014 and 2013, 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 45.4% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 30.8% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $107.11 per Share and reached its low for the period on July 10, 2014 at $69.31 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $107.42 per Share and reached its low for the period on August 28, 2013 at $61.41 per Share.

The benchmark’s decline of 18.0% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2013, can be attributed to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

 

  On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (129,289   $ (210,470

Management fee

     134,847        219,042   

Brokerage commissions

     9        8   

Net realized gain (loss)

     (1,121,493     6,007,983   

Change in net unrealized appreciation/depreciation

     22,946,203        (32,085,121

Net income (loss)

   $ 21,695,421      $ (26,287,608

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 14,245,423      $ 3,792,834   

NAV end of period

   $ 17,336,789      $ 7,277,390   

Percentage change in NAV

     21.7     91.9

Shares outstanding beginning of period

     400,005        100,005   

Shares outstanding end of period

     450,005        200,005   

Percentage change in shares outstanding

     12.5     100.0

Shares created

     50,000        100,000   

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 35.61      $ 37.93   

Per share NAV end of period

   $ 38.53      $ 36.39   

Percentage change in per share NAV

     8.2     (4.1 )% 

Percentage change in benchmark

     (7.8 )%      3.9

Benchmark annualized volatility

     4.8     7.6

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 400,005 outstanding Shares at June 30, 2014 to 450,005 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 2013, the increase in the Fund’s NAV resulted from an increase from 100,005 outstanding Shares at June 30, 2013 to 200,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2014 and 2013, 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 8.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 4.1% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $38.53 per Share and reached its low for the period on July 1, 2014 at $35.65 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $38.60 per Share and reached its low for the period on September 25, 2013 at $36.38 per Share.

 

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The benchmark’s decline of 7.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 3.9% for the three months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (37,429   $ (16,029

Management fee

     38,144        16,080   

Brokerage commissions

     564        287   

Net realized gain (loss)

     767,314        (39,009

Change in net unrealized appreciation/depreciation

     541,678        (208,800

Net income (loss)

   $ 1,271,563      $ (263,838

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 20,127,301      $ 23,205,856   

NAV end of period

   $ 20,645,274      $ 23,978,227   

Percentage change in NAV

     2.6     3.3

Shares outstanding beginning of period

     500,005        500,005   

Shares outstanding end of period

     450,005        550,005   

Percentage change in shares outstanding

     (10.0 )%      10.0

Shares created

     —          50,000   

Shares redeemed

     50,000        —     

Per share NAV beginning of period

   $ 40.25      $ 46.41   

Per share NAV end of period

   $ 45.88      $ 43.60   

Percentage change in per share NAV

     14.0     (6.1 )% 

Percentage change in benchmark

     (7.1 )%      2.0

Benchmark annualized volatility

     7.1     12.1

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 500,005 outstanding Shares at June 30, 2014 to 450,005 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 500,005 outstanding Shares at June 30, 2013 to 550,005 outstanding Shares at September 30, 2013. 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 Australian dollar versus the U.S. dollar.

 

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For the three months ended September 30, 2014 and 2013, 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 14.0% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 29, 2014 at $46.12 per Share and reached its low for the period on July 1, 2014 at $39.67 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 2, 2013 at $48.58 per Share and reached its low for the period on September 18, 2013 at $42.08 per Share.

The benchmark’s decline of 7.1% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2013, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (50,580   $ (59,621

Management fee

     49,101        47,611   

Brokerage commissions

     2,854        4,057   

Offering costs

     —          2,926   

Reduction to Limitation by Sponsor

     —          6,817   

Net realized gain (loss)

     549,800        389,410   

Change in net unrealized appreciation/depreciation

     2,248,917        (1,864,718

Net income (loss)

   $ 2,748,137      $ (1,534,929

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 440,156,895      $ 509,228,804   

NAV end of period

   $ 472,408,248      $ 456,760,044   

Percentage change in NAV

     7.3     (10.3 )% 

Shares outstanding beginning of period

     25,800,014        26,400,014   

Shares outstanding end of period

     23,650,014        25,750,014   

Percentage change in shares outstanding

     (8.3 )%      (2.5 )% 

Shares created

     300,000        1,400,000   

Shares redeemed

     2,450,000        2,050,000   

 

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     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Per share NAV beginning of period

   $  17.06      $  19.29   

Per share NAV end of period

   $ 19.97      $ 17.74   

Percentage change in per share NAV

     17.1     (8.0 )% 

Percentage change in benchmark

     (7.8 )%      3.9

Benchmark annualized volatility

     4.8     7.6

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 25,800,014 outstanding Shares at June 30, 2014 to 23,650,014 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 26,400,014 outstanding shares at June 30, 2013 to 25,750,014 outstanding Shares at September 30, 2013. 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, 2014 and 2013, 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 17.1% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 8.0% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $19.97 per Share and reached its low for the period on July 1, 2014 at $17.09 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $19.97 per Share and reached its low for the period on September 30, 2013 at $17.74 per Share.

The benchmark’s decline of 7.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 3.9% for the three months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (1,070,109   $ (1,130,081

Management fee

     1,111,745        1,169,113   

Net realized gain (loss)

     32,041,814        (8,623,142

Change in net unrealized appreciation/depreciation

     42,901,264        (30,661,125

Net income (loss)

   $ 73,872,969      $ (40,414,348

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar for the three months ended September 30, 2014.

 

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 353,617,215      $ 525,633,184   

NAV end of period

   $ 435,500,662      $ 463,282,138   

Percentage change in NAV

     23.2     (11.9 )% 

Shares outstanding beginning of period

     5,449,294        8,199,294   

Shares outstanding end of period

     5,749,294        7,449,294   

Percentage change in shares outstanding

     5.5     (9.1 )% 

Shares created

     900,000        100,000   

Shares redeemed

     600,000        850,000   

Per share NAV beginning of period

   $ 64.89      $ 64.11   

Per share NAV end of period

   $ 75.75      $ 62.19   

Percentage change in per share NAV

     16.7     (3.0 )% 

Percentage change in benchmark

     (7.6 )%      0.9

Benchmark annualized volatility

     5.1     11.5

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 5,449,294 outstanding Shares at June 30, 2014 to 5,749,294 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,199,294 outstanding Shares at June 30, 2013 to 7,449,294 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2014 and 2013, 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 16.7% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $75.75 per Share and reached its low for the period on July 17, 2014 at $64.75 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 5, 2013 at $66.69 per Share and reached its low for the period on August 9, 2013 at $59.91 per Share.

The benchmark’s decline of 7.6% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 0.9% for the three months ended September 30, 2013, 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, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (866,070   $ (1,164,837

Management fee

     894,941        1,205,676   

Net realized gain (loss)

     15,788,078        (5,692,393

Change in net unrealized appreciation/depreciation

     44,786,922        (8,391,501

Net income (loss)

   $ 59,708,930      $ (15,248,731

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2014.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 4,406,118      $ 3,852,327   

NAV end of period

   $ 3,405,894      $ 3,991,828   

Percentage change in NAV

     (22.7 )%      3.6

Shares outstanding beginning of period

     200,014        200,014   

Shares outstanding end of period

     200,014        200,014   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 22.03      $ 19.26   

Per share NAV end of period

   $ 17.03      $ 19.96   

Percentage change in per share NAV

     (22.7 )%      3.6

Percentage change in benchmark

     (11.8 )%      2.1

Benchmark annualized volatility

     7.8     10.4

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, 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 22.7% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 3.6% for the three months ended September 30, 2013, was primarily due to depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 2, 2014 at $21.92 per Share and reached its low for the period on September 23, 2014 at $17.01 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $21.69 per Share and reached its low for the period on August 7, 2013 at $18.99 per Share.

 

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The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.1% for the three months ended September 30, 2013, can be attributed to a depreciation of the underlying components of the index during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (8,944   $ (9,375

Management fee

     9,295        9,770   

Net realized gain (loss)

     (651,766     (85,067

Change in net unrealized appreciation/depreciation

     (339,514     233,943   

Net income (loss)

   $ (1,000,224   $ 139,501   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the Fund’s benchmark index during the three months ended September 30, 2014.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 97,943,693      $ 218,645,114   

NAV end of period

   $ 179,175,918      $ 137,074,786   

Percentage change in NAV

     82.9     (37.3 )% 

Shares outstanding beginning of period

     2,499,170        7,249,170   

Shares outstanding end of period

     5,949,170        3,949,170   

Percentage change in shares outstanding

     138.0     (45.5 )% 

Shares created

     5,200,000        1,000,000   

Shares redeemed

     1,750,000        4,300,000   

Per share NAV beginning of period

   $ 39.19      $ 30.16   

Per share NAV end of period

   $ 30.12      $ 34.71   

Percentage change in per share NAV

     (23.2 )%      15.1

Percentage change in benchmark

     (11.8 )%      7.9

Benchmark annualized volatility

     18.3     19.0

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 2,499,170 outstanding Shares at June 30, 2014 to 5,959,170 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,249,170 outstanding shares at June 30, 2013 to 3,949,170 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2014 and 2013, 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 23.2% for the three months ended September 30,

 

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2014, as compared to the Fund’s per Share NAV increase of 15.1% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $39.20 per Share and reached its low for the period on September 22, 2014 at $29.99 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 6, 2013 at $39.87 per Share and reached its low for the period on July 1, 2013 at $31.06 per Share.

The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 7.9% for the three months ended September 30, 2013, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (329,563   $ (383,510

Management fee

     333,837        391,381   

Brokerage commissions

     7,661        5,957   

Net realized gain (loss)

     (16,408,215     53,591,304   

Change in net unrealized appreciation/depreciation

     (12,477,865     (18,204,764

Net income (loss)

   $ (29,215,643   $ 35,003,030   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of WTI Crude Oil during the three months ended September 30, 2014.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 21,163,834      $ 42,142,901   

NAV end of period

   $ 69,524,710      $ 94,189,168   

Percentage change in NAV

     228.5     123.5

Shares outstanding beginning of period

     469,941        1,169,941   

Shares outstanding end of period

     1,919,941        2,919,941   

Percentage change in shares outstanding

     308.5     149.6

Shares created

     1,650,000        2,100,000   

Shares redeemed

     200,000        350,000   

Per share NAV beginning of period

   $ 45.04      $ 36.02   

Per share NAV end of period

   $ 36.21      $ 32.26   

Percentage change in per share NAV

     (19.6 )%      (10.4 )% 

Percentage change in benchmark

     (9.3 )%      (4.4 )% 

Benchmark annualized volatility

     28.0     26.5

 

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During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 469,941 outstanding Shares at June 30, 2014 to 1,919,941 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from the increase from 1,169,941 outstanding shares at June 30, 2013 to 2,919,941 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2014 and 2013, 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 19.6% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 10.4% for the three months ended September 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $44.95 per Share and reached its low for the period on September 5, 2014 at $31.77 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 18, 2013 at $41.04 per Share and reached its low for the period on August 9, 2013 at $29.45 per Share.

