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ProShares Trust II - Quarter Report: 2016 September (Form 10-Q)

Form 10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended September 30, 2016.

or

 

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

for the transition period from                      to                      .

Commission file number: 001-34200

 

 

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

 

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240) 497-6400

(Registrant’s telephone number, including area code)

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

 

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

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

 

 

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

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

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer 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      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    ☒  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

     135   

Item 3. Quantitative and Qualitative Disclosures About Market Risk

     188   

Item 4. Controls and Procedures

     207   

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings

     208   

Item 1A. Risk Factors

     208   

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

     208   

Item 3. Defaults Upon Senior Securities

     212   

Item 4. Mine Safety Disclosures

     212   

Item 5. Other Information

     212   

Item 6. Exhibits

     213   


Table of Contents
Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.

Index

 

Documents    Page  

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

  

ProShares VIX Short-Term Futures ETF

     2   

ProShares VIX Mid-Term Futures ETF

     7   

ProShares Short VIX Short-Term Futures ETF

     12   

ProShares Ultra VIX Short-Term Futures ETF

     17   

ProShares UltraShort Bloomberg Crude Oil

     22   

ProShares UltraShort Bloomberg Natural Gas

     27   

ProShares UltraShort Gold

     32   

ProShares UltraShort Silver

     37   

ProShares Short Euro

     42   

ProShares UltraShort Australian Dollar

     47   

ProShares UltraShort Euro

     52   

ProShares UltraShort Yen

     57   

ProShares Ultra Bloomberg Crude Oil

     62   

ProShares Ultra Bloomberg Natural Gas

     67   

ProShares Ultra Gold

     72   

ProShares Ultra Silver

     77   

ProShares Ultra Euro

     82   

ProShares Ultra Yen

     87   

ProShares Trust II

     92   

Notes to Financial Statements

     96   

 

1


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30,
2016
(unaudited)
     December 31,
2015
 

Assets

     

Cash

   $ 3,225,000       $ 2,124,103   

Segregated cash balances with brokers for futures contracts

     8,258,945         5,888,545   

Short-term U.S. government and agency obligations (Note 3)
(cost $216,306,760 and $96,075,481, respectively)

     216,340,487         96,073,659   

Receivable on open futures contracts

     158,134         1,263,933   
  

 

 

    

 

 

 

Total assets

     227,982,566         105,350,240   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     163,348         77,417   
  

 

 

    

 

 

 

Total liabilities

     163,348         77,417   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     227,819,218         105,272,823   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 227,982,566       $ 105,350,240   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     7,984,451         1,589,962   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 28.53       $ 66.21   
  

 

 

    

 

 

 

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

   $ 28.33       $ 66.65   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

2


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal
Amount
     Value  

Short-term U.S. government and agency obligations
(95% of shareholders’ equity)

   

  

U.S. Treasury Bills^^:

     

0.303% due 10/13/16

   $ 3,955,000       $ 3,954,813   

0.305% due 10/20/16

     43,850,000         43,847,207   

0.230% due 10/27/16

     5,203,000         5,202,324   

0.261% due 11/17/16†

     35,000,000         34,992,345   

0.307% due 11/25/16†

     5,400,000         5,398,728   

0.282% due 12/01/16†

     45,000,000         44,987,463   

0.156% due 12/08/16

     20,000,000         19,993,400   

0.299% due 12/15/16†

     20,000,000         19,992,498   

0.352% due 01/12/17

     32,000,000         31,976,659   

0.351% due 01/19/17†

     6,000,000         5,995,050   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $216,306,760)

      $ 216,340,487   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires October 2016

     8,392       $ 132,383,800       $ (9,089,704

VIX Futures - CBOE, expires November 2016

     5,601         94,936,950         (464,279
        

 

 

 
         $ (9,553,983
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $8,258,945 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

3


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 144,244      $ 9,963      $ 324,819      $ 31,098   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     474,982        279,410        1,210,844        839,732   

Brokerage commissions and fees

     76,959        49,114        229,993        115,986   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     551,941        328,524        1,440,837        955,718   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (407,697     (318,561     (1,116,018     (924,620
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (101,785,229     63,980,150        (134,345,928     3,412,234   

Short-term U.S. government and agency obligations

     3,946        (1,235     6,237        1,928   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (101,781,283     63,978,915        (134,339,691     3,414,162   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     6,786,934        (12,755,774     (8,475,358     (5,109,937

Short-term U.S. government and agency obligations

     24,829        2,804        35,549        3,304   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     6,811,763        (12,752,970     (8,439,809     (5,106,633
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (94,969,520     51,225,945        (142,779,500     (1,692,471
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (95,377,217   $ 50,907,384      $ (143,895,518   $ (2,617,091
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 105,272,823   

Addition of 9,990,000 shares (Note 1)

     461,486,395   

Redemption of 3,595,511 shares (Note 1)

     (195,044,482
  

 

 

 

Net addition (redemption) of 6,394,489 shares (Note 1)

     266,441,913   
  

 

 

 

Net investment income (loss)

     (1,116,018

Net realized gain (loss)

     (134,339,691

Change in net unrealized appreciation/depreciation

     (8,439,809
  

 

 

 

Net income (loss)

     (143,895,518
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 227,819,218   
  

 

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (143,895,518   $ (2,617,091

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

     (2,370,400     (4,502,075

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

     (742,783,009     (528,217,602

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

     622,882,786        521,808,025   

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

     (324,819     (30,500

Net realized gain (loss) on investments

     (6,237     (1,928

Change in unrealized appreciation/depreciation on investments

     (35,549     (3,304

Decrease (Increase) in receivable on futures contracts

     1,105,799        9,317,236   

Increase (Decrease) in management fee payable

     85,931        97,206   

Increase (Decrease) in payable on futures contracts

     —          3,161,690   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (265,341,016     (988,343
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     461,486,395        162,408,538   

Payment on shares redeemed

     (195,044,482     (160,304,394
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     266,441,913        2,104,144   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,100,897        1,115,801   

Cash, beginning of period

     2,124,103        1,694,791   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,225,000      $ 2,810,592   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 3,120,892       $ 671,791   

Segregated cash balances with brokers for futures contracts

     1,804,725         980,750   

Short-term U.S. government and agency obligations (Note 3)
(cost $54,258,849 and $25,975,462, respectively)

     54,269,416         25,976,287   

Receivable on open futures contracts

     —           42,188   
  

 

 

    

 

 

 

Total assets

     59,195,033         27,671,016   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     258,839         —     

Management fee payable

     41,383         20,378   
  

 

 

    

 

 

 

Total liabilities

     300,222         20,378   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     58,894,811         27,650,638   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 59,195,033       $ 27,671,016   
  

 

 

    

 

 

 

Shares outstanding

     1,287,403         512,404   
  

 

 

    

 

 

 

Net asset value per share

   $ 45.75       $ 53.96   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 45.69       $ 53.99   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal
Amount
     Value  

Short-term U.S. government and agency obligations
(92% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.261% due 11/03/16†

   $ 9,490,000       $ 9,488,366   

0.292% due 11/25/16†

     13,700,000         13,696,772   

0.210% due 12/01/16

     4,099,000         4,097,858   

0.346% due 12/08/16†

     2,000,000         1,999,340   

0.287% due 12/15/16†

     15,000,000         14,994,374   

0.352% due 01/12/17†

     10,000,000         9,992,706   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $54,258,849)

      $ 54,269,416   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires January 2017

     614       $ 11,359,000       $ (779,435

VIX Futures - CBOE, expires February 2017

     1,024         19,507,200         (669,070

VIX Futures - CBOE, expires March 2017

     1,023         19,846,200         (762,620

VIX Futures - CBOE, expires April 2017

     409         8,169,775         (51,025
        

 

 

 
         $ (2,262,150
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $1,804,725 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 29,706      $ 1,084      $ 63,804      $ 5,960   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     108,438        58,899        251,163        173,165   

Brokerage commissions and fees

     10,935        1,686        23,544        13,649   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     119,373        60,585        274,707        186,814   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (89,667     (59,501     (210,903     (180,854
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,899,530     631,983        (5,248,725     (2,291,385

Short-term U.S. government and agency obligations

     144        22        132        1,330   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (4,899,386     632,005        (5,248,593     (2,290,055
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (1,149,750     3,760,350        (1,917,790     3,199,340   

Short-term U.S. government and agency obligations

     8,365        594        9,742        (365
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (1,141,385     3,760,944        (1,908,048     3,198,975   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (6,040,771     4,392,949        (7,156,641     908,920   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (6,130,438   $ 4,333,448      $ (7,367,544   $ 728,066   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 27,650,638   

Addition of 950,000 shares

     48,406,580   

Redemption of 175,001 shares

     (9,794,863
  

 

 

 

Net addition (redemption) of 774,999 shares

     38,611,717   
  

 

 

 

Net investment income (loss)

     (210,903

Net realized gain (loss)

     (5,248,593

Change in net unrealized appreciation/depreciation

     (1,908,048
  

 

 

 

Net income (loss)

     (7,367,544
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 58,894,811   
  

 

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (7,367,544   $ 728,066   

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

     (823,975     (2,049,510

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

     (132,528,541     (69,593,419

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

     104,309,090        68,420,012   

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

     (63,804     (5,960

Net realized gain (loss) on investments

     (132     (1,330

Change in unrealized appreciation/depreciation on investments

     (9,742     365   

Decrease (Increase) in receivable on futures contracts

     42,188        1,783,328   

Increase (Decrease) in management fee payable

     21,005        17,703   

Increase (Decrease) in payable on futures contracts

     258,839        416,446   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (36,162,616     (284,299
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     48,406,580        17,870,189   

Payment on shares redeemed

     (9,794,863     (16,894,470
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     38,611,717        975,719   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,449,101        691,420   

Cash, beginning of period

     671,791        1,634,082   
  

 

 

   

 

 

 

Cash, end of period

   $ 3,120,892      $ 2,325,502   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 5,730,208       $ 5,150,976   

Segregated cash balances with brokers for futures contracts

     47,943,380         123,528,405   

Short-term U.S. government and agency obligations (Note 3)
(cost $446,803,478 and $535,381,199, respectively)

     446,877,389         535,392,718   

Receivable from capital shares sold

     —           10,164,157   

Receivable on open futures contracts

     4,571,788         —     
  

 

 

    

 

 

 

Total assets

     505,122,765         674,236,256   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           29,497,107   

Payable on open futures contracts

     —           1,420,271   

Management fee payable

     324,100         507,517   
  

 

 

    

 

 

 

Total liabilities

     324,100         31,424,895   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     504,798,665         642,811,361   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 505,122,765       $ 674,236,256   
  

 

 

    

 

 

 

Shares outstanding

     6,950,000         12,650,040   
  

 

 

    

 

 

 

Net asset value per share

   $ 72.63       $ 50.81   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 73.21       $ 50.45   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(89% of shareholders’ equity)

   

U.S. Treasury Bills^^:

     

0.276% due 11/17/16

   $ 22,000,000       $ 21,995,189   

0.273% due 12/01/16

     162,000,000         161,954,867   

0.237% due 12/08/16

     35,000,000         34,988,450   

0.336% due 12/15/16†

     125,000,000         124,953,112   

0.180% due 12/22/16

     2,060,000         2,058,901   

0.242% due 01/05/17†

     90,000,000         89,935,371   

0.350% due 01/12/17

     6,000,000         5,995,624   

0.355% due 01/19/17†

     5,000,000         4,995,875   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $446,803,478)

      $ 446,877,389   
     

 

 

 

Futures Contracts Sold††

 

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

VIX Futures - CBOE, expires October 2016

     18,688       $ 294,803,200       $ 26,428,042   

VIX Futures - CBOE, expires November 2016

     12,445         210,942,750         981,800   
        

 

 

 
         $ 27,409,842   
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $47,943,380 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 248,974      $ 34,056      $ 848,132      $ 78,709   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     951,001        939,029        3,561,744        2,522,692   

Brokerage commissions and fees

     469,401        470,319        1,522,859        1,263,889   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,420,402        1,409,348        5,084,603        3,786,581   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,171,428     (1,375,292     (4,236,471     (3,707,872
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     277,246,086        (74,068,147     263,024,643        35,780,248   

Short-term U.S. government and agency obligations

     (12,510     (8,165     (34,036     22,472   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     277,233,576        (74,076,312     262,990,607        35,802,720   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (51,813,012     (45,302,831     16,663,427        (45,530,343

Short-term U.S. government and agency obligations

     33,663        54,041        62,392        52,752   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (51,779,349     (45,248,790     16,725,819        (45,477,591
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     225,454,227        (119,325,102     279,716,426        (9,674,871
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 224,282,799      $ (120,700,394   $ 275,479,955      $ (13,382,743
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 642,811,361   

Addition of 44,050,000 shares

     2,173,486,450   

Redemption of 49,750,040 shares

     (2,586,979,101
  

 

 

 

Net addition (redemption) of (5,700,040) shares

     (413,492,651
  

 

 

 

Net investment income (loss)

     (4,236,471

Net realized gain (loss)

     262,990,607   

Change in net unrealized appreciation/depreciation

     16,725,819   
  

 

 

 

Net income (loss)

     275,479,955   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 504,798,665   
  

 

 

 

 

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 275,479,955      $ (13,382,743

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

     75,585,025        77,464,840   

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

     (2,235,163,421     (1,564,085,870

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

     2,324,555,238        1,405,058,217   

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

     (848,132     (78,693

Net realized gain (loss) on investments

     34,036        (22,472

Change in unrealized appreciation/depreciation on investments

     (62,392     (52,752

Decrease (Increase) in receivable on futures contracts

     (4,571,788     (15,025,925

Increase (Decrease) in management fee payable

     (183,417     319,707   

Increase (Decrease) in payable on futures contracts

     (1,420,271     (31,020,019
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     433,404,833        (140,825,710
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     2,183,650,607        1,145,778,404   

Payment on shares redeemed

     (2,616,476,208     (1,012,523,175
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (432,825,601     133,255,229   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     579,232        (7,570,481

Cash, beginning of period

     5,150,976        9,122,219   
  

 

 

   

 

 

 

Cash, end of period

   $ 5,730,208      $ 1,551,738   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 11,604,209       $ 9,081,964   