The benchmark’s decline of 9.3% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 4.4% for the three months ended September 30, 2013, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (128,208   $ (214,137

Management fee

     114,501        188,763   

Brokerage commissions

     17,003        31,168   

Net realized gain (loss)

     (7,086,791     (14,490,187

Change in net unrealized appreciation/depreciation

     5,767,208        9,382,834   

Net income (loss)

   $ (1,447,791   $ (5,321,490

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a significant increase in outstanding shares during the three months ended September 30, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 135,458,124      $ 139,614,500   

NAV end of period

   $ 113,006,432      $ 172,546,283   

Percentage change in NAV

     (16.6 )%      23.6

Shares outstanding beginning of period

     2,800,014        3,350,014   

 

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     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Shares outstanding end of period

     2,750,014        3,400,014   

Percentage change in shares outstanding

     (1.8)     1.5

Shares created

     100,000        350,000   

Shares redeemed

     150,000        300,000   

Per share NAV beginning of period

   $ 48.38      $ 41.68   

Per share NAV end of period

   $ 41.09      $ 50.75   

Percentage change in per share NAV

     (15.1)     21.8

Percentage change in benchmark

     (7.5)     11.3

Benchmark annualized volatility

     10.6     22.7

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,800,014 outstanding Shares at June 30, 2014 to 2,750,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 3,350,014 outstanding shares at June 30, 2013 to 3,400,014 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended September 30, 2014 and 2013, 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 15.1% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 21.8% for the three months ended September 30, 2013, was primarily due to the depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 10, 2014 at $50.21 per Share and reached its low for the period on September 22, 2014 at $40.91 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $58.48 per Share and reached its low for the period on July 5, 2013 at $43.01 per Share.

The benchmark’s decline of 7.5% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 11.3% for the three months ended September 30, 2013, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (293,686   $ (391,586

Management fee

     307,247        409,677   

Brokerage commissions

     8        8   

Net realized gain (loss)

     1,376,176        (5,907,842

Change in net unrealized appreciation/depreciation

     (21,378,723     36,572,797   

Net income (loss)

   $ (20,296,233   $ 30,273,369   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

 

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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, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 501,002,636      $ 425,855,952   

NAV end of period

   $ 357,175,403      $ 553,925,429   

Percentage change in NAV

     (28.7 )%      30.1

Shares outstanding beginning of period

     7,146,533        6,762,507   

Shares outstanding end of period

     7,696,533        6,900,007   

Percentage change in shares outstanding

     7.7     2.0

Shares created

     900,000        750,000   

Shares redeemed

     350,000        612,500   

Per share NAV beginning of period

   $ 70.10      $ 62.97   

Per share NAV end of period

   $ 46.41      $ 80.28   

Percentage change in per share NAV

     (33.8 )%      27.5

Percentage change in benchmark

     (18.0 )%      15.0

Benchmark annualized volatility

     16.5     33.4

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,146,533 outstanding Shares at June 30, 2014 to 7,696,533 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 6,762,507 outstanding shares at June 30, 2013 to 6,900,007 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended September 30, 2014 and 2013, 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 33.8% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 27.5% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 10, 2014 at $74.31 per Share and reached its low for the period on September 30, 2014 at $46.41 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $106.31 per Share and reached its low for the period on July 9, 2013 at $64.45 per Share.

The benchmark’s decline of 18.0% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2013, can be attributed to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

 

  On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (1,023,432   $ (1,265,741

Management fee

     1,064,643        1,317,246   

Brokerage commissions

     5        8   

Net realized gain (loss)

     9,487,791        28,405,829   

Change in net unrealized appreciation/depreciation

     (178,527,065     96,493,783   

Net income (loss)

   $ (170,062,706   $ 123,633,871   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

 

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

ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 3,592,189      $ 3,283,396   

NAV end of period

   $ 3,118,670      $ 3,429,398   

Percentage change in NAV

     (13.2 )%      4.4

Shares outstanding beginning of period

     100,005        100,005   

Shares outstanding end of period

     100,005        100,005   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 35.92      $ 32.83   

Per share NAV end of period

   $ 31.19      $ 34.29   

Percentage change in per share NAV

     (13.2 )%      4.4

Percentage change in benchmark

     (7.1 )%      2.0

Benchmark annualized volatility

     7.1     12.1

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, 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 13.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 4.4% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $36.44 per Share and reached its low for the period on September 29, 2014 at $31.03 per Share. By comparison, during the three

 

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months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $35.56 per Share and reached its low for the period on August 2, 2013 at $31.10 per Share.

The benchmark’s decline of 7.1% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2013, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (8,369   $ (8,041

Management fee

     8,338        6,535   

Brokerage commissions

     378        394   

Offering costs

     —          2,926   

Limitation by Sponsor

     —          (1,572

Net realized gain (loss)

     (80,701     (123,121

Change in net unrealized appreciation/depreciation

     (384,449     277,164   

Net income (loss)

   $ (473,519   $ 146,002   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 2,566,901      $ 3,521,494   

NAV end of period

   $ 2,176,269      $ 2,525,460   

Percentage change in NAV

     (15.2 )%      (28.3 )% 

Shares outstanding beginning of period

     100,014        150,014   

Shares outstanding end of period

     100,014        100,014   

Percentage change in shares outstanding

     0.0     (33.3)

Shares created

     —          —     

Shares redeemed

     —          50,000   

Per share NAV beginning of period

   $ 25.67      $ 23.47   

Per share NAV end of period

   $ 21.76      $ 25.25   

Percentage change in per share NAV

     (15.2 )%      7.6

Percentage change in benchmark

     (7.8 )%      3.9

Benchmark annualized volatility

     4.8     7.6

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 150,014 outstanding Shares at June 30, 2013 to 100,014 outstanding Shares at September 30, 2013. 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.

 

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For the three months ended September 30, 2014 and 2013, 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 15.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $25.61 per Share and reached its low for the period on September 30, 2014 at $21.76 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 19, 2013 at $25.25 per Share and reached its low for the period on July 9, 2013 at $22.64 per Share.

The benchmark’s decline of 7.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 3.9% for the three months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (5,529   $ (8,123

Management fee

     5,760        8,494   

Net realized gain (loss)

     (172,545     41,114   

Change in net unrealized appreciation/depreciation

     (212,558     227,594   

Net income (loss)

   $ (390,632   $ 260,585   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 1,997,051      $ 3,183,279   

NAV end of period

   $ 1,697,164      $ 3,221,062   

Percentage change in NAV

     (15.0 )%      1.2

Shares outstanding beginning of period

     100,014        150,014   

Shares outstanding end of period

     100,014        150,014   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 19.97      $ 21.22   

Per share NAV end of period

   $ 16.97      $ 21.47   

Percentage change in per share NAV

     (15.0 )%      1.2

Percentage change in benchmark

     (7.6 )%      0.9

Benchmark annualized volatility

     5.1     11.5

 

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During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, 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, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, 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 15.0% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 17, 2014 at $19.99 per Share and reached its low for the period on September 30, 2014 at $16.97 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 9, 2013 at $22.50 per Share and reached its low for the period on July 5, 2013 at $20.37 per Share.

The benchmark’s decline of 7.6% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 0.9% for the three months ended September 30, 2013, 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, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (4,379   $ (7,357

Management fee

     4,546        7,652   

Net realized gain (loss)

     (86,445     (20,236

Change in net unrealized appreciation/depreciation

     (209,063     65,376   

Net income (loss)

   $ (299,887   $ 37,783   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2014.

 

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ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 98,364,760      $ 174,808,019   

NAV end of period

   $  140,018,132      $  167,085,628   

Percentage change in NAV

     42.3     (4.4 )% 

Shares outstanding beginning of period

     5,174,812        3,124,812   

Shares outstanding end of period

     6,724,812        4,224,812   

Percentage change in shares outstanding

     30.0     35.2

Shares created

     3,475,000        2,900,000   

Shares redeemed

     1,925,000        1,800,000   

Per share NAV beginning of period

   $ 19.01      $ 55.94   

Per share NAV end of period

   $ 20.82      $ 39.55   

Percentage change in per share NAV

     9.5     (29.3 )% 

Percentage change in benchmark

     9.8     (28.9 )% 

Benchmark annualized volatility

     52.7     40.8

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 5,174,812 outstanding Shares at June 30, 2014 to 6,724,812 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 3,124,812 outstanding Shares at June 30, 2013 to 4,224,812 outstanding Shares at September 30, 2013.

For the three months ended September 30, 2014 and 2013, 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 increase of 9.5% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 29.3% for the three months ended September 30, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $23.20 per Share and reached its low for the period on September 18, 2014 at $18.06 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $54.66 per Share and reached its low for the period on September 18, 2013 at $36.35 per Share.

The benchmark’s rise of 9.8% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 28.9% for the three months ended September 30, 2013, can be attributed to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (253,370   $ (354,687

Management fee

     235,234        365,398   

Brokerage commissions

     24,499        —     

Net realized gain (loss)

     (2,987,868     (58,621,766

Change in net unrealized appreciation/depreciation

     19,042,796        1,991,315   

Net income (loss)

   $ 15,801,558      $ (56,985,138

 

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The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

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, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 40,535,994      $ 72,133,381   

NAV end of period

   $ 45,613,786      $ 96,765,151   

Percentage change in NAV

     12.5     34.1

Shares outstanding beginning of period

     656,251        637,501   

Shares outstanding end of period

     712,501        1,043,751   

Percentage change in shares outstanding

     8.6     63.7

Shares created

     118,750        625,000   

Shares redeemed

     62,500        218,750   

Per share NAV beginning of period

   $ 61.77      $ 113.15   

Per share NAV end of period

   $ 64.02      $ 92.71   

Percentage change in per share NAV

     3.6     (18.1 )% 

Percentage change in benchmark

     4.0     (17.9 )% 

Benchmark annualized volatility

     23.4     24.3

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 656,251 outstanding Shares at June 30, 2014 to 712,501 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 637,501 outstanding Shares at June 30, 2013 to 1,043,751 outstanding Shares at September 30, 2013. 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, 2014 and 2013, 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 increase of 3.6% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 18.1% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $66.93 per Share and reached its low for the period on August 19, 2014 at $58.76 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 2, 2013 at $112.18 per Share and reached its low for the period on September 18, 2013 at $88.44 per Share.

The benchmark’s rise of 4.0% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 17.9% for the three months ended September 30, 2013, can be attributed to a rise 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, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (92,236   $ (165,692

Management fee

     92,676        172,413   

Brokerage commissions

     2,966        —     

Net realized gain (loss)

     (4,036,024     (6,927,757

Change in net unrealized appreciation/depreciation

     5,997,445        (6,309,282

Net income (loss)

   $ 1,869,185      $ (13,402,731

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise 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, 2014.

* See Note 9 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares VIX Mid-Term Futures ETF.

ProShares 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, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 295,261,247      $ 215,235,917   

NAV end of period

   $ 258,077,177      $ 286,200,633   

Percentage change in NAV

     (12.6 )%      33.0

Shares outstanding beginning of period

     11,120,099        747,389   

Shares outstanding end of period

     8,670,099        2,072,389   

Percentage change in shares outstanding

     (22.0 )%      177.3

Shares created

     11,700,000        2,762,500   

Shares redeemed

     14,150,000        1,437,500   

Per share NAV beginning of period

   $ 26.55      $ 287.98   

Per share NAV end of period

   $ 29.77      $ 138.10   

Percentage change in per share NAV

     12.1     (52.0 )% 

Percentage change in benchmark

     9.8     (28.9 )% 

Benchmark annualized volatility

     52.7     40.8

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 11,120,099 outstanding Shares at June 30, 2014 to 8,670,099 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 747,389 outstanding Shares at June 30, 2013 to 2,072,389 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2014 and 2013, 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 12.1% for the three months ended September 30,

 

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2014, as compared to the Fund’s per Share NAV decrease of 52.0% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $38.10 per Share and reached its low for the period on September 18, 2014 at $22.73 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $274.79 per Share and reached its low for the period on September 18, 2013 at $117.13 per Share.

The benchmark’s rise of 9.8% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 28.9% for the three months ended September 30, 2013, can be attributed to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (1,308,139   $ (1,259,552

Management fee

     689,515        667,541   

Brokerage commissions

     632,234        602,808   

Net realized gain (loss)

     (4,709,504     (197,361,289

Change in net unrealized appreciation/depreciation

     89,179,537        9,756,983   

Net income (loss)

   $ 83,161,894      $ (188,863,858

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

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

ProShares 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, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

NAV beginning of period

   $ 181,236,514      $ 117,395,722   

NAV end of period

   $ 310,478,773      $ 94,516,078   

Percentage change in NAV

     71.3     (19.5 )% 

Shares outstanding beginning of period

     2,050,040        3,000,040   

Shares outstanding end of period

     4,150,040        1,800,040   

Percentage change in shares outstanding

     102.4     (40.0 )% 

Shares created

     4,450,000        1,500,000   

Shares redeemed

     2,350,000        2,700,000   

Per share NAV beginning of period

   $ 88.41      $ 39.13   

Per share NAV end of period

   $ 74.81      $ 52.51   

Percentage change in per share NAV

     (15.4 )%      34.2

Percentage change in benchmark

     9.8     (28.9 )% 

Benchmark annualized volatility

     52.7     40.8

 

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During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 2,050,040 outstanding Shares at June 30, 2014 to 4,150,040 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 3,000,040 outstanding Shares at June 30, 2013 to 1,800,040 outstanding Shares at September 30, 2013. 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, 2014 and 2013, 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 15.4% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 34.2% for the three months ended September 30, 2013, was primarily due to depreciation in the value of the assets of the fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 3, 2014 at $92.60 per Share and reached its low for the period on August 7, 2014 at $69.91 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $57.44 per Share and reached its low for the period on July 1, 2013 at $40.02 per Share.

The benchmark’s rise of 9.8% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 28.9% for the three months ended September 30, 2013, can be attributed to a rise in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:

 

     Three Months Ended
September 30, 2014
    Three Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (989,160   $ (339,271

Management fee

     620,236        212,926   

Brokerage commissions

     385,191        132,363   

Net realized gain (loss)

     18,154,494        37,635,709   

Change in net unrealized appreciation/depreciation

     (33,971,541     (2,813,145

Net income (loss)

   $ (16,806,207   $ 34,483,293   

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

* 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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Results of Operations for the Nine Months Ended September 30, 2014 Compared to the Nine Months Ended September 30, 2013

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 3,797,427      $ 3,245,965   

NAV end of period

   $ 4,149,184      $ 3,746,428   

Percentage change in NAV

     9.3     15.4

Shares outstanding beginning of period

     59,997        59,997   

Shares outstanding end of period

     59,997        59,997   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 63.29      $ 54.10   

Per share NAV end of period

   $ 69.16      $ 62.44   

Percentage change in per share NAV

     9.3     15.4

Percentage change in benchmark

     (5.6 )%      (8.6 )% 

Benchmark annualized volatility

     8.4     10.8

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to September 30, 2014. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to September 30, 2013.

For the nine months ended September 30, 2014 and 2013, 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 9.3% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 15.4% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 23, 2014 at $69.36 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 7, 2013 at $66.37 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share.

The benchmark’s decline of 5.6% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 8.6% for the nine months ended September 30, 2013, can be attributed to a lesser depreciation of the underlying components of the index during the nine months ended September 30, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (23,790   $ (23,250

Management fee

     24,737        24,901   

Net realized gain (loss)

     (3,519     472,355   

Change in net unrealized appreciation/depreciation

     379,066        51,358   

Net income (loss)

   $ 351,757      $ 500,463   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the Fund’s benchmark index during the nine months ended September 30, 2014.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 256,060,149      $ 89,481,266   

NAV end of period

   $ 196,140,063      $ 442,461,028   

Percentage change in NAV

     (23.4 )%      394.5

Shares outstanding beginning of period

     8,069,944        2,219,944   

Shares outstanding end of period

     6,369,944        14,619,944   

Percentage change in shares outstanding

     (21.1 )%      558.6

Shares created

     14,850,000        22,350,000   

Shares redeemed

     16,550,000        9,950,000   

Per share NAV beginning of period

   $ 31.73      $ 40.31   

Per share NAV end of period

   $ 30.79      $ 30.26   

Percentage change in per share NAV

     (3.0 )%      (24.9 )% 

Percentage change in benchmark

     (1.8 )%      10.6

Benchmark annualized volatility

     16.0     18.6

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 8,069,944 outstanding Shares at December 31, 2013 to 6,369,944 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 14,619,944 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2014 and 2013, 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 3.0% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 24.9% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 17, 2013 at $45.45 per Share and reached its low for the period on September 6, 2013 at $26.59 per Share.

 

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The benchmark’s decline of 1.8% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 10.6% for the nine months ended September 30, 2013, can be attributed to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (2,067,933   $ (1,796,450

Management fee

     2,113,748        1,830,070   

Brokerage commission

     55,085        49,006   

Net realized gain (loss)

     (1,278,263     (91,271,858

Change in net unrealized appreciation/depreciation

     11,391,293        53,049,617   

Net income (loss)

   $ 8,045,097      $ (40,018,691

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 22,734,767      $ 12,768,340   

NAV end of period

   $ 19,683,020      $ 16,035,027   

Percentage change in NAV

     (13.4 )%      25.6

Shares outstanding beginning of period

     324,952        125,008   

Shares outstanding end of period

     424,952        174,952   

Percentage change in shares outstanding

     30.8     40.0

Shares created

     2,400,000        387,500   

Shares redeemed

     2,300,000        337,556   

Per share NAV beginning of period

   $ 69.96      $ 102.14   

Per share NAV end of period

   $ 46.32      $ 91.65   

Percentage change in per share NAV

     (33.8 )%      (10.3 )% 

Percentage change in benchmark

     2.6     (5.4 )% 

Benchmark annualized volatility

     39.3     30.8

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 324,952 outstanding Shares at December 31, 2013 to 424,952 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 174,952 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted from by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

 

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For the nine months ended September 30, 2014 and 2013, 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 33.8% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 10.3% for the nine months ended September 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 9, 2013 at $116.81 per Share and reached its low for the period on April 19, 2013 at $59.27 per Share.

The benchmark’s rise of 2.6% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 5.4% for the nine months ended September 30, 2013, can be attributed to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (413,886   $ (166,191

Management fee

     352,678        137,353   

Brokerage commission

     76,540        36,055   

Net realized gain (loss)

     2,737,682        255,984   

Change in net unrealized appreciation/depreciation

     (2,912,004     57,806   

Net income (loss)

   $ (588,208   $ 147,599   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 139,436,456      $ 92,416,742   

NAV end of period

   $ 82,095,909      $ 145,113,410   

Percentage change in NAV

     (41.1 )%      57.0

Shares outstanding beginning of period

     1,346,978        1,446,978   

Shares outstanding end of period

     846,978        1,646,978   

Percentage change in shares outstanding

     (37.1 )%      13.8

Shares created

     450,000        1,750,000   

Shares redeemed

     950,000        1,550,000   

Per share NAV beginning of period

   $ 103.52      $ 63.87   

Per share NAV end of period

   $ 96.93      $ 88.11   

Percentage change in per share NAV

     (6.4 )%      38.0

Percentage change in benchmark

     1.0     (20.0 )% 

Benchmark annualized volatility

     12.4     22.5

 

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During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 846,978 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,646,978 outstanding Shares at September 30, 2013. 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 gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the nine months ended September 30, 2014 and 2013, 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 6.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 38.0% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $114.11 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share.

The benchmark’s rise of 1.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 20.0% for the nine months ended September 30, 2013, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (654,933   $ (843,885

Management fee

     689,861        892,226   

Brokerage commission

     32        32   

Net realized gain (loss)

     (12,647,502     39,766,657   

Change in net unrealized appreciation/depreciation

     (25,284     4,026,909   

Net income (loss)

   $ (13,327,719   $ 42,949,681   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
     Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 112,989,686       $ 100,656,703   

NAV end of period

   $ 59,820,800       $ 115,501,076   

 

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     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Percentage change in NAV

     (47.1 )%      14.7

Shares outstanding beginning of period

     1,258,489        1,958,489   

Shares outstanding end of period

     558,489        1,508,489   

Percentage change in shares outstanding

     (55.6 )%      (23.0 )% 

Shares created

     800,000        3,050,000   

Shares redeemed

     1,500,000        3,500,000   

Per share NAV beginning of period

   $ 89.78      $ 51.40   

Per share NAV end of period

   $ 107.11      $ 76.57   

Percentage change in per share NAV

     19.3     49.0

Percentage change in benchmark

     (12.3 )%      (27.6 )% 

Benchmark annualized volatility

     19.5     33.1

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 558,489 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the nine months ended September 30, 2013, 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 silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 1,958,489 outstanding Shares at December 31, 2012 to 1,508,489 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, 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 19.3% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 49.0% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $107.11 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on June 27, 2013 at $113.67 per Share and reached its low for the period on January 23, 2013 at $43.72 per Share.