Segregated cash balances with brokers for futures contracts

     47,581,115         62,348,600   

Short-term U.S. government and agency obligations (Note 3)
(cost $653,689,929 and $438,333,277, respectively)

     653,723,238         438,357,849   

Receivable from capital shares sold

     72,228,055         32,987,472   

Receivable on open futures contracts

     —           17,995,478   
  

 

 

    

 

 

 

Total assets

     785,136,617         560,771,363   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     14,491,425         12,635,235   

Payable on open futures contracts

     31,416,387         —     

Management fee payable

     479,005         427,388   
  

 

 

    

 

 

 

Total liabilities

     46,386,817         13,062,623   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     738,749,800         547,708,740   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 785,136,617       $ 560,771,363   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     43,707,651         3,900,490   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 16.90       $ 140.42   
  

 

 

    

 

 

 

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

   $ 16.65       $ 141.75   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

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

   

  

U.S. Treasury Bills^^:

     

0.292% due 10/13/16

   $ 33,534,000       $ 33,532,417   

0.286% due 10/20/16

     1,862,000         1,861,882   

0.236% due 10/27/16†

     59,369,000         59,361,282   

0.270% due 11/03/16†

     17,455,000         17,451,994   

0.242% due 11/10/16

     4,000,000         3,999,198   

0.286% due 11/17/16†

     43,000,000         42,990,596   

0.296% due 11/25/16†

     59,000,000         58,986,100   

0.153% due 12/01/16†

     70,738,000         70,718,292   

0.234% due 12/08/16†

     142,000,000         141,953,140   

0.255% due 12/15/16†

     52,000,000         51,980,495   

0.180% due 12/22/16†

     66,000,000         65,964,802   

0.205% due 01/05/17†

     77,000,000         76,944,706   

0.352% due 01/12/17†

     15,000,000         14,989,059   

0.341% due 01/19/17†

     13,000,000         12,989,275   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $653,689,929)

      $ 653,723,238   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires October 2016

     54,497       $ 859,690,175       $ (36,755,531

VIX Futures - CBOE, expires November 2016

     36,351         616,149,450         (2,513,552
        

 

 

 
         $ (39,269,083
        

 

 

 

 

^^ Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.
†† Cash collateral in the amount of $47,581,115 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,

2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 400,731      $ 22,679      $ 1,227,394      $ 87,173   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,625,260        807,006        5,006,558        3,205,706   

Brokerage commissions and fees

     1,102,098        660,215        3,228,763        2,378,733   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,727,358        1,467,221        8,235,321        5,584,439   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (2,326,627     (1,444,542     (7,007,927     (5,497,266
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (745,101,700     245,646,935        (1,269,233,467     (291,236,149

Short-term U.S. government and agency obligations

     16,032        15,079        24,626        31,578   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (745,085,668     245,662,014        (1,269,208,841     (291,204,571
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     138,973,918        (63,658,535     (51,163,549     (14,741,278

Short-term U.S. government and agency obligations

     27,300        (610     8,737        10,341   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     139,001,218        (63,659,145     (51,154,812     (14,730,937
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (606,084,450     182,002,869        (1,320,363,653     (305,935,508
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (608,411,077   $ 180,558,327      $ (1,327,371,580   $ (311,432,774
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 547,708,740   

Addition of 77,140,000 shares (Note 1)

     3,728,960,296   

Redemption of 37,332,839 shares (Note 1)

     (2,210,547,656
  

 

 

 

Net addition (redemption) of 39,807,161 shares (Note 1)

     1,518,412,640   
  

 

 

 

Net investment income (loss)

     (7,007,927

Net realized gain (loss)

     (1,269,208,841

Change in net unrealized appreciation/depreciation

     (51,154,812
  

 

 

 

Net income (loss)

     (1,327,371,580
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 738,749,800   
  

 

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (1,327,371,580   $ (311,432,774

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

     14,767,485        (22,588,285

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

     (3,719,826,671     (2,605,845,186

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

     3,505,716,134        2,596,354,541   

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

     (1,221,489     (87,173

Net realized gain (loss) on investments

     (24,626     (31,578

Change in unrealized appreciation/depreciation on investments

     (8,737     (10,341

Decrease (Increase) in receivable on futures contracts

     17,995,478        42,531,441   

Increase (Decrease) in management fee payable

     51,617        224,382   

Increase (Decrease) in payable on futures contracts

     31,416,387        27,913,959   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (1,478,506,002     (272,971,014
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,689,719,713        2,368,042,977   

Payment on shares redeemed

     (2,208,691,466     (2,092,311,113
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,481,028,247        275,731,864   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,522,245        2,760,850   

Cash, beginning of period

     9,081,964        3,737,292   
  

 

 

   

 

 

 

Cash, end of period

   $ 11,604,209      $ 6,498,142   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,001,298       $ 598,645   

Segregated cash balances with brokers for futures contracts

     6,676,670         10,154,430   

Segregated cash balances with brokers for swap agreements

     1,128,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $143,236,947 and $79,694,797, respectively)

     143,261,078         79,692,642   

Unrealized appreciation on swap agreements

     —           6,412,656   

Receivable from capital shares sold

     56,765,877         —     
  

 

 

    

 

 

 

Total assets

     208,832,923         96,858,373   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     816,041         850,883   

Brokerage commissions and fees payable

     1,506         8,453   

Management fee payable

     136,091         101,143   

Unrealized depreciation on swap agreements

     16,564,825         —     

Payable to counterparty

     1,736,880         —     
  

 

 

    

 

 

 

Total liabilities

     19,255,343         960,479   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     189,577,580         95,897,894   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 208,832,923       $ 96,858,373   
  

 

 

    

 

 

 

Shares outstanding

     2,369,942         719,944   
  

 

 

    

 

 

 

Net asset value per share

   $ 79.99       $ 133.20   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 80.90       $ 133.64   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(76% of shareholders’ equity)

   

U.S. Treasury Bills^^:

     

0.276% due 10/06/16†

   $ 6,265,000       $ 6,264,942   

0.242% due 10/13/16†

     7,576,000         7,575,642   

0.251% due 10/20/16†

     16,088,000         16,086,975   

0.251% due 11/03/16†

     7,379,000         7,377,729   

0.280% due 11/17/16†

     45,000,000         44,990,159   

0.307% due 11/25/16†

     7,000,000         6,998,351   

0.284% due 12/01/16†

     3,000,000         2,999,164   

0.287% due 12/15/16†

     15,000,000         14,994,374   

0.352% due 01/12/17†

     36,000,000         35,973,742   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $143,236,947)

      $ 143,261,078   
     

 

 

 

Futures Contracts Sold††

 

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

WTI Crude Oil - NYMEX, expires November 2016

     2,093       $ 100,966,320       $ (4,381,977

Swap Agreements^

 

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

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

     0.18     10/06/16       $ (110,835,497   $ (7,594,390

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

     0.25        10/06/16         (78,877,241     (4,078,619

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

     0.25        10/06/16         (8,278,478     (478,359

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

     0.25        10/06/16         (80,182,717     (4,413,457
         

 

 

 
          $ (16,564,825
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
†† Cash collateral in the amount of $6,676,670 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

 

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 112,015      $ 9,198      $ 345,514      $ 45,693   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     405,879        409,809        1,291,075        1,681,411   

Brokerage commissions and fees

     27,568        62,572        125,327        187,715   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     433,447        472,381        1,416,402        1,869,126   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (321,432     (463,183     (1,070,888     (1,823,433
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     7,108,871        47,450,674        (1,439,525     26,325,398   

Swap agreements

     43,172,623        39,168,833        (35,456,689     21,238,753   

Short-term U.S. government and agency obligations

     3,798        (127     (4,796     15,363   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     50,285,292        86,619,380        (36,901,010     47,579,514   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (4,602,457     (8,337,913     (6,846,490     (19,916,290

Swap agreements

     (28,373,775     7,739,772        (22,977,481     (25,724,623

Short-term U.S. government and agency obligations

     12,429        4,716        26,286        3,624   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (32,963,803     (593,425     (29,797,685     (45,637,289
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     17,321,489        86,025,955        (66,698,695     1,942,225   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 17,000,057      $ 85,562,772      $ (67,769,583   $ 118,792   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 95,897,894   

Addition of 6,550,000 shares

     809,760,982   

Redemption of 4,900,002 shares

     (648,311,713
  

 

 

 

Net addition (redemption) of 1,649,998 shares

     161,449,269   
  

 

 

 

Net investment income (loss)

     (1,070,888

Net realized gain (loss)

     (36,901,010

Change in net unrealized appreciation/depreciation

     (29,797,685
  

 

 

 

Net income (loss)

     (67,769,583
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 189,577,580   
  

 

 

 

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (67,769,583   $ 118,792   

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

    

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

     3,477,760        746,832   

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

     (1,128,000     —     

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

     (831,968,058     (1,101,916,734

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

     768,766,626        1,102,210,375   

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

     (345,514     (45,693

Net realized gain (loss) on investments

     4,796        (15,363

Change in unrealized appreciation/depreciation on investments

     22,951,195        25,720,999   

Decrease (Increase) in receivable on futures contracts

     —          769,082   

Increase (Decrease) in management fee payable

     34,948        137,806   

Increase (Decrease) in brokerage commissions and fees payable

     (6,947     9,507   

Increase (Decrease) in payable to counterparty

     1,736,880        —     

Increase (Decrease) in payable on futures contracts

     (34,842     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (104,280,739     27,735,603   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     752,995,105        746,302,283   

Payment on shares redeemed

     (648,311,713     (773,336,673
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     104,683,392        (27,034,390
  

 

 

   

 

 

 

Net increase (decrease) in cash

     402,653        701,213   

Cash, beginning of period

     598,645        994,268   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,001,298      $ 1,695,481   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 365,889       $ 1,099,140   

Segregated cash balances with brokers for futures contracts

     1,129,645         2,046,660   

Short-term U.S. government and agency obligations (Note 3)
(cost $4,698,167 and $8,114,653, respectively)

     4,698,443         8,115,004   

Receivable on open futures contracts

     159,924         —     
  

 

 

    

 

 

 

Total assets

     6,353,901         11,260,804   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           785,170   

Brokerage commissions and fees payable

     409         1,908   

Management fee payable

     4,360         10,870   
  

 

 

    

 

 

 

Total liabilities

     4,769         797,948   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     6,349,132         10,462,856   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 6,353,901       $ 11,260,804   
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     174,832         224,856   
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 36.32       $ 46.53   
  

 

 

    

 

 

 

Market value per share (Note1) (Note 2)

   $ 36.14       $ 46.55   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

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

   

U.S. Treasury Bills^^:

     

0.261% due 11/17/16

   $ 1,000,000       $ 999,781   

0.217% due 12/01/16

     3,000,000         2,999,164   

0.210% due 01/05/17

     700,000         699,498   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $4,698,167)

      $ 4,698,443   
     

 

 

 

Futures Contracts Sold††

 

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

Natural Gas - NYMEX, November 2016

     437       $ 12,699,220       $ 332,402   

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $1,129,645 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 2,395      $ 880      $ 16,513      $ 2,460   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     13,043        26,131        70,066        83,818   

Brokerage commissions and fees

     8,608        12,059        53,910        45,601   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     21,651        38,190        123,976        129,419   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (19,256     (37,310     (107,463     (126,959
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (101,997     1,310,886        455,516        6,412,527   

Short-term U.S. government and agency obligations

     434        (246     3,438        343   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (101,563     1,310,640        458,954        6,412,870   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     712,984        2,386,865        2,803,566        (1,527,541

Short-term U.S. government and agency obligations

     (161     878        (75     764   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     712,823        2,387,743        2,803,491        (1,526,777
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     611,260        3,698,383        3,262,445        4,886,093   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 592,004      $ 3,661,073      $ 3,154,982      $ 4,759,134   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 10,462,856   

Addition of 850,000 shares (Note 1)

     37,311,510   

Redemption of 900,024 shares (Note 1)

     (44,580,216
  

 

 

 

Net addition (redemption) of (50,024) shares (Note 1)

     (7,268,706
  

 

 

 

Net investment income (loss)

     (107,463

Net realized gain (loss)

     458,954   

Change in net unrealized appreciation/depreciation

     2,803,491   
  

 

 

 

Net income (loss)

     3,154,982   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 6,349,132   
  

 

 

 

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 3,154,982      $ 4,759,134   

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

     917,015        2,289,430   

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

     (42,200,053     (44,546,196

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

     45,636,490        44,052,763   

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

     (16,513     (2,460

Net realized gain (loss) on investments

     (3,438     (343

Change in unrealized appreciation/depreciation on investments

     75        (764

Decrease (Increase) in receivable on futures contracts

     (159,924     513,399   

Increase (Decrease) in management fee payable

     (6,510     5,866   

Increase (Decrease) in brokerage commissions and fees payable

     (1,499     1,022   

Increase (Decrease) in payable on futures contracts

     (785,170     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     6,535,455        7,071,851   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     37,311,510        29,451,129   

Payment on shares redeemed

     (44,580,216     (36,761,722
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (7,268,706     (7,310,593
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (733,251     (238,742

Cash, beginning of period

     1,099,140        696,743   
  

 

 

   

 

 

 

Cash, end of period

   $ 365,889      $ 458,001   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30,
2016
(unaudited)
     December 31,
2015
 

Assets

     

Cash

   $ 145,106       $ 151,638   

Segregated cash balances with brokers for futures contracts

     11,880         91,250   

Segregated cash balances with brokers for forward agreements

     7,835,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $66,845,181 and $72,981,653, respectively)

     66,850,191         72,979,905   

Unrealized appreciation on forward agreements

     1,580,555         1,808,942   

Receivable on open futures contracts

     1,320         —     
  

 

 

    

 

 

 

Total assets

     76,424,052         75,031,735   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           80   

Management fee payable

     59,266         59,891   
  

 

 

    

 

 

 

Total liabilities

     59,266         59,971   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     76,364,786         74,971,764   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 76,424,052       $ 75,031,735   
  

 

 

    

 

 

 

Shares outstanding

     1,096,978         646,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 69.61       $ 115.88   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 70.19       $ 115.83   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

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

   

U.S. Treasury Bills^^:

     