The benchmark’s decline of 12.3% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 27.6% for the nine months ended September 30, 2013, can be attributed to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

 

  On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (453,626   $ (712,063

Management fee

     479,955        759,657   

Brokerage commission

     33        32   

Net realized gain (loss)

     (1,278,772     86,830,919   

Change in net unrealized appreciation/depreciation

     14,577,833        (10,271,469

Net income (loss)

   $ 12,845,435      $ 75,847,387   

 

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The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 8,896,842      $ 3,763,040   

NAV end of period

   $ 17,336,789      $ 7,277,390   

Percentage change in NAV

     94.9     93.4

Shares outstanding beginning of period

     250,005        100,005   

Shares outstanding end of period

     450,005        200,005   

Percentage change in shares outstanding

     80.0     100.0

Shares created

     250,000        100,000   

Shares redeemed

     50,000        —     

Per share NAV beginning of period

   $ 35.59      $ 37.63   

Per share NAV end of period

   $ 38.53      $ 36.39   

Percentage change in per share NAV

     8.3     (3.3 )% 

Percentage change in benchmark

     (8.2 )%      2.5

Benchmark annualized volatility

     5.0     8.0

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 250,005 outstanding Shares at December 31, 2013 to 450,005 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 200,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2014 and 2013, 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 8.3% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 3.3% for the nine months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $38.53 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $38.76 per Share and reached its low for the period on February 1, 2013 at $36.34 per Share.

The benchmark’s decline of 8.2% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 2.5% for the nine months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (81,283   $ (33,006

Management fee

     83,705        16,573   

Brokerage commission

     1,262        517   

Offering costs

     —          45,511   

Limitation by Sponsor

     —          (28,232

Net realized gain (loss)

     926,106        (114,800

Change in net unrealized appreciation/depreciation

     463,426        (86,238

Net income (loss)

   $ 1,308,249      $ (234,044

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar in conjunction with an increase in shares outstanding during the nine months ended September 30, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 27,983,279      $ 3,780,999   

NAV end of period

   $ 20,645,274      $ 23,978,227   

Percentage change in NAV

     (26.2 )%      534.2

Shares outstanding beginning of period

     600,005        100,005   

Shares outstanding end of period

     450,005        550,005   

Percentage change in shares outstanding

     (25.0 )%      450.0

Shares created

     —          450,000   

Shares redeemed

     150,000        —     

Per share NAV beginning of period

   $ 46.64      $ 37.81   

Per share NAV end of period

   $ 45.88      $ 43.60   

Percentage change in per share NAV

     (1.6 )%      15.3

Percentage change in benchmark

     (2.0 )%      (10.3 )% 

Benchmark annualized volatility

     7.7     10.6

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 450,005 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 550,005 outstanding Shares at September 30, 2013. 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 spot price of the Australian Dollar versus the U.S. Dollar.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.6% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 15.3% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

 

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During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on July 1, 2014 at $39.67 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 2, 2013 at $48.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share.

The benchmark’s decline of 2.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 10.3% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (159,320   $ (98,659

Management fee

     157,466        47,611   

Brokerage commission

     9,220        7,836   

Offering costs

     —          47,870   

Limitation by Sponsor

     —          (1,259

Net realized gain (loss)

     (1,375,251     2,294,668   

Change in net unrealized appreciation/depreciation

     966,993        (551,893

Net income (loss)

   $ (567,578   $ 1,644,116   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 418,001,115      $ 526,778,026   

NAV end of period

   $ 472,408,248      $ 456,760,044   

Percentage change in NAV

     13.0     (13.3 )% 

Shares outstanding beginning of period

     24,500,014        27,700,014   

Shares outstanding end of period

     23,650,014        25,750,014   

Percentage change in shares outstanding

     (3.5 )%      (7.0 )% 

Shares created

     2,550,000        6,250,000   

Shares redeemed

     3,400,000        8,200,000   

Per share NAV beginning of period

   $ 17.06      $ 19.02   

Per share NAV end of period

   $ 19.97      $ 17.74   

Percentage change in per share NAV

     17.1     (6.7 )% 

Percentage change in benchmark

     (8.2 )%      2.5

Benchmark annualized volatility

     5.0     8.0

 

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During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 24,500,014 outstanding Shares at December 31, 2013 to 23,650,014 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 25,750,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also 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.

For the nine months ended September 30, 2014 and 2013, 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 17.1% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 6.7% for the nine months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $19.97 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $20.16 per Share and reached its low for the period on February 1, 2013 at $17.72 per Share.

The benchmark’s decline of 8.2% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 2.5% for the nine months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (2,919,876   $ (3,374,312

Management fee

     3,090,163        3,553,447   

Net realized gain (loss)

     25,749,214        (19,715,453

Change in net unrealized appreciation/depreciation

     51,047,636        (12,790,424

Net income (loss)

   $ 73,876,974      $ (35,880,189

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar for the nine months ended September 30, 2014.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 588,121,516      $ 408,563,630   

NAV end of period

   $ 435,500,662      $ 463,282,138   

Percentage change in NAV

     (26.0 )%      13.4

Shares outstanding beginning of period

     8,299,294        8,049,294   

 

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     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Shares outstanding end of period

     5,749,294        7,449,294   

Percentage change in shares outstanding

     (30.7 )%      (7.5 )% 

Shares created

     1,350,000        4,300,000   

Shares redeemed

     3,900,000        4,900,000   

Per share NAV beginning of period

   $ 70.86      $ 50.76   

Per share NAV end of period

   $ 75.75      $ 62.19   

Percentage change in per share NAV

     6.9     22 .5

Percentage change in benchmark

     (4.0 )%      (11.8 )% 

Benchmark annualized volatility

     6.3     13.4

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,749,294 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 8,049,294 outstanding Shares at December 31, 2012 to 7,449,294 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, 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 6.9% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 22.5% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $75.75 per Share and reached its low for the period on July 17, 2014 at $64.75 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on May 17, 2013 at $70.23 per Share and reached its low for the period on January 8, 2013 at $51.09 per Share.

The benchmark’s decline of 4.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 11.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (2,636,773   $ (3,278,808

Management fee

     2,800,653        3,450,237   

Net realized gain (loss)

     15,965,501        139,337,127   

Change in net unrealized appreciation/depreciation

     5,712,611        (50,643,634

Net income (loss)

   $ 19,041,339      $ 85,414,685   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

 

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ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 2,915,034      $ 6,097,211   

NAV end of period

   $ 3,405,894      $ 3,991,828   

Percentage change in NAV

     16.8     (34.5 )% 

Shares outstanding beginning of period

     150,014        250,014   

Shares outstanding end of period

     200,014        200,014   

Percentage change in shares outstanding

     33.3     (20.0 )% 

Shares created

     50,000        —     

Shares redeemed

     —          50,000   

Per share NAV beginning of period

   $ 19.43      $ 24.39   

Per share NAV end of period

   $ 17.03      $ 19.96   

Percentage change in per share NAV

     (12.4 )%      (18.2 )% 

Percentage change in benchmark

     (5.6 )%      (8.6 )% 

Benchmark annualized volatility

     8.4     10.8

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2013 to 200,014 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,014 outstanding shares at December 31, 2012 to 200,014 outstanding Shares at September 30, 2013. 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 Commodity Index.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 18.2% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $23.45 per Share and reached its low for the period on September 23, 2014 at $17.01 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $25.72 per Share and reached its low for the period on August 7, 2013 at $18.99 per Share.

The benchmark’s decline of 5.6% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 8.6% for the nine months ended September 30, 2013, can be attributed to a lesser depreciation of the underlying components of the index during the nine months ended September 30, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (23,639   $ (30,577

Management fee

     24,709        32,386   

Net realized gain (loss)

     (274,820     (868,012

Change in net unrealized appreciation/depreciation

     (345,597     68,819   

Net income (loss)

   $ (644,056   $ (829,770

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to lesser decrease in the Fund’s benchmark index during the nine months ended September 30, 2014.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 142,773,429      $ 483,508,964   

NAV end of period

   $ 179,175,918      $ 137,074,786   

Percentage change in NAV

     25.5     (71.7 )% 

Shares outstanding beginning of period

     4,449,170        16,449,170   

Shares outstanding end of period

     5,949,170        3,949,170   

Percentage change in shares outstanding

     33.7     (76.0 )% 

Shares created

     10,400,000        7,700,000   

Shares redeemed

     8,900,000        20,200,000   

Per share NAV beginning of period

   $ 32.09      $ 29.39   

Per share NAV end of period

   $ 30.12      $ 34.71   

Percentage change in per share NAV

     (6.1 )%      18.1

Percentage change in benchmark

     (1.8 )%      10.6

Benchmark annualized volatility

     16.0     18.6

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 4,449,170 outstanding Shares at December 31, 2013 to 5,949,170 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 3,949,170 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2014 and 2013, 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 6.1% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 18.1% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $40.14 per Share and reached its low for the period on January 9, 2014 at $27.85 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 6, 2013 at $39.87 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share.

 

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The benchmark’s decline of 1.8% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 10.6% for the nine months ended September 30, 2013, can be attributed to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (887,576   $ (1,830,880

Management fee

     908,339        1,902,343   

Brokerage commission

     24,160        44,268   

Net realized gain (loss)

     14,607,512        140,898,148   

Change in net unrealized appreciation/depreciation

     (9,838,947     (69,016,005

Net income (loss)

   $ 3,880,989      $ 70,051,263   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 62,915,779      $ 73,019,370   

NAV end of period

   $ 69,524,710      $ 94,189,168   

Percentage change in NAV

     10.5     29.0

Shares outstanding beginning of period

     1,619,941        1,869,941   

Shares outstanding end of period

     1,919,941        2,919,941   

Percentage change in shares outstanding

     18.5     56.2

Shares created

     2,050,000        3,750,000   

Shares redeemed

     1,750,000        2,700,000   

Per share NAV beginning of period

   $ 38.84      $ 39.05   

Per share NAV end of period

   $ 36.21      $ 32.26   

Percentage change in per share NAV

     (6.8 )%      (17.4 )% 

Percentage change in benchmark

     2.6     (5.4 )% 

Benchmark annualized volatility

     39.3     30.8

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 1,619,941 outstanding Shares at December 31, 2013 to 1,919,941 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,869,941 outstanding Shares at December 31, 2012 to 2,919,941 outstanding Shares at September 30, 2013. 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.

 

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For the nine months ended September 30, 2014 and 2013, 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 6.8% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 17.4% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $63.78 per Share and reached its low for the period on September 5, 2014 at $31.77 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 19, 2013 at $59.32 per Share and reached its low for the period on August 9, 2013 at $29.45 per Share.