0.186% due 10/06/16

   $ 3,922,000       $ 3,921,964   

0.303% due 10/13/16

     20,000,000         19,999,056   

0.306% due 10/20/16†

     9,773,000         9,772,378   

0.230% due 10/27/16†

     3,439,000         3,438,553   

0.251% due 11/03/16†

     6,921,000         6,919,808   

0.262% due 11/10/16†

     5,229,000         5,227,951   

0.261% due 11/17/16†

     13,000,000         12,997,157   

0.270% due 12/01/16†

     3,000,000         2,999,164   

0.180% due 12/22/16†

     1,575,000         1,574,160   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $66,845,181)

      $ 66,850,191   
     

 

 

 

Futures Contracts Sold††

 

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

Gold Futures - COMEX, expires December 2016

     2       $ 263,420       $ 1,800   

Forward Agreements^

 

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

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

     (0.75 %)      10/06/16       $ (22,600   $ (29,893,472   $ 231,859   

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

     (1.05     10/06/16         (55,200     (73,018,560     861,403   

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

     (0.53     10/06/16         (16,398     (21,689,635     197,021   

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

     (0.45     10/06/16         (4,000     (5,290,840     59,817   

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

     (0.54     10/06/16         (17,050     (22,552,206     230,455   
           

 

 

 
            $ 1,580,555   
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $11,880 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 44,515      $ 7,442      $ 118,780      $ 22,233   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     163,622        189,154        469,612        557,050   

Brokerage commissions and fees

     8        8        33        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     163,630        189,162        469,645        557,083   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (119,115     (181,720     (350,865     (534,850
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (7,340     13,430        (45,820     1,430   

Forward agreements

     (10,289,193     5,615,480        (29,919,349     7,020,481   

Short-term U.S. government and agency obligations

     164        3,107        (779     2,683   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (10,296,369     5,632,017        (29,965,948     7,024,594   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     9,400        (1,730     (3,420     13,160   

Forward agreements

     9,761,395        365,084        (228,387     2,650,890   

Short-term U.S. government and agency obligations

     2,460        4,194        6,758        4,309   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,773,255        367,548        (225,049     2,668,359   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (523,114     5,999,565        (30,190,997     9,692,953   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (642,229   $ 5,817,845      $ (30,541,862   $ 9,158,103   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 74,971,764   

Addition of 1,000,000 shares

     79,236,729   

Redemption of 550,000 shares

     (47,301,845
  

 

 

 

Net addition (redemption) of 450,000 shares

     31,934,884   
  

 

 

 

Net investment income (loss)

     (350,865

Net realized gain (loss)

     (29,965,948

Change in net unrealized appreciation/depreciation

     (225,049
  

 

 

 

Net income (loss)

     (30,541,862
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 76,364,786   
  

 

 

 

 

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (30,541,862   $ 9,158,103   

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

     79,370        550   

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

     (7,835,000     —     

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

     (205,754,520     (186,963,206

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

     212,008,993        196,870,562   

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

     (118,780     (22,233

Net realized gain (loss) on investments

     779        (2,683

Change in unrealized appreciation/depreciation on investments

     221,629        (2,655,199

Decrease (Increase) in receivable on futures contracts

     (1,320     940   

Increase (Decrease) in management fee payable

     (625     55,400   

Increase (Decrease) in payable on futures contracts

     (80     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (31,941,416     16,442,234   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     79,236,729        8,523,330   

Payment on shares redeemed

     (47,301,845     (24,974,815
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     31,934,884        (16,451,485
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (6,532     (9,251

Cash, beginning of period

     151,638        162,434   
  

 

 

   

 

 

 

Cash, end of period

   $ 145,106      $ 153,183   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30,
2016
(unaudited)
     December 31,
2015
 

Assets

     

Cash

   $ 166,127       $ 514,784   

Segregated cash balances with brokers for futures contracts

     11,550         11,440   

Segregated cash balances with brokers for forward agreements

     1,544,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $38,775,817 and $50,730,044, respectively)

     38,779,514         50,730,230   

Unrealized appreciation on forward agreements

     518,533         4,778,279   

Receivable on open futures contracts

     —           390   
  

 

 

    

 

 

 

Total assets

     41,019,724         56,035,123   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     1,396,791         —     

Payable on open futures contracts

     930         —     

Management fee payable

     32,655         47,185   
  

 

 

    

 

 

 

Total liabilities

     1,430,376         47,185   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     39,589,348         55,987,938   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 41,019,724       $ 56,035,123   
  

 

 

    

 

 

 

Shares outstanding

     1,416,976         866,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 27.94       $ 64.58   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 28.41       $ 64.55   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal
Amount
     Value  

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

   

U.S. Treasury Bills^^:

     

0.313% due 10/20/16†

   $ 5,000,000       $ 4,999,681   

0.251% due 11/03/16†

     5,302,000         5,301,087   

0.262% due 11/10/16†

     16,702,000         16,698,650   

0.306% due 11/25/16

     5,000,000         4,998,822   

0.270% due 12/01/16†

     3,500,000         3,499,025   

0.180% due 12/22/16†

     3,284,000         3,282,249   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $38,775,817)

      $ 38,779,514   
     

 

 

 

Futures Contracts Sold††

 

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

Silver Futures - COMEX, expires December 2016

     2       $ 192,140       $ (1,480

Forward Agreements^

 

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

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

     (0.85 %)      10/06/16       $ (619,000   $ (11,979,817   $ 140,853   

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

     (1.27     10/06/16         (2,146,000     (41,536,045     33,794   

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

     (0.70     10/06/16         (670,500     (12,976,522     171,031   

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

     (0.66     10/06/16         (156,000     (3,019,177     39,806   

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

     (0.65     10/06/16         (489,000     (9,463,862     133,049   
           

 

 

 
            $ 518,533   
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $11,550 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 22,794      $ 3,685      $ 71,536      $ 13,863   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     86,864        132,942        281,605        391,994   

Brokerage commissions and fees

     8        8        33        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     86,872        132,950        281,638        392,027   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (64,078     (129,265     (210,102     (378,164
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (15,410     5,300        (44,810     5,325   

Forward agreements

     (14,850,460     9,304,058        (26,610,382     7,373,182   

Short-term U.S. government and agency obligations

     65        (88     (2,307     546   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (14,865,805     9,309,270        (26,657,499     7,379,053   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     10,700        5,830        (7,450     7,160   

Forward agreements

     9,496,558        (3,077,931     (4,259,746     (1,118,472

Short-term U.S. government and agency obligations

     2,046        5,187        3,511        4,207   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,509,304        (3,066,914     (4,263,685     (1,107,105
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (5,356,501     6,242,356        (30,921,184     6,271,948   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (5,420,579   $ 6,113,091      $ (31,131,286   $ 5,893,784   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 55,987,938   

Addition of 1,600,000 shares

     67,362,064   

Redemption of 1,050,002 shares

     (52,629,368
  

 

 

 

Net addition (redemption) of 549,998 shares

     14,732,696   
  

 

 

 

Net investment income (loss)

     (210,102

Net realized gain (loss)

     (26,657,499

Change in net unrealized appreciation/depreciation

     (4,263,685
  

 

 

 

Net income (loss)

     (31,131,286
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 39,589,348   
  

 

 

 

 

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (31,131,286   $ 5,893,784   

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

     (110     1,100   

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

     (1,544,000     —     

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

     (126,343,449     (163,962,197

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

     138,366,905        160,791,278   

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

     (71,536     (13,863

Net realized gain (loss) on investments

     2,307        (546

Change in unrealized appreciation/depreciation on investments

     4,256,235        1,114,265   

Decrease (Increase) in receivable on futures contracts

     390        6,570   

Increase (Decrease) in management fee payable

     (14,530     42,935   

Increase (Decrease) in payable on futures contracts

     930        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (16,478,144     3,873,326   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     67,362,064        55,572,069   

Payment on shares redeemed

     (51,232,577     (59,428,818
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     16,129,487        (3,856,749
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (348,657     16,577   

Cash, beginning of period

     514,784        207,506   
  

 

 

   

 

 

 

Cash, end of period

   $ 166,127      $ 224,083   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,740,888       $ 1,783,802   

Segregated cash balances with brokers for futures contracts

     386,925         503,745   

Short-term U.S. government and agency obligations (Note 3)
(cost $12,690,657 and $15,153,202, respectively)

     12,692,318         15,153,211   

Receivable on open futures contracts

     —           84,235   
  

 

 

    

 

 

 

Total assets

     14,820,131         17,524,993   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     32,813         —     

Management fee payable

     11,539         14,095   
  

 

 

    

 

 

 

Total liabilities

     44,352         14,095   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     14,775,779         17,510,898   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 14,820,131       $ 17,524,993   
  

 

 

    

 

 

 

Shares outstanding

     350,000         400,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 42.22       $ 43.78   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 42.22       $ 43.74   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(86% of shareholders’ equity)

   

U.S. Treasury Bills^^:

     

0.251% due 11/03/16

   $ 7,696,000       $ 7,694,675   

0.306% due 11/25/16

     3,000,000         2,999,293   

0.355% due 01/19/17

     2,000,000         1,998,350   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $12,690,657)

      $ 12,692,318   
     

 

 

 

Futures Contracts Sold††

 

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

Euro Fx Currency Futures - CME, expires December 2016

     105       $ 14,801,063       $ (27,006

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $386,925 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 8,177      $ 989      $ 22,846      $ 3,652   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     36,752        47,369        116,244        132,555   

Brokerage commissions and fees

     580        1,232        2,009        2,951   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     37,332        48,601        118,253        135,506   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (29,155     (47,612     (95,407     (131,854
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     327,212        45,301        (199,588     1,196,063   

Short-term U.S. government and agency obligations

     (2     48        31        48   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     327,210        45,349        (199,557     1,196,111   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (488,475     (77,413     (270,444     (224,456

Short-term U.S. government and agency obligations

     1,265        16        1,652        26   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (487,210     (77,397     (268,792     (224,430
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (160,000     (32,048     (468,349     971,681   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (189,155   $ (79,660   $ (563,756   $ 839,827   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 17,510,898   

Addition of 50,000 shares

     2,109,382   

Redemption of 100,005 shares

     (4,280,745
  

 

 

 

Net addition (redemption) of (50,005) shares

     (2,171,363
  

 

 

 

Net investment income (loss)

     (95,407

Net realized gain (loss)

     (199,557

Change in net unrealized appreciation/depreciation

     (268,792
  

 

 

 

Net income (loss)

     (563,756
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 14,775,779   
  

 

 

 

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (563,756   $ 839,827   

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

     116,820        (709,940

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

     (42,155,511     (43,352,228

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

     44,640,933        33,009,853   

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

     (22,846     (3,652

Net realized gain (loss) on investments

     (31     (48

Change in unrealized appreciation/depreciation on investments

     (1,652     (26

Decrease (Increase) in receivable on futures contracts

     84,235        (136,126

Increase (Decrease) in management fee payable

     (2,556     20,430   

Increase (Decrease) in payable on futures contracts

     32,813        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,128,449        (10,331,910
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     2,109,382        21,427,163   

Payment on shares redeemed

     (4,280,745     (4,213,189
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,171,363     17,213,974   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (42,914     6,882,064   

Cash, beginning of period

     1,783,802        1,640,225   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,740,888      $ 8,522,289   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31,
2015
 

Assets

     

Cash

   $ 1,580,726       $ 1,958,996   

Segregated cash balances with brokers for futures contracts

     902,880         57,065   

Short-term U.S. government and agency obligations (Note 3)
(cost $14,997,526 and $18,409,449, respectively)

     14,999,045         18,408,894   

Receivable on open futures contracts

     —           52,491   
  

 

 

    

 

 

 

Total assets

     17,482,651         20,477,446   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     79,209         —     

Management fee payable

     13,893         16,767   
  

 

 

    

 

 

 

Total liabilities

     93,102         16,767   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     17,389,549         20,460,679   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 17,482,651       $ 20,477,446   
  

 

 

    

 

 

 

Shares outstanding

     350,000         350,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 49.68       $ 58.46   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 49.67       $ 58.15   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(86% of shareholders’ equity)

   

  

U.S. Treasury Bills^^:

     

0.313% due 10/20/16

   $ 15,000,000       $ 14,999,045   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $14,997,526)

      $ 14,999,045   
     

 

 

 

Futures Contracts Sold††

 

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

Australian Dollar Fx Currency Futures - CME, expires December 2016

     456       $ 34,879,440       $ (915,970

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $902,880 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 12,198      $ 1,058      $ 32,241      $ 2,914   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     42,820        51,046        136,306        149,028   

Brokerage commissions and fees

     3,267        4,427        11,011        12,027   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     46,087        55,473        147,317        161,055   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (33,889     (54,415     (115,076     (158,141
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (318,842     3,397,069        (2,462,334     5,930,837   

Short-term U.S. government and agency obligations

     1        —          220        226   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (318,841     3,397,069        (2,462,114     5,931,063   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (971,687     146,750        (495,700     (694,191

Short-term U.S. government and agency obligations

     561        554        2,074        650   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (971,126     147,304        (493,626     (693,541
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (1,289,967     3,544,373        (2,955,740     5,237,522   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (1,323,856   $ 3,489,958      $ (3,070,816   $ 5,079,381   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 20,460,679   

Redemption of 5 shares

     (314
  

 

 

 

Net addition (redemption) of (5) shares

     (314
  

 

 

 

Net investment income (loss)

     (115,076

Net realized gain (loss)

     (2,462,114

Change in net unrealized appreciation/depreciation

     (493,626
  

 

 

 

Net income (loss)

     (3,070,816
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 17,389,549   
  

 

 

 

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (3,070,816   $ 5,079,381   

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

     (845,815     (360,973

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

     (36,174,367     (44,858,928

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

     39,618,751        46,232,422   

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

     (32,241     (2,914

Net realized gain (loss) on investments

     (220     (226

Change in unrealized appreciation/depreciation on investments

     (2,074     (650

Decrease (Increase) in receivable on futures contracts

     52,491        62,534   

Increase (Decrease) in management fee payable

     (2,874     16,089   

Increase (Decrease) in payable on futures contracts

     79,209        195,769   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (377,956     6,362,504   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          2,764,167   

Payment on shares redeemed

     (314     (8,380,675
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (314     (5,616,508
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (378,270     745,996   

Cash, beginning of period

     1,958,996        1,788,757   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,580,726      $ 2,534,753   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 185,360       $ 10,372,583   

Segregated cash balances with brokers for foreign currency forward contracts

     15,803,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $353,469,322 and $546,177,230, respectively)

     353,492,314         546,166,776   

Unrealized appreciation on foreign currency forward contracts

     1,724,977         —     
  

 

 

    

 

 

 

Total assets

     371,205,651         556,539,359   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           5,108,230   

Management fee payable

     290,065         414,275   

Unrealized depreciation on foreign currency forward contracts

     —           28,710,336   
  

 

 

    

 

 

 

Total liabilities

     290,065         34,232,841   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     370,915,586         522,306,518   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 371,205,651       $ 556,539,359   
  

 

 

    

 

 

 

Shares outstanding

     15,600,000         20,450,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 23.78       $ 25.54   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 23.76       $ 25.53   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(95% of shareholders’ equity)

   

  

U.S. Treasury Bills^^:

     

0.299% due 10/13/16†

   $ 112,734,000       $ 112,728,679   

0.313% due 10/20/16†

     36,000,000         35,997,707   

0.230% due 10/27/16†

     34,337,000         34,332,536   

0.280% due 11/25/16†

     85,000,000         84,979,974   

0.201% due 12/15/16†

     38,000,000         37,985,746   

0.181% due 12/22/16†

     47,493,000         47,467,672   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $353,469,322)

      $ 353,492,314   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     10/07/16         11,861,500      $ 13,327,034      $ 5,460   

Euro with UBS AG

     10/07/16         18,134,300        20,374,863        6,097   
         

 

 

 
          $ 11,557   
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     10/07/16         (344,672,125   $ (387,257,692   $ 965,377   

Euro with UBS AG

     10/07/16         (345,543,400     (388,236,616     748,043   
         

 

 

 
          $ 1,713,420   
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 248,831      $ 41,312      $ 765,698      $ 163,405   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     906,488        1,393,074        2,894,802        4,000,943   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     906,488        1,393,074        2,894,802        4,000,943   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (657,657     (1,351,762     (2,129,104     (3,837,538
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (5,537,097     (8,177,791     (60,591,547     69,763,997   

Short-term U.S. government and agency obligations

     1,655        7,012        37        22,878   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (5,535,442     (8,170,779     (60,591,510     69,786,875   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (2,518,631     827,483        30,435,313        (11,459,427

Short-term U.S. government and agency obligations

     2,404        35,266        33,446        27,437   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,516,227     862,749        30,468,759        (11,431,990
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (8,051,669     (7,308,030     (30,122,751     58,354,885   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (8,709,326   $ (8,659,792   $ (32,251,855   $ 54,517,347   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 522,306,518   

Addition of 650,000 shares

     15,418,329   

Redemption of 5,500,014 shares

     (134,557,406
  

 

 

 

Net addition (redemption) of (4,850,014) shares

     (119,139,077
  

 

 

 

Net investment income (loss)

     (2,129,104

Net realized gain (loss)

     (60,591,510

Change in net unrealized appreciation/depreciation

     30,468,759   
  

 

 

 

Net income (loss)

     (32,251,855
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 370,915,586   
  

 

 

 

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (32,251,855   $ 54,517,347   

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

    

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

     (15,803,000     —     

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

     (1,046,594,054     (1,420,398,053

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

     1,240,067,697        1,365,118,964   

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

     (765,698     (162,381

Net realized gain (loss) on investments

     (37     (22,878

Change in unrealized appreciation/depreciation on investments

     (30,468,759     11,431,990   

Increase (Decrease) in management fee payable

     (124,210     513,358   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     114,060,084        10,998,347   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     15,418,329        323,411,326   

Payment on shares redeemed

     (139,665,636     (334,884,280
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (124,247,307     (11,472,954
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (10,187,223     (474,607

Cash, beginning of period

     10,372,583        746,454   
  

 

 

   

 

 

 

Cash, end of period

   $ 185,360      $ 271,847   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 771,577       $ 276,968   

Segregated cash balances with brokers for foreign currency forward contracts

     1,274,000         —       

Short-term U.S. government and agency obligations (Note 3)
(cost $261,918,816 and $260,014,650, respectively)

     261,940,610         259,997,001   

Unrealized appreciation on foreign currency forward contracts

     380,225         933,727   
  

 

 

    

 

 

 

Total assets

     264,366,412         261,207,696   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —             8,794,729   

Management fee payable

     197,959         210,888   

Unrealized depreciation on foreign currency forward contracts

     268,909         14,829,179   
  

 

 

    

 

 

 

Total liabilities

     466,868         23,834,796   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     263,899,544         237,372,900   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 264,366,412       $ 261,207,696   
  

 

 

    

 

 

 

Shares outstanding

     4,349,290         2,699,294   
  

 

 

    

 

 

 

Net asset value per share

   $ 60.68       $ 87.94   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 60.64       $ 87.89   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.265% due 10/06/16

   $ 6,000,000       $ 5,999,945   

0.303% due 10/13/16†

     84,000,000         83,996,035   

0.264% due 10/20/16

     29,183,000         29,181,141   

0.272% due 10/27/16†

     24,737,000         24,733,784   

0.251% due 11/03/16†

     11,794,000         11,791,969   

0.257% due 11/10/16†

     36,195,000         36,187,739   

0.292% due 11/25/16†

     44,500,000         44,489,516   

0.190% due 12/01/16

     1,000,000         999,722   

0.156% due 12/08/16

     10,000,000         9,996,700   

0.235% due 12/15/16†

     10,271,000         10,267,147   

0.210% due 01/05/17

     4,300,000         4,296,912   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $261,918,816)

      $ 261,940,610   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/07/16         812,107,700      $ 8,009,961      $ 25,969   

Yen with UBS AG

     10/07/16         4,484,904,300        44,235,400        (110,209
         

 

 

 
          $ (84,240
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/07/16         (27,401,188,900   $ (270,262,747   $ (158,700

Yen with UBS AG

     10/07/16         (31,384,937,700     (309,555,163     354,256   
         

 

 

 
          $ 195,556   
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 155,603      $ 28,980      $ 328,442      $ 113,947   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     563,817        894,286        1,462,231        3,069,183   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     563,817        894,286        1,462,231        3,069,183   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (408,214     (865,306     (1,133,789     (2,955,236
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (33,476,385     (32,435,377     (86,173,771     (6,900,989

Short-term U.S. government and agency obligations

     (44     107        (5,838     4,415   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (33,476,429     (32,435,270     (86,179,609     (6,896,574
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     23,071,090        13,321,397        14,006,768        688,046   

Short-term U.S. government and agency obligations

     14,852        6,858        39,443        (1,053
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     23,085,942        13,328,255        14,046,211        686,993   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (10,390,487     (19,107,015     (72,133,398     (6,209,581
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (10,798,701   $ (19,972,321   $ (73,267,187   $ (9,164,817
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $  237,372,900   

Addition of 2,100,000 shares

     136,071,321   

Redemption of 450,004 shares

     (36,277,490
  

 

 

 

Net addition (redemption) of 1,649,996 shares

     99,793,831   
  

 

 

 

Net investment income (loss)

     (1,133,789

Net realized gain (loss)

     (86,179,609

Change in net unrealized appreciation/depreciation

     14,046,211   
  

 

 

 

Net income (loss)

     (73,267,187
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 263,899,544   
  

 

 

 

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (73,267,187   $ (9,164,817

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

    

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

     (1,274,000     —     

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

     (627,277,970     (1,027,392,799

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

     625,696,408        1,251,995,308   

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

     (328,442     (113,947

Net realized gain (loss) on investments

     5,838        (4,415

Change in unrealized appreciation/depreciation on investments

     (14,046,211     (686,993

Increase (Decrease) in management fee payable

     (12,929     129,743   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (90,504,493     214,762,080   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     136,071,321        124,524,910   

Payment on shares redeemed

     (45,072,219     (339,511,356
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     90,999,102        (214,986,446
  

 

 

   

 

 

 

Net increase (decrease) in cash

     494,609        (224,366

Cash, beginning of period

     276,968        532,706   
  

 

 

   

 

 

 

Cash, end of period

   $ 771,577      $ 308,340   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 5,295,416       $ 4,008,379   

Segregated cash balances with brokers for futures contracts

     26,620,550         47,571,810   

Segregated cash balances with brokers for swap agreements

     26,365,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $880,662,875 and $797,652,302, respectively)

     880,695,307         797,650,543   

Unrealized appreciation on swap agreements

     70,822,188         —     

Receivable from capital shares sold

     —           4,894,509   

Receivable on open futures contracts

     3,153,394         5,150,763   

Receivable from counterparty

     17,625,333         —     
  

 

 

    

 

 

 

Total assets

     1,030,577,188         859,276,004   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     50,113,107         2,514,956   

Brokerage commissions and fees payable

     10,152         25,000   

Management fee payable

     696,423         636,984   

Unrealized depreciation on swap agreements

     —           72,176,589   
  

 

 

    

 

 

 

Total liabilities

     50,819,682         75,353,529   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     979,757,506         783,922,475   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 1,030,577,188       $ 859,276,004   
  

 

 

    

 

 

 

Shares outstanding

     93,227,866         62,327,867   
  

 

 

    

 

 

 

Net asset value per share

   $ 10.51       $ 12.58   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 10.38       $ 12.54   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.213% due 10/06/16†

   $ 69,039,000       $ 69,038,365   

0.269% due 10/13/16†

     3,210,000         3,209,849   

0.264% due 10/20/16†

     46,860,000         46,857,015   

0.253% due 11/03/16†

     216,402,000         216,364,736   

0.244% due 11/10/16†

     148,000,000         147,970,311   

0.261% due 11/17/16†

     40,000,000         39,991,252   

0.288% due 11/25/16†

     6,900,000         6,898,374   

0.172% due 12/01/16

     25,000,000         24,993,035   

0.156% due 12/08/16

     10,000,000         9,996,700   

0.124% due 12/15/16†

     70,000,000         69,973,743   

0.181% due 12/22/16†

     127,065,000         126,997,236   

0.237% due 01/05/17

     38,500,000         38,472,353   

0.350% due 01/12/17

     5,000,000         4,996,353   

0.343% due 01/19/17†

     35,000,000         34,971,125   

0.391% due 01/26/17†

     40,000,000         39,964,860   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $880,662,875)

      $ 880,695,307   
     

 

 

 

Futures Contracts Purchased††

 

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

WTI Crude Oil - NYMEX, expires November 2016

     8,345       $ 402,562,800       $ 29,388,291   

Swap Agreements^

 

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

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

     0.18     10/06/16       $ 566,152,847       $ 25,439,697   

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

     0.25     10/06/16         454,062,414         19,367,023   

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

     0.25     10/06/16         100,430,739         5,772,124   

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

     0.25     10/06/16         436,225,560         20,243,344   
          

 

 

 
           $ 70,822,188   
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
†† Cash collateral in the amount of $26,620,550 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

 

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 547,630      $ 75,891      $ 1,497,225      $ 217,460   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     2,118,318        2,012,640        6,031,448        6,257,893   

Brokerage commissions and fees

     112,742        148,396        443,936        449,106   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,231,060        2,161,036        6,475,384        6,706,999   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,683,430     (2,085,145     (4,978,159     (6,489,539
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (51,064,247     (197,981,324     (14,115,761     (195,748,120

Swap agreements

     (195,154,381     (331,918,263     (118,756,695     (301,530,415

Short-term U.S. government and agency obligations

     2,107        (3,934     (13,583     56,938   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (246,216,521     (529,903,521     (132,886,039     (497,221,597
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     41,481,937        4,743,818        47,317,605        42,513,527   

Swap agreements

     124,100,958        (63,442,803     142,998,777        30,866,052   

Short-term U.S. government and agency obligations

     8,186        64,175        34,191        64,564   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     165,591,081        (58,634,810     190,350,573        73,444,143   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (80,625,440     (588,538,331     57,464,534        (423,777,454
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (82,308,870   $ (590,623,476   $ 52,486,375      $ (430,266,993
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 783,922,475   

Addition of 100,950,000 shares

     874,249,040   

Redemption of 70,050,001 shares

     (730,900,384
  

 

 

 

Net addition (redemption) of 30,899,999 shares

     143,348,656   
  

 

 

 

Net investment income (loss)

     (4,978,159

Net realized gain (loss)

     (132,886,039

Change in net unrealized appreciation/depreciation

     190,350,573   
  

 

 

 

Net income (loss)

     52,486,375   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 979,757,506   
  

 

 

 

 

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 52,486,375      $ (430,266,993

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

     20,951,260        12,585,001   

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

     (26,365,000     —     

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

     (2,817,353,950     (3,406,730,520

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

     2,735,827,019        3,064,708,146   

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

     (1,497,225     (214,320

Net realized gain (loss) on investments

     13,583        (56,938

Change in unrealized appreciation/depreciation on investments

     (143,032,968     (30,930,616

Decrease (Increase) in receivable on futures contracts

     1,997,369        —     

Decrease (Increase) in receivable from counterparty

     (17,625,333     —     

Increase (Decrease) in management fee payable

     59,439        952,458   

Increase (Decrease) in brokerage commissions and fees payable

     (14,848     29,166   

Increase (Decrease) in payable on futures contracts

     —          (4,208,225
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (194,554,279     (794,132,841
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     879,143,549        1,969,638,334   

Payment on shares redeemed

     (683,302,233     (1,173,946,419
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     195,841,316        795,691,915   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,287,037        1,559,074   

Cash, beginning of period

     4,008,379        2,349,384   
  

 

 

   

 

 

 

Cash, end of period

   $ 5,295,416      $ 3,908,458   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,359,693       $ 1,411,137   

Segregated cash balances with brokers for futures contracts

     5,648,224         7,595,280   

Short-term U.S. government and agency obligations (Note 3)
(cost $25,844,015 and $26,806,648, respectively)

     25,847,011         26,807,731   

Receivable on open futures contracts

     —           3,065,769   
  

 

 

    

 

 

 

Total assets

     32,854,928         38,879,917   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,073,868         —     

Brokerage commissions and fees payable

     2,387         3,623   

Management fee payable

     28,466         25,110   
  

 

 

    

 

 

 

Total liabilities

     1,104,721         28,733   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     31,750,207         38,851,184   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 32,854,928       $ 38,879,917   
  