The benchmark’s rise of 2.6% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 5.4% for the nine months ended September 30, 2013, can be attributed to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (297,487   $ (523,698

Management fee

     264,587        458,553   

Brokerage commission

     44,280        87,565   

Net realized gain (loss)

     9,882,248        415,531   

Change in net unrealized appreciation/depreciation

     8,010,121        7,251,831   

Net income (loss)

   $ 17,594,882      $ 7,143,664   

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 132,017,405      $ 335,054,752   

NAV end of period

   $ 113,006,432      $ 172,546,283   

Percentage change in NAV

     (14.4 )%      (48.5 )% 

Shares outstanding beginning of period

     3,200,014        4,000,014   

Shares outstanding end of period

     2,750,014        3,400,014   

Percentage change in shares outstanding

     (14.1 )%      (15.0 )% 

Shares created

     250,000        550,000   

Shares redeemed

     700,000        1,150,000   

Per share NAV beginning of period

   $ 41.26      $ 83.76   

Per share NAV end of period

   $ 41.09      $ 50.75   

Percentage change in per share NAV

     (0.4 )%      (39.4 )% 

Percentage change in benchmark

     1.0     (20.0 )% 

Benchmark annualized volatility

     12.4     22.5

 

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During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,750,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,000,014 outstanding Shares at December 31, 2012 to 3,400,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 39.4% for the nine months ended September 30, 2013, was primarily due to the lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on September 22, 2014 at $40.91 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 2, 2013 at $87.40 per Share and reached its low for the period on June 28, 2013 at $41.68 per Share.

The benchmark’s rise of 1.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 20.0% for the nine months ended September 30, 2013, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (908,315   $ (1,573,347

Management fee

     953,309        1,692,282   

Brokerage commission

     32        32   

Net realized gain (loss)

     3,321,383        (124,323,199

Change in net unrealized appreciation/depreciation

     (1,312,308     (1,525,551

Net income (loss)

   $ 1,100,760      $ (127,422,097

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
     Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 465,479,519       $ 747,725,400   

NAV end of period

   $ 357,175,403       $ 553,925,429   

 

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     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Percentage change in NAV

     (23.3 )%      (25.9 )% 

Shares outstanding beginning of period

     7,350,007        4,350,007   

Shares outstanding end of period

     7,696,533        6,900,007   

Percentage change in shares outstanding

     4.7     58.6

Shares created

     2,087,500        3,387,500   

Shares redeemed

     1,740,974        837,500   

Per share NAV beginning of period

   $ 63.33      $ 171.89   

Per share NAV end of period

   $ 46.41      $ 80.28   

Percentage change in per share NAV

     (26.7 )%      (53.3 )% 

Percentage change in benchmark

     (12.3 )%      (27.6 )% 

Benchmark annualized volatility

     19.5     33.1

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,350,007 outstanding Shares at December 31, 2013 to 7,696,533 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, 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 silver bullion as measured by the U.S. dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 4,350,007 outstanding Shares at December 31, 2012 to 6,900,007 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, 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 26.7% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 53.3% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on September 30, 2014 at $46.41 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 23, 2013 at $197.58 per Share and reached its low for the period on June 27, 2013 at $61.33 per Share.

The benchmark’s decline of 12.3% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 27.6% for the nine months ended September 30, 2013, can be attributed to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

 

  On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (3,195,942   $ (4,096,782

Management fee

     3,351,080        4,410,160   

Brokerage commission

     35        28   

Net realized gain (loss)

     (22,790,907     (509,870,331

Change in net unrealized appreciation/depreciation

     (89,127,152     65,645,670   

Net income (loss)

   $ (115,114,001   $ (448,321,443

 

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The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

 

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

ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 3,168,165      $ 4,150,068   

NAV end of period

   $ 3,118,670      $ 3,429,398   

Percentage change in NAV

     (1.6 )%      (17.4 )% 

Shares outstanding beginning of period

     100,005        100,005   

Shares outstanding end of period

     100,005        100,005   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 31.68      $ 41.50   

Per share NAV end of period

   $ 31.19      $ 34.29   

Percentage change in per share NAV

     (1.5 )%      (17.4 )% 

Percentage change in benchmark

     (2.0 )%      (10.3 )% 

Benchmark annualized volatility

     7.7     10.6

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2012 to September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.5% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 17.4% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $36.44 per Share and reached its low for the period on January 24, 2014 at $30.12 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 11, 2013 at $43.27 per Share and reached its low for the period on August 2, 2013 at $31.10 per Share.

The benchmark’s decline of 2.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 10.3% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (23,842   $ (26,628

Management fee

     24,141        6,535   

Brokerage commission

     1,134        1,171   

Offering costs

     —          47,870   

Limitation by Sponsor

     —          (27,636

Net realized gain (loss)

     177,542        (863,011

Change in net unrealized appreciation/depreciation

     (203,195     168,969   

Net income (loss)

   $ (49,495   $ (720,670

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 2,603,827      $ 4,870,316   

NAV end of period

   $ 2,176,269      $ 2,525,460   

Percentage change in NAV

     (16.4 )%      (48.1 )% 

Shares outstanding beginning of period

     100,014        200,014   

Shares outstanding end of period

     100,014        100,014   

Percentage change in shares outstanding

     0.0     (50.0 )% 

Shares created

     —          —     

Shares redeemed

     —          100,000   

Per share NAV beginning of period

   $ 26.03      $ 24.35   

Per share NAV end of period

   $ 21.76      $ 25.25   

Percentage change in per share NAV

     (16.4 )%      3.7

Percentage change in benchmark

     (8.2 )%      2.5

Benchmark annualized volatility

     5.0     8.0

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 200,014 outstanding Shares at December 31, 2012 to 100,014 outstanding Shares at September 30, 2013. 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.

 

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For the nine months ended September 30, 2014 and 2013, 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 16.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on September 30, 2014 at $21.76 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on February 1, 2013 at $26.03 per Share and reached its low for the period on July 9, 2013 at $22.64 per Share.

The benchmark’s decline of 8.2% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 2.5% for the nine months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (16,972   $ (26,990

Management fee

     17,908        28,458   

Net realized gain (loss)

     (127,660     12,752   

Change in net unrealized appreciation/depreciation

     (282,926     103,308   

Net income (loss)

   $ (427,558   $ 89,070   

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 2,795,026      $ 4,227,995   

NAV end of period

   $ 1,697,164      $ 3,221,062   

Percentage change in NAV

     (39.3 )%      (23.8 )% 

Shares outstanding beginning of period

     150,014        150,014   

Shares outstanding end of period

     100,014        150,014   

Percentage change in shares outstanding

     (33.3 )%      0.0

Shares created

     —          50,000   

Shares redeemed

     50,000        50,000   

Per share NAV beginning of period

   $ 18.63      $ 28.18   

Per share NAV end of period

   $ 16.97      $ 21.47   

Percentage change in per share NAV

     (8.9 )%      (23.8 )% 

Percentage change in benchmark

     (4.0 )%      (11.8 )% 

Benchmark annualized volatility

     6.3     13.4

 

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During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 150,014 outstanding Shares at December 31, 2013 to 100,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2013, 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 December 31, 2012 to September 30, 2013.

For the nine months ended September 30, 2014 and 2013, 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 8.9% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 23.8% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $20.21 per Share and reached its low for the period on September 30, 2014 at $16.97 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 8, 2013 at $27.97 per Share and reached its low for the period on May 17, 2013 at $19.65 per Share.

The benchmark’s decline of 4.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 11.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (16,867   $ (24,644

Management fee

     17,855        26,182   

Net realized gain (loss)

     (107,963     (1,694,755

Change in net unrealized appreciation/depreciation

     2,618        569,644   

Net income (loss)

   $ (122,212   $ (1,149,755

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

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, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 270,398,554      $ 137,657,464   

NAV end of period

   $ 140,018,132      $ 167,085,628   

Percentage change in NAV

     (48.2 )%      21.4

Shares outstanding beginning of period

     9,474,812        1,640,001   

Shares outstanding end of period

     6,724,812        4,224,812   

 

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     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Percentage change in shares outstanding

     (29.0 )%      157.6

Shares created

     7,350,000        8,170,000   

Shares redeemed

     10,100,000        5,585,189   

Per share NAV beginning of period

   $ 28.54      $ 83.94   

Per share NAV end of period

   $ 20.82      $ 39.55   

Percentage change in per share NAV

     (27.0 )%      (52.9 )% 

Percentage change in benchmark

     (26.2 )%      (52.8 )% 

Benchmark annualized volatility

     50.6     60.3

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 6,724,812 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 4,224,812 outstanding Shares at September 30, 2013. 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, 2014 and 2013, 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 27.0% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 52.9% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on September 18, 2014 at $18.06 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $76.11 per Share and reached its low for the period on September 18, 2013 at $36.35 per Share.

The benchmark’s decline of 26.2% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 52.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (833,205   $ (1,117,258

Management fee

     849,283        1,171,508   

Brokerage commission

     24,499        —     

Net realized gain (loss)

     (28,423,976     (102,871,341

Change in net unrealized appreciation/depreciation

     29,074,883        3,439,893   

Net income (loss)

   $ (182,298   $ (100,548,706

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures contracts on the VIX future curve during the nine months ended September 30, 2014.

 

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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, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 51,134,323      $ 37,302,992   

NAV end of period

   $ 45,613,786      $ 96,765,151   

Percentage change in NAV

     (10.8 )%      159.4

Shares outstanding beginning of period

     662,501        268,751   

Shares outstanding end of period

     712,501        1,043,751   

Percentage change in shares outstanding

     7.5     288.4

Shares created

     581,250        1,300,000   

Shares redeemed

     531,250        525,000   

Per share NAV beginning of period

   $ 77.18      $ 138.80   

Per share NAV end of period

   $ 64.02      $ 92.71   

Percentage change in per share NAV

     (17.1 )%      (33.2 )% 

Percentage change in benchmark

     (16.3 )%      (32.8 )% 

Benchmark annualized volatility

     22.8     25.8

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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 662,501 outstanding Shares at December 31, 2013 to 712,501 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 268,751 outstanding Shares at December 31, 2012 to 1,043,751 outstanding Shares at September 30, 2013. 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 nine months ended September 30, 2014 and 2013, 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 17.1% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 33.2% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $85.56 per Share and reached its low for the period on August 19, 2014 at $58.76 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $129.47 per Share and reached its low for the period on September 18, 2013 at $88.44 per Share.

The benchmark’s decline of 16.3% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 32.8% for the nine months ended September 30, 2013, 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 nine months ended September 30, 2014.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (299,431   $ (389,961

Management fee

     310,124        410,433   

Brokerage commission

     2,966        —     

Net realized gain (loss)

     (16,098,628     (19,673,532

Change in net unrealized appreciation/depreciation

     7,398,323        738,490   

Net income (loss)

   $ (8,999,736   $ (19,325,003

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, 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 nine months ended September 30, 2014.