 

 

    

 

 

 

Shares outstanding

     2,192,169         2,092,170   
  

 

 

    

 

 

 

Net asset value per share

   $ 14.48       $ 18.57   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 14.58       $ 18.48   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(81% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.238% due 10/20/16

   $ 2,386,000       $ 2,385,848   

0.230% due 10/27/16

     8,228,000         8,226,930   

0.286% due 11/10/16

     4,000,000         3,999,198   

0.306% due 11/25/16

     5,000,000         4,998,822   

0.180% due 12/22/16

     1,241,000         1,240,338   

0.341% due 01/19/17

     5,000,000         4,995,875   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $25,844,015)

      $ 25,847,011   
     

 

 

 

Futures Contracts Purchased††

 

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

Natural Gas - NYMEX, November 2016

     2,185       $ 63,496,100       $ (1,439,814

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $5,648,224 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

 

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 18,114      $ 3,636      $ 45,257      $ 15,020   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     85,894        147,696        229,760        479,185   

Brokerage commissions and fees

     25,652        46,406        98,016        156,022   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     111,546        194,102        327,776        635,207   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (93,432     (190,466     (282,519     (620,187
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     1,964,411        (8,595,657     6,591,697        (58,404,100

Short-term U.S. government and agency obligations

     264        (181     (405     4,630   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     1,964,675        (8,595,838     6,591,292        (58,399,470
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (8,409,834     (13,040,143     (7,752,693     20,999,849   

Short-term U.S. government and agency obligations

     2,064        2,650        1,913        2,109   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (8,407,770     (13,037,493     (7,750,780     21,001,958   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (6,443,095     (21,633,331     (1,159,488     (37,397,512
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (6,536,527   $ (21,823,797   $ (1,442,007   $ (38,017,699
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

69


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 38,851,184   

Addition of 2,200,000 shares

     24,550,026   

Redemption of 2,100,001 shares

     (30,208,996
  

 

 

 

Net addition (redemption) of 99,999 shares

     (5,658,970
  

 

 

 

Net investment income (loss)

     (282,519

Net realized gain (loss)

     6,591,292   

Change in net unrealized appreciation/depreciation

     (7,750,780
  

 

 

 

Net income (loss)

     (1,442,007
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 31,750,207   
  

 

 

 

 

See accompanying notes to financial statements.

 

70


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (1,442,007   $ (38,017,699

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

     1,947,056        19,099,536   

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

     (89,354,690     (227,408,040

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

     90,362,175        230,049,810   

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

     (45,257     (13,699

Net realized gain (loss) on investments

     405        (4,630

Change in unrealized appreciation/depreciation on investments

     (1,913     (2,109

Decrease (Increase) in receivable on futures contracts

     3,065,769        —     

Increase (Decrease) in management fee payable

     3,356        30,976   

Increase (Decrease) in brokerage commissions and fees payable

     (1,236     4,750   

Increase (Decrease) in payable on futures contracts

     1,073,868        (7,135,277
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     5,607,526        (23,396,382
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     24,550,026        78,797,856   

Payment on shares redeemed

     (30,208,996     (54,776,954
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (5,658,970     24,020,902   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (51,444     624,520   

Cash, beginning of period

     1,411,137        1,653,582   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,359,693      $ 2,278,102   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

71


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 108,039       $ 251,524   

Segregated cash balances with brokers for futures contracts

     11,880         8,250   

Segregated cash balances with brokers for forward agreements

     394,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $101,973,369 and $71,908,280, respectively)

     101,973,583         71,912,587   

Receivable on open futures contracts

     —           80   
  

 

 

    

 

 

 

Total assets

     102,487,502         72,172,441   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,780         —     

Management fee payable

     78,324         57,031   

Unrealized depreciation on forward agreements

     2,458,129         2,250,595   
  

 

 

    

 

 

 

Total liabilities

     2,538,233         2,307,626   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     99,949,269         69,864,815   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 102,487,502       $ 72,172,441   
  

 

 

    

 

 

 

Shares outstanding

     2,250,000         2,350,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 44.42       $ 29.73   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 44.01       $ 29.73   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

72


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(102% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.276% due 10/06/16†

   $ 18,819,000       $ 18,818,827   

0.303% due 10/13/16†

     25,000,000         24,998,820   

0.313% due 10/20/16†

     4,000,000         3,999,745   

0.251% due 11/03/16†

     14,579,000         14,576,489   

0.261% due 11/17/16†

     2,000,000         1,999,562   

0.307% due 11/25/16†

     4,000,000         3,999,058   

0.181% due 12/22/16†

     33,599,000         33,581,082   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $101,973,369)

      $ 101,973,583   
     

 

 

 

Futures Contracts Purchased††

 

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

Gold Futures - COMEX, expires December 2016

     2       $ 263,420       $ (1,800

Forward Agreements^

 

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

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

     1.25     10/06/16       $ 42,200       $ 55,818,784       $ (712,389

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

     1.65        10/06/16         32,100         42,461,880         (499,050

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

     1.38        10/06/16         36,520         48,305,004         (600,158

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

     1.45        10/06/16         15,400         20,369,734         (244,025

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

     1.34        10/06/16         24,700         32,670,937         (402,507
             

 

 

 
              $ (2,458,129
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $11,880 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

73


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 72,710      $ 5,853      $ 178,730      $ 27,485   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     245,192        195,929        665,265        657,667   

Brokerage commissions and fees

     8        8        33        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     245,200        195,937        665,298        657,700   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (172,490     (190,084     (486,568     (630,215
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     7,280        (13,520     45,880        (1,660

Forward agreements

     12,622,611        (8,307,389     33,658,090        (12,227,181

Short-term U.S. government and agency obligations

     193        (3,445     296        (1,245
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     12,630,084        (8,324,354     33,704,266        (12,230,086
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (9,380     1,780        3,400        (13,220

Forward agreements

     (13,407,534     (874,327     (207,534     (3,340,385

Short-term U.S. government and agency obligations

     (6,051     6,644        (4,093     4,311   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (13,422,965     (865,903     (208,227     (3,349,294
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (792,881     (9,190,257     33,496,039        (15,579,380
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (965,371   $ (9,380,341   $ 33,009,471      $ (16,209,595
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

74


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $  69,864,815   

Addition of 150,000 shares

     6,445,287   

Redemption of 250,014 shares

     (9,370,304
  

 

 

 

Net addition (redemption) of (100,014) shares

     (2,925,017
  

 

 

 

Net investment income (loss)

     (486,568

Net realized gain (loss)

     33,704,266   

Change in net unrealized appreciation/depreciation

     (208,227
  

 

 

 

Net income (loss)

     33,009,471   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 99,949,269   
  

 

 

 

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 33,009,471      $ (16,209,595

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

     (3,630     550   

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

     (394,000     —     

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

     (268,415,817     (194,601,532

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

     238,529,754        216,766,479   

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

     (178,730     (27,485

Net realized gain (loss) on investments

     (296     1,245   

Change in unrealized appreciation/depreciation on investments

     211,627        3,336,074   

Decrease (Increase) in receivable on futures contracts

     80        —     

Increase (Decrease) in management fee payable

     21,293        43,173   

Increase (Decrease) in payable on futures contracts

     1,780        (940
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,781,532        9,307,969   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     6,445,287        3,851,383   

Payment on shares redeemed

     (9,370,304     (10,419,353
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,925,017     (6,567,970
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (143,485     2,739,999   

Cash, beginning of period

     251,524        104,145   
  

 

 

   

 

 

 

Cash, end of period

   $ 108,039      $ 2,844,144   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

76


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 382,362       $ 243,900   

Segregated cash balances with brokers for futures contracts

     11,550         17,160   

Segregated cash balances with brokers for forward agreements

     2,561,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $382,317,301 and $238,900,176, respectively)

     382,334,562         238,899,626   

Receivable on open futures contracts

     260         —     
  

 

 

    

 

 

 

Total assets

     385,289,734         239,160,686   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           1,875   

Management fee payable

     293,411         181,068   

Unrealized depreciation on forward agreements

     12,745,195         22,561,101   
  

 

 

    

 

 

 

Total liabilities

     13,038,606         22,744,044   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     372,251,128         216,416,642   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 385,289,734       $ 239,160,686   
  

 

 

    

 

 

 

Shares outstanding

     7,596,526         7,996,533   
  

 

 

    

 

 

 

Net asset value per share

   $ 49.00       $ 27.06   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 48.11       $ 27.08   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

77


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(103% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.276% due 10/06/16†

   $ 173,874,000       $ 173,872,400   

0.303% due 10/13/16†

     10,000,000         9,999,528   

0.313% due 10/20/16†

     10,000,000         9,999,363   

0.251% due 11/03/16

     27,223,000         27,218,312   

0.240% due 11/10/16†

     71,289,000         71,274,700   

0.261% due 11/17/16†

     37,000,000         36,991,908   

0.306% due 11/25/16†

     10,000,000         9,997,644   

0.181% due 12/15/16†

     23,000,000         22,991,373   

0.181% due 12/22/16†

     20,000,000         19,989,334   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $382,317,301)

      $ 382,334,562   
     

 

 

 

Futures Contracts Purchased††

 

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

Silver Futures - COMEX, expires December 2016

     2       $ 192,140       $ 1,480   

Forward Agreements^

 

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

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

     1.35     10/06/16       $ 11,202,000       $ 216,797,907       $ (3,516,545

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

     1.87        10/06/16         5,720,800         110,726,656         (2,669,570

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

     1.55        10/06/16         9,746,800         188,634,694         (3,421,695

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

     1.66        10/06/16         3,484,000         67,428,291         (934,524

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

     1.55        10/06/16         8,303,000         160,692,111         (2,202,861
             

 

 

 
              $ (12,745,195
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $11,550 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
** For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

78


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 277,478      $ 35,179      $ 587,744      $ 109,726   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     978,671        631,618        2,300,935        2,085,125   

Brokerage commissions and fees

     9        15        36        42   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     978,680        631,633        2,300,971        2,085,167   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (701,202     (596,454     (1,713,227     (1,975,441
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     15,260        (8,426     50,360        (8,725

Forward agreements

     119,357,106        (56,502,419     174,820,159        (72,512,082

Short-term U.S. government and agency obligations

     336        (8,981     2,562        (2,867
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     119,372,702        (56,519,826     174,873,081        (72,523,674
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (10,650     (4,385     10,510        (7,735

Forward agreements

     (88,229,820     13,733,121        9,815,906        12,269,714   

Short-term U.S. government and agency obligations

     4,068        25,121        17,811        21,471   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (88,236,402     13,753,857        9,844,227        12,283,450   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     31,136,300        (42,765,969     184,717,308        (60,240,224
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 30,435,098      $ (43,362,423   $ 183,004,081      $ (62,215,665
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

79


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $  216,416,642   

Addition of 1,500,000 shares

     55,483,218   

Redemption of 1,900,007 shares

     (82,652,813
  

 

 

 

Net addition (redemption) of (400,007) shares

     (27,169,595
  

 

 

 

Net investment income (loss)

     (1,713,227

Net realized gain (loss)

     174,873,081   

Change in net unrealized appreciation/depreciation

     9,844,227   
  

 

 

 

Net income (loss)

     183,004,081   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 372,251,128   
  

 

 

 

 

See accompanying notes to financial statements.

 

80


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 183,004,081      $ (62,215,665

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

     5,610        1,100   

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

     (2,561,000     —     

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

     (980,153,795     (613,020,609

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

     837,326,976        673,161,451   

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

     (587,744     (109,726

Net realized gain (loss) on investments

     (2,562     2,867   

Change in unrealized appreciation/depreciation on investments

     (9,833,717     (12,291,185

Decrease (Increase) in receivable on futures contracts

     (260     —     

Increase (Decrease) in management fee payable

     112,343        158,866   

Increase (Decrease) in payable on futures contracts

     (1,875     (6,220
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     27,308,057        (14,319,121
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     55,483,218        75,984,034   

Payment on shares redeemed

     (82,652,813     (61,724,731
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (27,169,595     14,259,303   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     138,462        (59,818

Cash, beginning of period

     243,900        305,004   
  

 

 

   

 

 

 

Cash, end of period

   $ 382,362      $ 245,186   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

81


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 198,644       $ 227,310   

Short-term U.S. government and agency obligations (Note 3)
(cost $9,538,021 and $11,605,665, respectively)

     9,537,166         11,605,262   

Unrealized appreciation on foreign currency forward contracts

     —           604,920   
  

 

 

    

 

 

 

Total assets

     9,735,810         12,437,492   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           1,569,718   

Management fee payable

     7,512         10,044   

Unrealized depreciation on foreign currency forward contracts

     49,584         —     
  

 

 

    

 

 

 

Total liabilities

     57,096         1,579,762   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     9,678,714         10,857,730   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 9,735,810       $ 12,437,492   
  

 

 

    

 

 

 

Shares outstanding

     600,000         700,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 16.13       $ 15.51   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 16.12       $ 15.51   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

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

   

U.S. Treasury Bills^^:

     

0.270% due 12/01/16†

   $ 1,000,000       $ 999,721   

0.181% due 12/22/16†

     8,542,000         8,537,445   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $9,538,021)

      $ 9,537,166   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     10/07/16         9,020,825      $ 10,135,383      $ (25,417

Euro with UBS AG

     10/07/16         8,385,200        9,421,224        (23,361
         

 

 

 
          $ (48,778
         

 

 

 

Contracts to Sell

         

Euro with UBS AG

     10/07/16         (169,500   $ (190,442   $ (806
         

 

 

 
          $ (806
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

83


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 6,257      $ 514      $ 18,054      $ 2,076   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     22,916        27,210        71,859        78,687   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     22,916        27,210        71,859        78,687   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (16,659     (26,696     (53,805     (76,611
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     46,252        68,814        1,155,961        (559,487

Short-term U.S. government and agency obligations

     6        (27     153        33   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     46,258        68,787        1,156,114        (559,454
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     118,030        (8,853     (654,504     (38,964

Short-term U.S. government and agency obligations

     (1,819     (486     (452     (344
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     116,211        (9,339     (654,956     (39,308
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     162,469        59,448        501,158        (598,762
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 145,810      $ 32,752      $ 447,353      $ (675,373
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 10,857,730   

Addition of 50,000 shares

     831,691   

Redemption of 150,014 shares

     (2,458,060
  

 

 

 

Net addition (redemption) of (100,014) shares

     (1,626,369
  

 

 

 

Net investment income (loss)

     (53,805

Net realized gain (loss)

     1,156,114   

Change in net unrealized appreciation/depreciation

     (654,956
  

 

 

 

Net income (loss)

     447,353   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 9,678,714   
  

 

 

 

 

See accompanying notes to financial statements.

 

85


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PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 447,353      $ (675,373

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

    

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

     (36,177,928     (36,614,695

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

     38,263,779        28,336,621   

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

     (18,054     (2,076

Net realized gain (loss) on investments

     (153     (33

Change in unrealized appreciation/depreciation on investments

     654,956        39,308   

Increase (Decrease) in management fee payable

     (2,532     15,657   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     3,167,421        (8,900,591
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     831,691        13,540,570   

Payment on shares redeemed

     (4,027,778     (5,092,141
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (3,196,087     8,448,429   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (28,666     (452,162

Cash, beginning of period

     227,310        671,117   
  

 

 

   

 

 

 

Cash, end of period

   $ 198,644      $ 218,955   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 357,933       $ 147,371   

Short-term U.S. government and agency obligations (Note 3)
(cost $7,097,504 and $5,069,206, respectively)

     7,098,505         5,069,491   

Unrealized appreciation on foreign currency forward contracts

     364         267,014   
  

 

 

    

 

 

 

Total assets

     7,456,802         5,483,876   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     5,730         4,325   

Unrealized depreciation on foreign currency forward contracts

     7,343         5,703   
  

 

 

    

 

 

 

Total liabilities

     13,073         10,028   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     7,443,729         5,473,848   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 7,456,802       $ 5,483,876   
  

 

 

    

 

 

 

Shares outstanding

     99,970         99,974   
  

 

 

    

 

 

 

Net asset value per share

   $ 74.46       $ 54.75   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 74.48       $ 54.70   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

87


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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations
(95% of shareholders’ equity)

   

U.S. Treasury Bills^^:

     

0.313% due 10/20/16†

   $ 3,000,000       $ 2,999,809   

0.310% due 11/25/16

     3,400,000         3,399,199   

0.210% due 01/05/17

     700,000         699,497   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $7,097,504)

      $ 7,098,505   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/07/16         1,029,857,000      $ 10,157,661      $ (1,558

Yen with UBS AG

     10/07/16         524,705,100        5,175,259        (4,142
         

 

 

 
          $ (5,700
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/07/16         (34,119,100   $ (336,523   $ (1,643

Yen with UBS AG

     10/07/16         (11,065,500     (109,141     364   
         

 

 

 
          $ (1,279
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of September 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.
^^ Rates shown represents discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

88


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PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016
    Three months
ended
September 30,
2015
    Nine months
ended
September 30,
2016
    Nine months
ended
September 30,
2015
 

Investment Income

        

Interest

   $ 4,659      $ 1,069      $ 11,808      $ 1,819   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     17,545        12,814        47,356        35,135   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     17,545        12,814        47,356        35,135   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (12,886     (11,745     (35,548     (33,316
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     955,047        344,294        2,273,130        (174,883

Short-term U.S. government and agency obligations

     72        —          72        8   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     955,119        344,294        2,273,202        (174,875
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (764,447     (148,766     (268,290     26,397   

Short-term U.S. government and agency obligations

     679        1,709        716        1,823   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (763,768     (147,057     (267,574     28,220   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     191,351        197,237        2,005,628        (146,655
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 178,465      $ 185,492      $ 1,970,080      $ (179,971
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 5,473,848   

Redemption of 4 shares

     (199
  

 

 

 

Net addition (redemption) of (4) shares

     (199
  

 

 

 

Net investment income (loss)

     (35,548

Net realized gain (loss)

     2,273,202   

Change in net unrealized appreciation/depreciation

     (267,574
  

 

 

 

Net income (loss)

     1,970,080   
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 7,443,729   
  

 

 

 

 

See accompanying notes to financial statements.

 

90


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PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016
    Nine months ended
September 30, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 1,970,080      $ (179,971

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

    

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

     (19,949,134     (11,027,181

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

     17,932,716        7,302,962   

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

     (11,808     (1,819

Net realized gain (loss) on investments

     (72     (8

Change in unrealized appreciation/depreciation on investments

     267,574        (28,220

Increase (Decrease) in management fee payable

     1,405        7,051   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     210,761        (3,927,186
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          4,285,016   

Payment on shares redeemed

     (199     (688,682
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (199     3,596,334   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     210,562        (330,852

Cash, beginning of period

     147,371        846,919   
  

 

 

   

 

 

 

Cash, end of period

   $ 357,933      $ 516,067   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

91


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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 37,339,367       $ 48,049,225   

Segregated cash balances with brokers for futures contracts

     146,999,919         261,083,712   

Segregated cash balances with brokers for swap agreements

     27,493,000         —     

Segregated cash balances with brokers for forward agreements

     12,334,000         —     

Segregated cash balances with brokers for foreign currency forward contracts

     17,077,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $3,675,124,534 and $3,313,585,456, respectively)

     3,675,410,177         3,313,591,600   

Unrealized appreciation on swap agreements

     70,822,188         6,669,519   

Unrealized appreciation on forward agreements

     2,099,088         6,587,221   

Unrealized appreciation on foreign currency forward contracts

     2,105,566         1,805,661   

Receivable from capital shares sold

     128,993,932         48,046,138   

Receivable on open futures contracts

     8,044,820         27,655,327   

Receivable from counterparty

     17,625,333         —     
  

 

 

    

 

 

 

Total assets

     4,146,344,390         3,713,488,403   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     66,001,323         60,119,975   

Payable on open futures contracts

     33,679,867         3,078,269   

Brokerage commissions and fees payable

     14,454         39,148   

Management fee payable

     2,863,530         2,839,305   

Unrealized depreciation on swap agreements

     16,564,825         72,446,044   

Unrealized depreciation on forward agreements

     15,203,324         24,811,696   

Unrealized depreciation on foreign currency forward contracts

     325,836         43,545,218   

Payable to counterparty

     1,736,880         —     
  

 

 

    

 

 

 

Total liabilities

     136,390,039         206,879,655   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     4,009,954,351         3,506,608,748   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $  4,146,344,390       $  3,713,488,403   
  

 

 

    

 

 

 

Shares outstanding

     191,604,054         121,357,508   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

92


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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

 

     Three months
ended
September 30,
2016**
    Three months
ended
September 30,
2015
    Nine months
ended September 30,
2016*
    Nine months
ended
September 30,
2015***
 

Investment Income

        

Interest

   $ 2,361,927      $ 283,914      $ 6,523,319      $ 946,945   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     8,874,154        8,276,639        26,210,756        26,470,056   

Brokerage commissions and fees

     1,837,843        1,458,671        5,741,230        4,632,414   

Offering costs

     —          16,581        —          49,203   

Limitation by Sponsor

     —          —          —          (1,539

Reduction in Limitation by Sponsor

     —          485        —          —     
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     10,711,997        9,752,376        31,951,986        31,150,134   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (8,350,070     (9,468,462     (25,428,667     (30,203,189
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (616,625,175     81,634,309        (1,157,016,680     (469,190,037

Swap agreements

     (152,532,535     (291,982,643     (154,872,473     (279,256,847

Forward agreements

     106,840,064        (49,890,271     151,948,518        (70,345,600

Foreign currency forward contracts

     (38,012,183     (40,200,062     (143,336,227     62,128,638   

Short-term U.S. government and agency obligations

     16,487        (1,053     (24,164     161,365   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (700,313,342     (300,439,720     (1,303,301,026     (756,502,481
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     120,520,628        (131,925,029     (10,191,565     (20,936,275

Swap agreements

     95,697,940        (55,411,844     120,033,888        5,055,280   

Forward agreements

     (82,379,401     10,145,947        5,120,239        10,461,747   

Foreign currency forward contracts

     19,906,042        13,991,261        43,519,287        (10,783,948

Short-term U.S. government and agency obligations

     136,969        214,467        279,499        199,969   
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     153,882,178        (162,985,198     158,761,348        (16,003,227
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (546,431,164     (463,424,918     (1,144,539,678     (772,505,708
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (554,781,234   $ (472,893,380   $ (1,169,968,345   $ (802,708,897
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* The operations include the activity of: ProShares Managed Futures Strategy through March 30, 2016, ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation, respectively. See Note 1.
** The operations include the activity of ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation. See Note 1.
*** The operations include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016*

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 3,506,608,748   

Addition of 249,980,000 shares

     8,527,215,920   

Redemption of 179,733,454 shares

     (6,853,901,972
  

 

 

 

Net addition (redemption) of 70,246,546 shares

     1,673,313,948   
  

 

 

 

Net investment income (loss)

     (25,428,667

Net realized gain (loss)

     (1,303,301,026

Change in net unrealized appreciation/depreciation

     158,761,348   
  

 

 

 

Net income (loss)

     (1,169,968,345
  

 

 

 

Shareholders’ equity, at September 30, 2016

   $ 4,009,954,351   
  

 

 

 

 

* The operations include the activity of: ProShares Managed Futures Strategy through March 30, 2016, ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation, respectively. See Note 1.

 

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, 2016 AND 2015

(unaudited)

 

     Nine months ended
September 30, 2016*
    Nine months ended
September 30, 2015**
 

Cash flow from operating activities

    

Net income (loss)

   $ (1,169,968,345   $ (802,708,897

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

     114,083,793        81,972,900   

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

     (27,493,000     (906,000

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

     (12,334,000     —     

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

     (17,077,000     —     

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

     (14,039,604,848     (13,306,525,393

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

     13,684,559,003        13,031,571,704   

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

     (6,517,397     (940,846

Net realized gain (loss) on investments

     24,164        (161,365

Change in unrealized appreciation/depreciation on investments

     (168,952,913     (4,933,048

Decrease (Increase) in receivable on futures contracts

     19,610,507        39,839,924   

Decrease (Increase) in receivable from counterparty

     (17,625,333     —     

Decrease (Increase) in Limitation by Sponsor

     —          (1,539

Change in offering cost

     —          49,203   

Increase (Decrease) in management fee payable

     24,225        2,794,483   

Increase (Decrease) in brokerage commissions and fees payable

     (24,694     44,642   

Increase (Decrease) in payable to counterparty

     1,736,880        —     

Increase (Decrease) in payable on futures contracts

     30,601,598        (10,623,798
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (1,608,957,360     (970,528,030
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     8,446,268,126        7,162,561,141   

Payment on shares redeemed

     (6,848,020,624     (6,179,119,238
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,598,247,502        983,441,903   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (10,709,858     12,913,873   

Cash, beginning of period

     48,049,225        35,899,231   
  

 

 

   

 

 

 

Cash, end of period

   $ 37,339,367      $ 48,813,104   
  

 

 

   

 

 

 

 

* The operations include the activity of: ProShares Managed Futures Strategy through March 30, 2016, ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation, respectively. See Note 1.
** The operations include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2016

(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, 2016, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On February 18, 2016, the Trust announced plans to liquidate ProShares Managed Futures Strategy (ticker symbol: FUTS). ProShares Managed Futures Strategy was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on March 18, 2016. Beginning March 21, 2016, no secondary market for ProShares Managed Futures Strategy’s Shares remained. Proceeds of the liquidation were distributed to shareholders on March 30, 2016. Any shareholders remaining in the Fund on March 30, 2016 automatically had their shares redeemed for cash at ProShares Managed Futures Strategy’s net asset value per Share as of March 21, 2016. On March 31, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Managed Futures Strategy on the NYSE Arca. On April 11, 2016 a Form 15 was filed with the SEC terminating the registration of ProShares Managed Futures Strategy.

On July 25, 2016, the Trust announced plans to liquidate ProShares Ultra Bloomberg Commodity (ticker symbol: UCD) and ProShares UltraShort Bloomberg Commodity (ticker symbol: CMD). ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity were closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on August 25, 2016. Beginning August 26, 2016, no secondary market for ProShares Ultra Bloomberg Commodity’s and ProShares UltraShort Bloomberg Commodity’s Shares remained. Proceeds of the liquidation were distributed to shareholders on September 1, 2016. Any shareholders remaining in each liquidating Fund on September 1, 2016 automatically had their shares redeemed for cash at each liquidating Fund’s net asset value per Share as of August 26, 2016. On September 2, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity on the NYSE Arca. On September 27, 2016, a Form 15 was filed with the SEC terminating the registration of ProShares Ultra Bloomberg Commodity and ProShares UltraShort Bloomberg Commodity.

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

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.

 

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

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

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

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

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2015 and the nine months ended September 30, 2016. 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 Ultra VIX Short-Term Futures ETF

   May 20, 2015    1-for-5 reverse Share split    May 20, 2015

ProShares Ultra Bloomberg Crude Oil

   May 20, 2015    1-for-5 reverse Share split    May 20, 2015

ProShares Ultra Bloomberg Natural Gas

   May 20, 2015    1-for-4 reverse Share split    May 20, 2015

ProShares Ultra Yen

   May 20, 2015    1-for-4 reverse Share split    May 20, 2015

ProShares UltraShort Silver

   November 13, 2015    2-for-1 Share split    November 13, 2015

ProShares UltraShort Bloomberg Natural Gas

   July 25, 2016    3-for-1 Share split    July 25, 2016

ProShares VIX Short-Term Futures ETF

   July 25, 2016    1-for-5 reverse Share split    July 25, 2016

ProShares Ultra VIX Short-Term Futures ETF

   July 25, 2016    1-for-5 reverse Share split    July 25, 2016

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

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

 

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NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015, as filed with the SEC on February 29, 2016.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2016, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2016 were as follows. All times are Eastern Standard Time:

 

     Create/
Redeem

Cut-off*
     NAV
Calculation

Time
     NAV
Calculation
Date
 

UltraShort Silver, Ultra Silver

     6:30 a.m.         7:00 a.m.         September 30   

UltraShort Gold, Ultra Gold

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

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

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

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

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

UltraShort Australian Dollar

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

Short Euro,

        

UltraShort Euro,

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

Ultra Euro

        

 

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UltraShort Yen,

Ultra Yen

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

VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

Short VIX Short-Term Futures ETF

     2:00 p.m.         4:15 p.m.         September 30   

VIX Mid-Term Futures ETF

     2:00 p.m.         4:15 p.m.         September 30   

 

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2016.