 

* See Note 9 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 Mid-Term Futures ETF.

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, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 226,233,584      $ 84,716,132   

NAV end of period

   $ 258,077,177      $ 286,200,633   

Percentage change in NAV

     14.1     237.8

Shares outstanding beginning of period

     3,372,389        105,202   

Shares outstanding end of period

     8,670,099        2,072,389   

Percentage change in shares outstanding

     157.1     1,869.9

Shares created

     26,025,000        6,100,000   

Shares redeemed

     20,727,290        4,132,813   

Per share NAV beginning of period

   $ 67.08      $ 805.27   

Per share NAV end of period

   $ 29.77      $ 138.10   

Percentage change in per share NAV

     (55.6 )%      (82.9 )% 

Percentage change in benchmark

     (26.2 )%      (52.8 )% 

Benchmark annualized volatility

     50.6     60.3

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 3,372,389 outstanding Shares at December 31, 2013 to 8,670,099 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 105,202 outstanding Shares at December 31, 2012 to 2,072,389 outstanding Shares at September 30, 2013. 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, 2014 and 2013, 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 55.6% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 82.9% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

 

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During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $104.52 per Share and reached its low for the period on September 18, 2014 at $22.73 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $652.25 per Share and reached its low for the period on September 18, 2013 at $117.13 per Share.

The benchmark’s decline of 26.2% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 52.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (3,811,314   $ (3,722,756

Management fee

     2,064,694        1,944,995   

Brokerage commission

     1,802,162        1,824,624   

Net realized gain (loss)

     (255,418,727     (302,267,308

Change in net unrealized appreciation/depreciation

     72,652,146        10,639,956   

Net income (loss)

   $ (186,577,895   $ (295,350,108

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve in conjunction with a significant increase in shares outstanding during the nine months ended September 30, 2014.

 

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

ProShares 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, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

NAV beginning of period

   $ 141,751,202      $ 82,663,633   

NAV end of period

   $ 310,478,773      $ 94,516,078   

Percentage change in NAV

     119.0     14.3

Shares outstanding beginning of period

     2,100,040        2,500,040   

Shares outstanding end of period

     4,150,040        1,800,040   

Percentage change in shares outstanding

     97.6     (28.0 )% 

Shares created

     8,400,000        9,200,000   

Shares redeemed

     6,350,000        9,900,000   

Per share NAV beginning of period

   $ 67.50      $ 33.06   

Per share NAV end of period

   $ 74.81      $ 52.51   

Percentage change in per share NAV

     10.8     58.8

Percentage change in benchmark

     (26.2 )%      (52.8 )% 

Benchmark annualized volatility

     50.6     60.3

 

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During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 2,100,040 outstanding Shares at December 31, 2013 to 4,150,040 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 2013, 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,500,040 outstanding Shares at December 31, 2012 to 1,800,040 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.8% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 58.8% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 3, 2014 at $92.60 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $57.44 per Share and reached its low for the period on June 24, 2013 at $35.51 per Share.

The benchmark’s decline of 26.2% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 52.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:

 

     Nine Months Ended
September 30, 2014
    Nine Months Ended
September 30, 2013
 

Net investment income (loss)

   $ (2,500,310   $ (848,890

Management fee

     1,610,858        535,989   

Brokerage commission

     949,948        335,552   

Net realized gain (loss)

     94,432,504        58,712,909   

Change in net unrealized appreciation/depreciation

     (33,171,890     (2,063,561

Net income (loss)

   $ 58,760,304      $ 55,800,458   

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the prices of the near-term futures contracts on the VIX Futures curve in conjunction with a significant increase in shares outstanding during the nine months ended September 30, 2014.

 

* 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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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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, 2014 and 2013, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of September 30, 2014 and 2013, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Short    $ 118.6922       $ (3,142,104

Bloomberg Commodity Index

   Goldman Sachs
International
   Short      118 .6922         (3,692,948

Bloomberg Commodity Index

   UBS AG    Short      118 .6922         (1,467,635

Swap Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Short    $ 127.1103       $ (2,645,772

Bloomberg Commodity Index

   Goldman Sachs
International
   Short      127.1103         (3,749,305

Bloomberg Commodity Index

   UBS AG    Short      127.1103         (1,095,198

The September 30, 2014 and 2013 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future 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 Trust’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 3, 2014 (the “Form 10-K”), for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at

Value
 

WTI Crude Oil (NYMEX)

     Short         November 2014         1,835       $ 91.16         1,000       $ (167,278,600

Swap Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 240.0850       $ (62,351,907

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs
International
   Short      240.0850         (69,441,497

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      240.0850         (23,563,233

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      240.0850         (69,653,790

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

     Short         November 2013         3,779       $ 102.33         1,000       $ (386,705,070

Swap Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 253.0597       $ (138,285,284

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs
International
   Short      235.0597         (141,900,040

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      235.0597         (85,110,010

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      235.0597         (132,930,537

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short         November 2014         955       $ 4.12         10,000       $ (39,355,550

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Natural Gas (NYMEX)

     Short         November 2013         901       $ 3.56         10,000       $ (32,075,600

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Short         December 2014         2       $ 1,211.60         100       $ (242,320

Forward Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,216.53       $ (82,724,040

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Short      1,216.53         (32,843,877

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,216.53         (16,666,461

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,216.53         (31,690,607

 

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Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Gold Futures (COMEX)

     Short         December 2013         2       $ 1,327.00         100       $ (265,400

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,326.53       $ (161,438,701

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Short      1,326.53         (78,262,617

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,326.53         (39,795,900

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,326.53         (10,413,261

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Short         December 2014         1       $ 17.057         5,000       $ (85,285

Forward Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 17.1113       $ (58,914,206

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Short      17.1110         (20,644,422

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      17.1110         (11,755,257

0.999 Fine Troy Ounce Silver

   UBS AG    Short      17.1111         (28,233,315

 

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Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

     Short         December 2013         2       $ 21.708         5,000       $ (217,080

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 21.6828       $ (118,539,868

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Short      21.6828         (65,406,166

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      21.6828         (37,923,217

0.999 Fine Troy Ounce Silver

   UBS AG    Short      21.6828         (8,911,631

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 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.

ProShares Ultra Bloomberg Commodity:

As of September 30, 2014 and 2013, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount at
Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Long    $ 118.6922       $ 2,826,697   

Bloomberg Commodity Index

   Goldman Sachs
International
   Long      118.6922         3,040,456   

Bloomberg Commodity Index

   UBS AG    Long      118.6922         938,766   

Swap Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg Commodity Index

   Deutsche Bank AG    Long    $ 127.1103       $ 2,467,834   

Bloomberg Commodity Index

   Goldman Sachs
International
   Long      127.1103         3,803,041   

Bloomberg Commodity Index

   UBS AG    Long      127.1103         1,697,422   

 

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The September 30, 2014 and 2013 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Crude Oil (NYMEX)

     Long         November 2014         1,693       $ 91.16         1,000       $ 154,333,880   

Swap Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 240.0850       $ 66,036,469   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs
International
   Long      240.0850         52,389,330   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      240.0850         24,059,224   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      240.0850         61,519,125   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

WTI Crude Oil (NYMEX)

     Long         November 2013         1,093       $ 102.33         1,000       $ 111,846,690   

Swap Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 253.0597       $ 46,973,928   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs
International
   Long      253.0597         45,742,000   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      253.0597         25,106,915   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      253.0597         44,514,417   

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 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

 

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contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Long         November 2014         3,374       $ 4.12         10,000       $ 139,042,540   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Long         November 2013         5,291       $ 3.56         10,000       $ 188,359,600   

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Long         December 2014         2       $ 1,211.60         100       $ 242,320   

 

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Forward Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,216.53       $ 117,395,145   

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Long      1,216.53         47,833,960   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,216.53         18,491,256   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,216.53         42,091,938   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

     Long         December 2013         2       $ 1,327.00         100       $ 265,400   

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,326.53       $ 188,632,566   

0.995 Fine Troy Ounce Gold

   Goldman Sachs
International
   Long      1,326.53         88,373,429   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,326.53         46,295,897   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,326.53         21,489,786   

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

 

   

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

     Long         December 2014         2       $ 17.057         5,000       $ 170,570   

 

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Forward Agreements as of September 30, 2014

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 17.1113       $ 369,963,417   

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Long      17.1110         140,358,111   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      17.1110         79,189,708   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      17.1111         124,654,364   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Silver Futures (COMEX)

     Long         December 2013         2       $ 21.708         5,000       $ 217,080   

Forward Agreements as of September 30, 2013

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 21.6828       $ 600,570,194   

0.999 Fine Troy Ounce Silver

   Goldman Sachs
International
   Long      21.6828         266,325,496   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      21.6828         177,105,110   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      21.6828         63,639,018   

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2014 and 2013, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to exchange rate price risk.

 

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Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Euro Fx Currency Futures (CME)

   Short    December 2014      110       $ 1.2635         125,000       $ (17,373,125

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Euro Fx Currency Futures (CME)

   Short    December 2013      43       $ 1.3527         125,000       $ (7,270,763

The September 30, 2014 and 2013 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, 2014 and 2013, 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, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2014      473       $ 86.97         1,000       $ (41,136,810

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2013      519       $ 92.79         1,000       $ (48,158,010

The September 30, 2014 and 2013 short futures notional value is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional value will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

 

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ProShares UltraShort Euro:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2014

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs

International

   Long      10/03/14         50,953,400        1.2630       $ 64,354,521   

Euro

   UBS AG    Long      10/03/14         16,358,400        1.2630         20,660,780   

Euro

   Goldman Sachs

International

   Short      10/03/14         (407,363,625     1.2630         (514,503,272

Euro

   UBS AG    Short      10/03/14         (408,335,300     1.2630         (515,730,505

Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs

International

   Long      10/04/13         59,619,300        1.3528       $ 80,653,379   

Euro

   UBS AG    Long      10/04/13         44,376,200        1.3528         60,032,413   

Euro

   Goldman Sachs

International

   Short      10/04/13         (395,033,825     1.3528         (534,404,339

Euro

   UBS AG    Short      10/04/13         (385,179,200     1.3528         (521,072,938

The September 30, 2014 and 2013 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2014

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long      10/03/14         2,823,176,700        0.009118       $ 25,741,849   

Yen

   UBS AG    Long      10/03/14         2,754,478,000        0.009118         25,115,452   

Yen

   Goldman Sachs
International
   Short      10/03/14         (51,996,123,300     0.009118         (474,102,939

Yen

   UBS AG    Short      10/03/14         (49,151,071,100     0.009118         (448,161,628

 

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Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long      10/04/13         10,842,832,400        0.010173       $ 110,305,446   

Yen

   UBS AG    Long      10/04/13         4,202,410,900        0.010173         42,751,635   

Yen

   Goldman Sachs
International
   Short      10/04/13         (56,007,835,200     0.010173         (569,774,484

Yen

   UBS AG    Short      10/04/13         (50,043,376,200     0.010173         (509,097,321

The September 30, 2014 and 2013 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.