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2016.

Investment Valuation

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

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

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

 

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Fair Value of Financial Instruments

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

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

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

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

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

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

The following table summarizes the valuation of investments at September 30, 2016 using the fair value hierarchy:

 

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

VIX Short-Term Futures ETF

   $ 216,340,487       $ (9,553,983   $ —        $ —         $ —        $ 206,786,504   

VIX Mid-Term Futures ETF

     54,269,416         (2,262,150     —          —           —          52,007,266   

Short VIX Short-Term Futures ETF

     446,877,389         27,409,842        —          —           —          474,287,231   

Ultra VIX Short-Term Futures ETF

     653,723,238         (39,269,083     —          —           —          614,454,155   

UltraShort Bloomberg Crude Oil

     143,261,078         (4,381,977     —          —           (16,564,825     122,314,276   

UltraShort Bloomberg Natural Gas

     4,698,443         332,402        —          —           —          5,030,845   

UltraShort Gold

     66,850,191         1,800        1,580,555        —           —          68,432,546   

UltraShort Silver

     38,779,514         (1,480     518,533        —           —          39,296,567   

Short Euro

     12,692,318         (27,006     —          —           —          12,665,312   

UltraShort Australian Dollar

     14,999,045         (915,970     —          —           —          14,083,075   

UltraShort Euro

     353,492,314         —          —          1,724,977         —          355,217,291   

UltraShort Yen

     261,940,610         —          —          111,316         —          262,051,926   

Ultra Bloomberg Crude Oil

     880,695,307         29,388,291        —          —           70,822,188        980,905,786   

Ultra Bloomberg Natural Gas

     25,847,011         (1,439,814     —          —           —          24,407,197   

Ultra Gold

     101,973,583         (1,800     (2,458,129     —           —          99,513,654   

Ultra Silver

     382,334,562         1,480        (12,745,195     —           —          369,590,847   

 

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Table of Contents
     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  

Ultra Euro

     9,537,166         —          —          (49,584     —           9,487,582   

Ultra Yen

     7,098,505         —          —          (6,979     —           7,091,526   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

 

Total Trust

   $ 3,675,410,177       $ (719,448   $ (13,104,236   $ 1,779,730      $ 54,257,363       $ 3,717,623,586   

 

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

At September 30, 2016, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

At September 30, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

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

 

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

VIX Short-Term Futures ETF

   $ 96,073,659       $ (1,078,625   $ —        $ —        $ —        $ 94,995,034   

VIX Mid-Term Futures ETF

     25,976,287         (344,360     —          —          —          25,631,927   

Short VIX Short-Term Futures ETF

     535,392,718         10,746,415        —          —          —          546,139,133   

Ultra VIX Short-Term Futures ETF

     438,357,849         11,894,466        —          —          —          450,252,315   

UltraShort Bloomberg Crude Oil

     79,692,642         2,464,513        —          —          6,412,656        88,569,811   

UltraShort Bloomberg Natural Gas

     8,115,004         (2,471,164     —          —          —          5,643,840   

UltraShort Gold

     72,979,905         5,220        1,808,942        —          —          74,794,067   

UltraShort Silver

     50,730,230         5,970        4,778,279        —          —          55,514,479   

Short Euro

     15,153,211         243,438        —          —          —          15,396,649   

UltraShort Australian Dollar

     18,408,894         (420,270     —          —          —          17,988,624   

UltraShort Euro

     546,166,776         —          —          (28,710,336     —          517,456,440   

UltraShort Yen

     259,997,001         —          —          (13,895,452     —          246,101,549   

Ultra Bloomberg Crude Oil

     797,650,543         (17,929,314     —          —          (72,176,589     707,544,640   

Ultra Bloomberg Natural Gas

     26,807,731         6,312,879        —          —          —          33,120,610   

Ultra Gold

     71,912,587         (5,200     (2,250,595     —          —          69,656,792   

Ultra Silver

     238,899,626         (9,030     (22,561,101     —          —          216,329,495   

 

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     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  

Ultra Euro

     11,605,262         —           —          604,920        —          12,210,182   

Ultra Yen

     5,069,491         —           —          261,311        —          5,330,802   
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 3,298,989,416       $ 9,414,938       $ (18,224,475   $ (41,739,933   $ (65,763,933   $ 3,182,676,389   

 

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

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

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

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

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). 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.

 

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

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

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a

 

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particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Swap Agreements

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

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

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each

 

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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, 2016 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, 2016, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

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

 

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2016, 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.

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

 

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Fair Value of Derivative Instruments

as of September 30, 2016

 

    

Assets Derivatives

   

Liability Derivatives

 

Derivatives not
accounted for
as hedging
instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Depreciation
 

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

   $ 27,409,842  

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

   $ 9,553,983
             

ProShares VIX Mid-Term Futures ETF

     2,262,150
             

ProShares Ultra VIX Short-Term Futures ETF

     39,269,083

Commodities Contracts

  

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

  

ProShares Ultra Bloomberg Crude Oil

     100,210,479  

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

  

ProShares Ultra Bloomberg Natural Gas

     1,439,814
     

ProShares Ultra Silver

     1,480     

ProShares Ultra Gold

     2,459,929
     

ProShares UltraShort Bloomberg Natural Gas

     332,402     

ProShares Ultra Silver

     12,745,195   
     

ProShares UltraShort Gold

     1,582,355     

ProShares UltraShort Bloomberg Crude Oil

     20,946,802
     

ProShares UltraShort Silver

     518,533        

ProShares UltraShort Silver

     1,480

Foreign Exchange Contracts

  

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

  

ProShares Ultra Yen

     364     

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

  

ProShares Short Euro

     27,006
     

ProShares UltraShort Euro

     1,724,977        

ProShares Ultra Euro

     49,584   
     

ProShares UltraShort Yen

     380,225        

ProShares Ultra Yen

     7,343   
             

ProShares UltraShort Australian Dollar

     915,970
             

ProShares UltraShort Yen

     268,909   
        

 

 

         

 

 

 
     

Total Trust

   $ 132,160,657     

Total Trust

   $ 89,947,248

 

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

 

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Fair Value of Derivative Instruments

as of December 31, 2015

 

    

Assets Derivatives

   

Liability Derivatives

 

Derivatives not
accounted for
as hedging
instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Depreciation
 

VIX Futures Contracts

  

Receivables an open futures contracts

  

ProShares VIX Mid-Term Futures ETF

   $ 10,005  

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

   $ 1,078,625
     

ProShares Short VIX Short-Term Futures ETF

     10,805,245     

ProShares VIX Mid-Term Futures ETF

     354,365
     

ProShares Ultra VIX Short-Term Futures ETF

     11,894,466     

ProShares Short VIX Short-Term Futures ETF

     58,830

Commodities Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

     8,877,169  

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

  

ProShares UltraShort Bloomberg Natural Gas

     2,471,164
     

ProShares Ultra Bloomberg Natural Gas

     6,312,879     

ProShares Ultra Bloomberg Crude Oil

     90,105,903
     

ProShares UltraShort Gold

     1,814,162     

ProShares Ultra Gold

     2,255,795
     

ProShares UltraShort Silver

     4,784,249     

ProShares Ultra Silver

     22,570,131

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     243,438  

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

  

ProShares UltraShort Australian Dollar

     420,270
     

ProShares UltraShort Yen

     933,727        

ProShares UltraShort Euro

     28,710,336   
     

ProShares Ultra Euro

     604,920        

ProShares UltraShort Yen

     14,829,179   
     

ProShares Ultra Yen

     267,014        

ProShares Ultra Yen

     5,703   
        

 

 

         

 

 

 
     

Total Trust

   $ 46,547,274     

Total Trust

   $ 162,860,301

 

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

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2016

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

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

ProShares VIX Mid-Term Futures ETF

     (4,899,530     (1,149,750
     

ProShares Short VIX Short-Term Futures ETF

     277,246,086        (51,813,012
     

ProShares Ultra VIX Short-Term Futures ETF

     (745,101,700     138,973,918   

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

     50,281,494        (32,976,232
     

ProShares UltraShort Bloomberg Natural Gas

     (101,997     712,984   
     

ProShares UltraShort Gold

     (10,296,533     9,770,795   
     

ProShares UltraShort Silver

     (14,865,870     9,507,258   
     

ProShares Ultra Bloomberg Crude Oil

     (246,218,628     165,582,895   
     

ProShares Ultra Bloomberg Natural Gas

     1,964,411        (8,409,834
     

ProShares Ultra Gold

     12,629,891        (13,416,914
     

ProShares Ultra Silver

     119,372,366        (88,240,470

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     327,212        (488,475
     

ProShares UltraShort Australian Dollar

     (318,842     (971,687
     

ProShares UltraShort Euro

     (5,537,097     (2,518,631
     

ProShares UltraShort Yen

     (33,476,385     23,071,090   
     

ProShares Ultra Euro

     46,252        118,030   
     

ProShares Ultra Yen

     955,047        (764,447
        

 

 

   

 

 

 
     

Total Trust

   $ (699,779,052   $ 153,774,452   

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2015

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

   Realized Gain
(Loss) on
Derivatives

Recognized in
Income
    Change in
Unrealized
Appreciation/
Depreciation on
Derivatives
Recognized in
Income
 

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

   $ 63,980,150      $ (12,755,774
     

ProShares VIX Mid-Term Futures ETF

     631,983        3,760,350   
     

ProShares Short VIX Short-Term Futures ETF

     (74,068,147     (45,302,831
     

ProShares Ultra VIX Short-Term Futures ETF

     245,646,935        (63,658,535

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

     86,619,507        (598,141
     

ProShares UltraShort Bloomberg Natural Gas

     1,310,886        2,386,865   
     

ProShares UltraShort Gold

     5,628,910        363,354   
     

ProShares UltraShort Silver

     9,309,358        (3,072,101
     

ProShares Ultra Bloomberg Crude Oil

     (529,899,587     (58,698,985
     

ProShares Ultra Bloomberg Natural Gas

     (8,595,657     (13,040,143
     

ProShares Ultra Gold

     (8,320,909     (872,547
     

ProShares Ultra Silver

     (56,510,845        13,728,736   

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     45,301        (77,413
     

ProShares UltraShort Australian Dollar

     3,397,069        146,750   
     

ProShares UltraShort Euro

     (8,177,791     827,483   
     

ProShares UltraShort Yen

     (32,435,377     13,321,397   
     

ProShares Ultra Euro

     68,814        (8,853
     

ProShares Ultra Yen

     344,294        (148,766
        

 

 

   

 

 

 
     

Total Trust

   $ (301,025,106   $ (163,699,154

 

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The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2016

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

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

ProShares VIX Mid-Term Futures ETF

     (5,248,725     (1,917,790
     

ProShares Short VIX Short-Term Futures ETF

     263,024,643        16,663,427   
     

ProShares Ultra VIX Short-Term Futures ETF

     (1,269,233,467     (51,163,549

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

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

ProShares UltraShort Bloomberg Natural Gas

     455,516        2,803,566   
     

ProShares UltraShort Gold

     (29,965,169     (231,807
     

ProShares UltraShort Silver

     (26,655,192     (4,267,196
     

ProShares Ultra Bloomberg Crude Oil

     (132,872,456     190,316,382   
     

ProShares Ultra Bloomberg Natural Gas

     6,591,697        (7,752,693
     

ProShares Ultra Gold

     33,703,970        (204,134
     

ProShares Ultra Silver

     174,870,519        9,826,416   

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     (199,588     (270,444
     

ProShares UltraShort Australian Dollar

     (2,462,334     (495,700
     

ProShares UltraShort Euro

     (60,591,547     30,435,313   
     

ProShares UltraShort Yen

     (86,173,771     14,006,768   
     

ProShares Ultra Euro

     1,155,961        (654,504
     

ProShares Ultra Yen

     2,273,130        (268,290
        

 

 

   

 

 

 
     

Total Trust

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

 

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The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2015

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

   $ 3,412,234      $ (5,109,937
     

ProShares VIX Mid-Term Futures ETF

     (2,291,385     3,199,340   
     

ProShares Short VIX Short-Term Futures ETF

     35,780,248        (45,530,343
     

ProShares Ultra VIX Short-Term Futures ETF

     (291,236,149     (14,741,278

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

     47,564,151        (45,640,913
     

ProShares UltraShort Bloomberg Natural Gas

     6,412,527        (1,527,541
     

ProShares UltraShort Gold

     7,021,911        2,664,050   
     

ProShares UltraShort Silver

     7,378,507        (1,111,312
     

ProShares Ultra Bloomberg Crude Oil

     (497,278,535     73,379,579   
     

ProShares Ultra Bloomberg Natural Gas

     (58,404,100     20,999,849   
     

ProShares Ultra Gold

     (12,228,841     (3,353,605
     

ProShares Ultra Silver

     (72,520,807     12,261,979   

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     1,196,063        (224,456
     

ProShares UltraShort Australian Dollar

     5,930,837        (694,191
     

ProShares UltraShort Euro

     69,763,997        (11,459,427
     

ProShares UltraShort Yen

     (6,900,989     688,046   
     

ProShares Ultra Euro

     (559,487     (38,964
     

ProShares Ultra Yen

     (174,883     26,397   
        

 

 

   

 

 

 
     

Total Trust

   $ (757,134,701   $ (16,212,727

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2016:

 

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Fair Values of Derivative Instruments as of September 30, 2016

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

ProShares UltraShort
Bloomberg Crude Oil

                

Swap agreements

   $ —         $ —         $ —         $ (16,564,825   $ —         $ (16,564,825

ProShares UltraShort Gold

                

Forward agreements

     1,580,555         —           1,580,555         —          —           —     

ProShares UltraShort Silver

                

Forward agreements

     518,533         —           518,533         —          —           —     

ProShares UltraShort Euro

                

Foreign currency forward contracts

     1,724,977         —           1,724,977         —          —           —     

ProShares UltraShort Yen

                

Foreign currency forward contracts

     380,225         —           380,225         (268,909     —           (268,909

ProShares Ultra Bloomberg
Crude Oil

                

Swap agreements

     70,822,188         —           70,822,188         —          —           —     

ProShares Ultra Gold

                

Forward agreements

     —           —           —           (2,458,129     —           (2,458,129

ProShares Ultra Silver

                

Forward agreements

     —           —           —           (12,745,195     —           (12,745,195

ProShares Ultra Euro

                

Foreign currency forward contracts

     —           —           —           (49,584     —           (49,584

ProShares Ultra Yen

                

Foreign currency forward contracts

     364         —           364         (7,343     —           (7,343

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2016. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Gross Amounts Not Offset in the Statement of Financial Condition as of September 30, 2016

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

ProShares UltraShort Bloomberg Crude Oil

        

Citibank N.A.