ProShares Ultra Australian Dollar:

As of September 30, 2014 and 2013, the ProShares Ultra Australian Dollar Fund was exposed to exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Long    December 2014      72       $ 86.97         1,000       $ 6,261,840   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at
Value
 

Australian Dollar Fx Currency Futures (CME)

   Long    December 2013      74       $ 92.79         1,000       $ 6,866,460   

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

 

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Table of Contents

ProShares Ultra Euro:

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2014

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long      10/03/14         621,725        1.2630       $ 785,243   

Euro

   UBS AG    Long      10/03/14         2,994,100        1.2630         3,781,570   

Euro

   Goldman Sachs
International
   Short      10/03/14         (72,700     1.2630         (91,821

Euro

   UBS AG    Short      10/03/14         (97,300     1.2630         (122,891

Foreign Currency Forward Contracts as of September 30, 2013

 

  

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs
International
   Long      10/04/13         1,573,025        1.3528       $ 2,127,999   

Euro

   UBS AG    Long      10/04/13         4,058,700        1.3528         5,490,636   

Euro

   Goldman Sachs
International
   Short      10/04/13         (1,867,300     1.3528         (2,526,096

Euro

   UBS AG    Short      10/04/13         (38,400     1.3528         (51,948

The September 30, 2014 and 2013 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, 2014 and 2013, 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, 2014 and 2013, which were sensitive to exchange rate price risk.

 

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Table of Contents

Foreign Currency Forward Contracts as of September 30, 2014

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long      10/03/14         79,232,400        0.009118       $ 722,445   

Yen

   UBS AG    Long      10/03/14         312,531,500        0.009118         2,849,676   

Yen

   Goldman Sachs
International
   Short      10/03/14         (12,190,700     0.009118         (111,155

Yen

   UBS AG    Short      10/03/14         (7,374,200     0.009118         (67,238

Foreign Currency Forward Contracts as of September 30, 2013

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
     Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs
International
   Long      10/04/13         317,266,000        0.010173       $ 3,227,585   

Yen

   UBS AG    Long      10/04/13         339,056,000        0.010173         3,449,258   

Yen

   Goldman Sachs
International
   Short      10/04/13         (18,973,500     0.010173         (193,020

Yen

   UBS AG    Short      10/04/13         (3,870,100     0.010173         (39,371

The September 30, 2014 and 2013 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.

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, 2014 and 2013, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2014      5,102       $ 16.30         1,000       $ 83,162,600   

VIX Futures (CBOE)

   Long    November 2014      3,402         16.65         1,000         56,643,300   

 

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Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long       October 2013      5,549       $ 16.20         1,000       $ 89,893,800   

VIX Futures (CBOE)

     Long       November 2013      4,540         16.90         1,000         76,726,000   

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long       January 2015      506       $ 17.45         1,000       $ 8,829,700   

VIX Futures (CBOE)

     Long       February 2015      844         17.90         1,000         15,107,600   

VIX Futures (CBOE)

     Long       March 2015      844         18.25         1,000         15,403,000   

VIX Futures (CBOE)

     Long       April 2015      338         18.60         1,000         6,286,800   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long       January 2014      943       $ 18.05         1,000       $ 17,021,150   

VIX Futures (CBOE)

     Long       February 2014      1,715         18.65         1,000         31,984,750   

VIX Futures (CBOE)

     Long       March 2014      1,716         19.10         1,000         32,775,600   

VIX Futures (CBOE)

     Long       April 2014      772         19.40         1,000         14,976,800   

The September 30, 2014 and 2013 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 Ultra VIX Short-Term Futures ETF

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to equity market volatility risk.

 

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Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long       October 2014      18,828       $ 16.30         1,000       $ 306,896,400   

VIX Futures (CBOE)

     Long       November 2014      12,550         16.65         1,000         208,957,500   

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Long       October 2013      19,039       $ 16.20         1,000       $ 308,431,800   

VIX Futures (CBOE)

     Long       November 2013      15,586         16.90         1,000         263,403,400   

The September 30, 2014 and 2013 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.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2014 and 2013, 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, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2014

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Short       October 2014      11,352       $ 16.30         1,000       $ (185,037,600

VIX Futures (CBOE)

     Short       November 2014      7,575         16.65         1,000         (126,123,750

Futures Positions as of September 30, 2013

 

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

     Short       October 2013      3,153       $ 16.20         1,000       $ (51,078,600

VIX Futures (CBOE)

     Short       November 2013      2,585         16.90         1,000         (43,686,500

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

 

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Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. 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 objective both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the 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

 

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performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

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, 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, an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

 

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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 also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item  4.    Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of September 30, 2014, 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, 2014, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

 

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013, filed on March 3, 2014, as amended.

The following risk factors either: 1) apply specifically to the Managed Futures Fund, a new series of the Trust that launched on October 2, 2014; or 2) describe a potential delisting notice received by ProShares Ultra Australian Dollar.

Risks Specific to the Managed Futures Fund

The level of the S&P Strategic Futures Index (the “SFI”) and the returns attributable to the underlying SFI index components (the “SFI Futures Contracts”) depend on whether a particular SFI Futures Contract is positioned long or short.

The impact of changes in the prices of the SFI Futures Contracts will affect the Managed Futures Fund differently depending upon whether such SFI Futures Contract is positioned long or short. Increases in the price of an underlying SFI Futures Contract will negatively impact the Managed Futures Fund’s performance when the SFI Futures Contract is positioned short and decreases in the price of an underlying SFI Futures Contract will negatively impact the Managed Futures Fund’s performance when the SFI Futures Contract is positioned long.

Short positions should be considered to be speculative and could result in the total loss of an investor’s investment.

The Managed Futures Fund may take short positions in the SFI Futures Contracts. Because the holder of a short position is exposed to losses upon any increase in price, and a price increase is potentially unlimited, short positions will expose the Managed Futures Fund to potentially unlimited losses, which could result in a total loss of investment.

Monthly repositioning may expose the Managed Futures Fund to increased losses in volatile markets.

The SFI is designed to potentially capture the economic benefit derived from both rising and declining trends in futures prices. In order to accomplish this, the SFI positions are rebalanced and repositioned, either long or short, on a monthly basis. Long positions or short positions in each SFI Futures Contract are determined based on price movements over the past seven months. In volatile markets, this may result in the SFI Futures Contracts frequently being repositioned from long to short and vice versa. If the price movements that caused a particular SFI Futures Contract to be repositioned subsequently reverse themselves, the Managed Futures Fund’s index will be negatively impacted. For example, if Gold is positioned long for the month of March, and the underlying SFI Futures Contracts decline in price, the SFI will experience losses. Depending on the magnitude of the price decline, Gold may reposition itself to short at month end. If, in April, the market reverses and appreciates in price, Gold will again experience losses, even if the price of Gold futures contracts measured across both months is flat from a performance perspective. Such activity can cause the Managed Futures Fund to lose more, and possibly significantly more, than an investment focused only on long or short positions in the same futures contracts.

The Managed Futures Fund has a limited operating history, and, as a result, investors have a limited performance history to serve as a factor for evaluating an investment in the Managed Futures Fund.

The Managed Futures Fund has a limited performance history upon which to evaluate an investor’s investment in the Managed Futures Fund. Although past performance is not necessarily indicative of future results, if the Managed Futures Fund had a longer performance history, such performance history might (or might not) provide investors with more information on which to evaluate an investment in the Managed Futures Fund. Likewise, the SFI has a limited history which might (or might not) provide investors with more information on which to evaluate an investment in the Managed Futures Fund.

 

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Risks Specific to the Managed Futures Fund, the Commodity Index Funds, the Commodity Funds, the Currency Funds and the VIX Funds.

With regard to the Managed Futures Fund, the Commodity Index Funds and the Commodity Fund, several factors may affect the price of commodities and, in turn, the Financial Instruments and other assets, if any, owned by such a Fund, including, but not limited to:

 

    Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for a commodity or the impact of severe weather on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing oil refineries), also materially influence the supply of commodities.

 

    Significant increases or decreases in the demand for a physical commodity due to natural or technological factors. Natural factors would include such events as unusual climatological conditions impacting the demand for commodities. Technological factors may include such developments as substitutes for particular commodities.

 

    A significant change in the attitude of speculators and investors towards a commodity. Should the speculative community take a negative or positive view towards any given commodity, it could cause a change in world prices of any given commodity and the price of Shares based upon a benchmark related to that commodity will be affected.

 

    Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world gold holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries control large physical quantities of crude oil. If one or more of these institutions decides to buy or sell any commodity in amounts large enough to cause a change in world prices, the price of Shares based upon a benchmark related to that commodity will be affected.

 

    Other political factors. In addition to the organized political and institutional trading-related activities described above, peaceful political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection and/or war may greatly influence commodities prices.

 

    A significant increase or decrease in commodity hedging activity by commodity producers. Should there be an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, it could cause a change in world prices of any given commodity, causing the price of Shares based upon a benchmark related to that commodity to be affected.

 

    The recent proliferation of commodity-linked products and their unknown effect on the commodity markets.

 

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With regard to the Managed Futures Fund and the Currency Funds, several factors may affect the value of foreign currencies or the U.S. dollar and, in turn, Financial Instruments and other assets, if any, owned by a Fund, including, but not limited to:

 

    Debt level and trade deficit of the relevant foreign countries;

 

    Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates;

 

    Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates;

 

    Investment and trading activities of mutual funds, hedge funds and currency funds;

 

    Global or regional political, economic or financial events and situations;

 

    Sovereign action to set or restrict currency conversion; and

 

    Monetary policies and other related activities of central banks within the U.S. and other relevant foreign markets.

With regard to the Managed Futures Fund, several factors may affect the value of U.S. Treasury securities and, in turn, certain Financial Instruments and related assets, if any, owned by the Managed Futures Fund, including, but not limited to:

 

    Perception of risk, or the lack thereof, in assets other than U.S. Treasury securities;

 

    Debt level and trade deficit of the United States;

 

    Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates;

 

    Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates;

 

    Fluctuations in the value of the U.S. dollar relative to other currencies; and

 

    Fluctuations in the supply of, and demand for, the underlying U.S. Treasury securities.

With regard to the VIX Funds, several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund, including, but not limited to:

 

    Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts;

 

    Interest rates;

 

    Economic, financial, political, regulatory, geographical, biological or judicial events that affect the level of the Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX;

 

    Supply and demand as well as hedging activities in the listed and over-the-counter (“OTC”) equity derivatives markets;

 

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    Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; and

 

    The level of contango or backwardation in the VIX futures contracts market.

These factors interrelate in complex ways, and the effect of one factor on the market value of a Fund may offset or enhance the effect of another factor. In addition, the impact of changes in the level of a commodity index or the value of a commodity or currency will affect investors differently depending upon the Managed Futures Fund, the Commodity Index Fund, the Commodity Fund, Currency Fund or VIX Fund in which an investor invests. Daily increases in the level of a commodity index or a VIX futures index or the value of a commodity or currency will negatively impact the daily performance of Shares of the Short and UltraShort Commodity Index, Commodity, Currency or VIX Funds.

The Managed Futures Fund and the Commodity Index Funds are linked to indexes comprised of commodity futures contracts and/or financial futures contracts, and are not directly linked to the “spot” prices of the underlying physical commodities or financial assets. Futures contracts may perform very differently from the spot price of the underlying physical commodities or financial assets.

The Managed Futures Fund and each Commodity Index Fund are designed to correspond (before fees and expenses) to the performance of, or a multiple or an inverse multiple of, the daily performance of its applicable benchmark, which is intended to reflect the performance of the prices of futures contracts on certain physical commodities and/or financial assets. The Managed Futures Fund and the Commodity Index Funds are not directly linked to the “spot” price of the physical commodities. While prices of swaps, futures contracts and other derivatives contracts are, as a rule, related to the prices of an underlying cash market, they are not perfectly correlated and often can perform very differently. It is possible that during certain time periods, the performance of different derivatives contracts may be substantially lower or higher than cash market prices for the underlying commodity or financial asset due to differences in derivatives contract terms or as supply, demand or other economic or regulatory factors become more pronounced in either the cash or derivatives markets. Depending upon the direction and level of the benchmark changes, the Funds may underperform or outperform a portfolio of cash market commodities or financial assets.

ProShares Ultra Australian Dollar has received a potential delisting letter from NYSE Regulation, Inc. If the Fund is delisted, investors may not have an active trading market for the Fund’s Shares, and the Fund would likely be forced to liquidate.

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

 

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

 

  (a) None.

 

  (b) The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333- 156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). Thus, as of September 30, 2014, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-198189); and 2) a Form S-3 Registration Statement (No. 333-196885).

 

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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 be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Geared Fund and the Managed Futures Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

 

Title of Securities Registered

   Amount
Registered

As of
September 30,
2014
     Shares Sold
For the

Three Months
Ended
September 30,
2014
     Sale Price of
Shares Sold For
the

Three Months
Ended
September 30,
2014
 

ProShares UltraShort Bloomberg Commodity
Common Units of Beneficial Interest

   $ 300,000,000         —         $ —     

ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest

   $ 4,275,000,000         250,000       $ 6,324,297   

ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest*

   $ 570,000,000         —         $ —     

ProShares UltraShort Gold
Common Units of Beneficial Interest*

   $ 1,000,000,000         50,000       $ 4,823,848   

ProShares UltraShort Silver
Common Units of Beneficial Interest*

   $ 2,600,000,000         100,000       $ 7,242,734   

ProShares Short Euro
Common Units of Beneficial Interest

   $ 200,000,000         50,000       $ 1,819,803   

ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest

   $ 200,000,000         —         $ —     

ProShares UltraShort Euro
Common Units of Beneficial Interest*

   $ 2,953,506,872         300,000       $ 5,399,540   

ProShares UltraShort Yen
Common Units of Beneficial Interest*

   $ 1,800,000,000         900,000       $ 63,621,323   

ProShares Ultra Bloomberg Commodity
Common Units of Beneficial Interest

   $ 200,000,000         —         $ —     

ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest*

   $ 4,608,246,073         5,200,000       $ 167,655,013   

 

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ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest*

   $ 680,000,000         1,650,000       $ 57,076,442   

ProShares Ultra Gold
Common Units of Beneficial Interest*

   $ 700,000,000         100,000       $ 4,534,428   

ProShares Ultra Silver
Common Units of Beneficial Interest*

   $ 3,100,000,000         900,000       $ 50,808,318   

ProShares Ultra Australian Dollar
Common Units of Beneficial Interest

   $ 200,000,000         —         $ —     

ProShares Ultra Euro
Common Units of Beneficial Interest

   $ 300,000,000         —         $ —     

ProShares Ultra Yen
Common Units of Beneficial Interest

   $ 300,000,000         —         $ —     

ProShares Managed Futures Strategy
Common Units of Beneficial Interest

   $ 200,000,000         10       $ 200   

ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest*

   $ 3,250,000,000         3,475,000       $ 66,062,556   

ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest

   $ 1,100,000,000         118,750       $ 7,132,205   

ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest*

   $ 8,000,000,000         11,700,000       $ 288,044,131   

ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest*

   $ 2,750,000,000         4,450,000       $ 348,502,796   

Total:

   $ 39,286,752,945         29,243,760       $ 1,079,047,634   

 

*  On October 28, 2014, a Registration Statement on Form S-1 (File No. 333-199642) and a Registration Statement on Form S-3 (File No. 333-199641) were filed, which (when declared effective) will register additional Shares for: ProShares UltraShort Bloomberg Natural Gas (increasing its total amount registered to $670,000,000); ProShares UltraShort Gold (increasing its total amount registered to $1,100,000,000); ProShares UltraShort Silver (increasing its total amount registered to $3,300,000,000); ProShares UltraShort Euro (increasing its total amount registered to $3,053,506,872); ProShares UltraShort Yen (increasing its total amount registered to $1,900,000,000); ProShares Ultra Bloomberg Crude Oil (increasing its total amount registered to $6,008,246,073); ProShares Ultra Bloomberg Natural Gas (increasing its total amount registered to $880,000,000); ProShares Ultra Gold (increasing its total amount registered to $850,000,000); ProShares Ultra Silver (increasing its total amount registered to $3,800,000,000); ProShares VIX Short-Term Futures ETF (increasing its total amount registered to $3,950,000,000); ProShares Ultra VIX Short-Term Futures ETF (increasing its total amount registered to $9,000,000,000); and ProShares Short VIX Short-Term Futures ETF (increasing its total amount registered to $5,750,000,000).

 

  (c) From July 1, 2014 to September 30, 2014, 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 UltraShort Bloomberg Commodity

     

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares UltraShort Bloomberg Crude Oil

     

07/01/14 to 07/31/14

     3,250,000       $ 26.74   

08/01/14 to 08/31/14

     4,050,000       $ 28.86   

09/01/14 to 09/30/14

     1,300,000       $ 30.76   

ProShares UltraShort Bloomberg Natural Gas

     

07/01/14 to 07/31/14

     550,000       $ 47.97   

08/01/14 to 08/31/14

     200,000       $ 52.17   

09/01/14 to 09/30/14

     50,000       $ 53.56   

ProShares UltraShort Gold

     

07/01/14 to 07/31/14

     50,000       $ 82.38   

08/01/14 to 08/31/14

     50,000       $ 87.05   

09/01/14 to 09/30/14

     100,000       $ 96.47   

ProShares UltraShort Silver

     

 

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Table of Contents

07/01/14 to 07/31/14

     50,000       $  75.68   

08/01/14 to 08/31/14

     100,000       $ 84.19   

09/01/14 to 09/30/14

     100,000       $ 91.04   

ProShares Short Euro

  

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares UltraShort Australian Dollar

  

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     50,000       $ 44.60   

ProShares UltraShort Euro

  

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     350,000       $ 18.49   

09/01/14 to 09/30/14

     2,100,000       $ 19.31   

ProShares UltraShort Yen

  

07/01/14 to 07/31/14

     150,000       $ 65.11   

08/01/14 to 08/31/14

     250,000       $ 66.93   

09/01/14 to 09/30/14

     200,000       $ 74.74   

ProShares Ultra Bloomberg Commodity

  

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares Ultra Bloomberg Crude Oil

     

07/01/14 to 07/31/14

     350,000       $ 37.42   

08/01/14 to 08/31/14

     200,000       $ 31.63   

09/01/14 to 09/30/14

     1,200,000       $ 31.49   

ProShares Ultra Bloomberg Natural Gas

     

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     200,000       $ 36.34   

ProShares Ultra Gold

     

07/01/14 to 07/31/14

     50,000       $ 46.78   

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     100,000       $ 43.51   

ProShares Ultra Silver

     

07/01/14 to 07/31/14

     350,000       $ 70.21   

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares Ultra Australian Dollar

     

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares Ultra Euro

     

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares Ultra Yen

     

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     —         $ —     

09/01/14 to 09/30/14

     —         $ —     

ProShares VIX Short-Term Futures ETF

     

07/01/14 to 07/31/14

     750,000       $ 19.25   

08/01/14 to 08/31/14

     1,175,000       $ 21.94   

09/01/14 to 09/30/14

     —         $ —     

ProShares VIX Mid-Term Futures ETF

     

07/01/14 to 07/31/14

     —         $ —     

08/01/14 to 08/31/14

     62,500       $ 62.78   

09/01/14 to 09/30/14

     —         $ —     

 

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Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

     

07/01/14 to 07/31/14

     3,850,000       $ 28.83   

08/01/14 to 08/31/14

     2,600,000       $ 34.72   

09/01/14 to 09/30/14

     7,700,000       $ 26.90   

ProShares Short VIX Short-Term Futures ETF

     

07/01/14 to 07/31/14

     100,000       $ 91.70   

08/01/14 to 08/31/14

     1,350,000       $ 85.50   

09/01/14 to 09/30/14

     900,000       $ 86.51   

Total:

     33,887,500       $ 34.35   

 

Item 3. Defaults Upon Senior Securities.

None.

 

Item 4. Mine Safety Disclosures.

Not applicable.

 

Item 5. Other Information.

None.

 

Item 6. Exhibits.

 

Exhibit
No.

  

Description of Document

  31.1    Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  31.2    Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  32.1    Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
  32.2    Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
101.INS    XBRL Instance Document
101.SCH    XBRL Taxonomy Extension Schema
101.CAL    XBRL Taxonomy Extension Calculation Linkbase
101.DEF    XBRL Taxonomy Extension Definition Linkbase
101.LAB    XBRL Taxonomy Extension Label Linkbase
101.PRE    XBRL Taxonomy Extension Presentation Linkbase

 

(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 7, 2014

 

/s/ Edward Karpowicz

By:     Edward Karpowicz
Principal Financial Officer
Date:     November 7, 2014