   $ (7,594,390   $ 7,594,390      $ —        $ —     

Goldman Sachs International

     (4,078,619     4,078,619        —          —     

Societe Generale S.A.

     (478,359     478,359        —          —     

UBS AG

     (4,413,457     3,806,457        607,000        —     

ProShares UltraShort Gold

        

Citibank N.A.

     231,859        —          —          231,859   

Deutsche Bank AG

     861,403        —          (861,403     —     

Goldman Sachs International

     197,021        (197,021     —          —     

Societe Generale S.A.

     59,817        (59,817     —          —     

UBS AG

     230,455        —          (230,455     —     

ProShares UltraShort Silver

        

Citibank N.A.

     140,853        —          —          140,853   

Deutsche Bank AG

     33,794        —          (33,794     —     

Goldman Sachs International

     171,031        (171,031     —          —     

Societe Generale S.A.

     39,806        (39,806     —          —     

UBS AG

     133,049        —          (133,049     —     

ProShares UltraShort Euro

        

Goldman Sachs International

     970,837        (970,837     —          —     

UBS AG

     754,140        —          (754,140     —     

ProShares UltraShort Yen

        

Goldman Sachs International

     (132,731     —          132,731        —     

UBS AG

     244,047        —          —          244,047   

ProShares Ultra Bloomberg Crude Oil

        

Citibank N.A.

     25,439,697        —          —          25,439,697   

Goldman Sachs International

     19,367,023        (16,297,649     —          3,069,374   

Societe Generale S.A.

     5,772,124        (5,772,124     —          —     

UBS AG

     20,243,344        —          (11,710,000     8,533,344   

ProShares Ultra Gold

        

Citibank N.A.

     (712,389     712,389        —          —     

Deutsche Bank AG

     (499,050     105,050        394,000        —     

Goldman Sachs International

     (600,158     600,158        —          —     

Societe Generale S.A.

     (244,025     244,025        —          —     

UBS AG

     (402,507     402,507        —          —     

ProShares Ultra Silver

        

Citibank N.A.

     (3,516,545     3,267,545        249,000        —     

Deutsche Bank AG

     (2,669,570     357,570        2,312,000        —     

Goldman Sachs International

     (3,421,695     3,421,695        —          —     

Societe Generale S.A.

     (934,524     934,524        —          —     

UBS AG

     (2,202,861     2,202,861        —          —     

ProShares Ultra Euro

        

Goldman Sachs International

     (25,417     25,417        —          —     

UBS AG

     (24,167     24,167        —          —     

ProShares Ultra Yen

        

Goldman Sachs International

     (3,201     3,201        —          —     

UBS AG

     (3,778     3,778        —          —     

 

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

 

Fair Values of Derivative Instruments as of December 31, 2015

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

ProShares UltraShort Bloomberg Crude Oil

           

Swap agreements

  $ 6,412,656      $ —        $ 6,412,656      $ —        $ —        $ —     

ProShares UltraShort Gold

           

Forward agreements

    1,808,942        —          1,808,942        —          —          —     

ProShares UltraShort Silver

           

Forward agreements

    4,778,279        —          4,778,279        —          —          —     

ProShares UltraShort Euro

           

Foreign currency forward contracts

    —          —          —          28,710,336        —          28,710,336   

ProShares UltraShort Yen

           

Foreign currency forward contracts

    933,727        —          933,727        14,829,179        —          14,829,179   

ProShares Ultra Bloomberg Crude Oil

           

Swap agreements

    —          —          —          72,176,589        —          72,176,589   

ProShares Ultra Gold

           

Forward agreements

    —          —          —          2,250,595        —          2,250,595   

ProShares Ultra Silver

           

Forward agreements

    —          —          —          22,561,101        —          22,561,101   

ProShares Ultra Euro

           

Foreign currency forward contracts

    604,920        —          604,920        —          —          —     

ProShares Ultra Yen

           

Foreign currency forward contracts

    267,014        —          267,014        5,703        —          5,703   

 

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

 

Gross Amounts Not Offset in the Statement of Financial Condition as of December 31, 2015

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

ProShares UltraShort Bloomberg Crude Oil

        

Citibank N.A.

   $ 1,098,278      $ —        $ —        $ 1,098,278   

Deutsche Bank AG

     1,722,894        —          (1,722,894     —     

Goldman Sachs International

     1,595,552        (1,595,552     —          —     

Societe Generale S.A.

     521,142        (521,142     —          —     

UBS AG

     1,474,790        (1,474,790     —          —     

ProShares UltraShort Gold

        

Citibank N.A.

     3,915        —          —          3,915   

Deutsche Bank AG

     1,046,664        —          (1,046,664     —     

Goldman Sachs International

     158,827        —          —          158,827   

Societe Generale S.A.

     212,680        (212,680     —          —     

UBS AG

     386,856        (386,856     —          —     

ProShares UltraShort Silver

        

Deutsche Bank AG

     2,500,263        —          (2,500,000     263   

Goldman Sachs International

     1,044,986        (858,460     —          186,526   

Societe Generale S.A.

     438,975        (438,975     —          —     

UBS AG

     794,055        (582,692     —          211,363   

ProShares UltraShort Euro

        

Goldman Sachs International

     (14,992,024     14,992,024        —          —     

UBS AG

     (13,718,312     13,718,312        —          —     

ProShares UltraShort Yen

        

Goldman Sachs International

     (6,470,405     6,470,405        —          —     

UBS AG

     (7,425,047     7,425,047        —          —     

ProShares Ultra Bloomberg Crude Oil

        

Citibank N.A.

     (2,509,989     2,509,989        —          —     

Deutsche Bank AG

     (20,221,872     20,221,872        —          —     

Goldman Sachs International

     (20,806,119     20,806,119        —          —     

Societe Generale S.A.

     (6,357,459     6,357,459        —          —     

UBS AG

     (22,281,150     22,281,150        —          —     

ProShares Ultra Gold

        

Citibank N.A.

     (4,614     —          —          (4,614

Deutsche Bank AG

     (1,049,383     1,049,383        —          —     

Goldman Sachs International

     (520,730     520,730        —          —     

Societe Generale S.A.

     (244,992     244,992        —          —     

UBS AG

     (430,876     430,876        —          —     

ProShares Ultra Silver

        

Deutsche Bank AG

     (9,355,945     9,355,945        —          —     

Goldman Sachs International

     (5,106,853     5,106,853        —          —     

Societe Generale S.A.

     (2,704,459     2,704,459        —          —     

UBS AG

     (5,393,844     5,393,844        —          —     

ProShares Ultra Euro

        

Goldman Sachs International

     315,354        (315,354     —          —     

UBS AG

     289,566        (289,566     —          —     

ProShares Ultra Yen

        

Goldman Sachs International

     169,787        —          —          169,787   

UBS AG

     91,524        —          —          91,524   

 

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NOTE 4 – AGREEMENTS

Management Fee

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

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

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses 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.

The Administrator

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

The Custodian

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

 

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Table of Contents

The Distributor

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

NOTE 5 – OFFERING COSTS

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

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

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

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

Transaction Fees on Creation and Redemption Transactions

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

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

Transaction fees for the three and nine months ended September 30, 2016, which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

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

VIX Short-Term Futures ETF

   $ 57,030       $ 196,858   

VIX Mid-Term Futures ETF

     8,302         17,446   

Short VIX Short-Term Futures ETF

     199,890         586,778   

 

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

Ultra VIX Short-Term Futures ETF

     374,603         1,437,839   

UltraShort Bloomberg Crude Oil

     56,096         319,298   

UltraShort Bloomberg Natural Gas

     2,604         8,261   

UltraShort Gold

     4,599         21,119   

UltraShort Silver

     —           16,729   

Short Euro

     —           —     

UltraShort Australian Dollar

     —           —     

UltraShort Euro

     —           —     

UltraShort Yen

     —           —     

Ultra Bloomberg Crude Oil

     113,762         360,648   

Ultra Bloomberg Natural Gas

     2,505         5,490   

Ultra Gold

     1,007         3,456   

Ultra Silver

     13,544         30,557   

Ultra Euro

     —           —     

Ultra Yen

     —           —     
  

 

 

    

 

 

 

Total Trust

   $ 833,942       $ 3,004,479   

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

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

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

 

Per Share Operating Performance

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

Net asset value, at June 30, 2016

  $ 45.1437      $ 51.9753      $ 49.8342      $ 45.6300      $ 81.9354      $ 34.0892   

Net investment income (loss)

    (0.0602     (0.0850     (0.1870     (0.0819     (0.1752     (0.1290

Net realized and unrealized gain (loss)#

    (16.5506     (6.1433     22.9857        (28.6460     (1.7677     2.3554   

Change in net asset value from operations

    (16.6108     (6.2283     22.7987        (28.7279     (1.9429     2.2264   

Net asset value, at September 30, 2016

  $ 28.5329      $ 45.7470      $ 72.6329      $ 16.9021      $ 79.9925      $ 36.3156   

Market value per share, at June 30, 2016†

  $ 45.80      $ 52.53      $ 49.06      $ 47.15      $ 81.62      $ 34.06   

Market value per share, at September 30, 2016†

  $ 28.33      $ 45.69      $ 73.21      $ 16.65      $ 80.90      $ 36.14   

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

           

Expense ratio

    0.99     0.94     1.42     1.59     1.01     1.58

Expense ratio, excluding brokerage commissions

    0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

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

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2016.
** Percentages are annualized.

 

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

 

Per Share Operating Performance

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

Net asset value, at June 30, 2016

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

Net investment income (loss)

    (0.1193     (0.0498     (0.0805     (0.0968     (0.0417     (0.1072

Net realized and unrealized gain (loss)#

    (0.5789     (5.1733     (0.5171     (3.6857     (0.5000     (2.7498

Change in net asset value from operations

    (0.6982     (5.2231     (0.5976     (3.7825     (0.5417     (2.8570

Net asset value, at September 30, 2016

  $ 69.6138      $ 27.9393      $ 42.2165      $ 49.6844      $ 23.7766      $ 60.6765   

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

           

Expense ratio

    0.95     0.95     0.96     1.02     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

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

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2016.
** Percentages are annualized.

 

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

 

Per Share Operating Performance

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

Net asset value, at June 30, 2016

  $ 12.1628      $ 17.7531      $ 44.7955      $ 45.5290      $ 15.8882      $ 72.6744   

Net investment income (loss)

    (0.0187     (0.0398     (0.0764     (0.0870     (0.0278     (0.1289

Net realized and unrealized gain (loss)#

    (1.6348     (3.2298     (0.2972     3.5608        0.2708        1.9141   

Change in net asset value from operations

    (1.6535     (3.2696     (0.3736     3.4738        0.2430        1.7852   

Net asset value, at September 30, 2016

  $ 10.5093      $ 14.4835      $ 44.4219      $ 49.0028      $ 16.1312      $ 74.4596   

Market value per share, at June 30, 2016†

  $ 12.22      $ 17.65      $ 45.03      $ 47.67      $ 15.86      $ 72.71   

Market value per share, at September 30, 2016†

  $ 10.38      $ 14.58      $ 44.01      $ 48.11      $ 16.12      $ 74.48   

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

           

Expense ratio

    1.00     1.23     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

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

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2016.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the three months ended September 30, 2015:

For the Three Months Ended September 30, 2015 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at June 30, 2015

  $ 67.5927      $ 54.9398      $ 78.8529      $ 222.5841      $ 56.8124      $ 24.9323   

Net investment income (loss)

    (0.1610     (0.1221     (0.2058     (0.8291     (0.2323     (0.0898

Net realized and unrealized gain (loss)#

    18.9104        9.0130        (31.4722     64.3506        30.9380        7.5355   

Change in net asset value from operations

    18.7494        8.8909        (31.6780     63.5215        30.7057        7.4457   

Net asset value, at September 30, 2015

  $ 86.3421      $ 63.8307      $ 47.1749      $ 286.1056      $ 87.5181      $ 32.3780   

Market value per share, at June 30, 2015†

  $ 67.10      $ 54.31      $ 79.06      $ 219.80      $ 57.12      $ 25.07   

Market value per share, at September 30, 2015†

  $ 85.40      $ 63.44      $ 47.64      $ 279.80      $ 86.17      $ 32.28   

Total Return, at net asset value^

    27.7     16.2     (40.2 )%      28.5     54.0     29.9

Total Return, at market value^

    27.3     16.8     (39.7 )%      27.3     50.9     28.8

Ratios to Average Net Assets**

           

Expense ratio

    1.00     0.87     1.43     1.73     1.10     1.39

Expense ratio, excluding brokerage commissions

    0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.97 )%      (0.86 )%      (1.39 )%      (1.70 )%      (1.07 )%      (1.36 )% 

 

* See Note 1 of these Notes for 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, 2015.
** Percentages are annualized.

 

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For the Three Months Ended September 30, 2015 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at June 30, 2015

  $ 99.0011      $ 54.7157      $ 43.0220      $ 54.5527      $ 24.7394      $ 92.1775   

Net investment income (loss)

    (0.2445     (0.1375     (0.1036     (0.1555     (0.0575     (0.2127

Net realized and unrealized gain (loss)#

    8.2315        5.4504        (0.1537     10.1266        (0.3042     (4.1411

Change in net asset value from operations

    7.9870        5.3129        (0.2573     9.9711        (0.3617     (4.3538

Net asset value, at September 30, 2015

  $ 106.9881      $ 60.0286      $ 42.7647      $ 64.5238      $ 24.3777      $ 87.8237   

Market value per share, at June 30, 2015†

  $ 98.82      $ 54.27      $ 43.05      $ 55.09      $ 24.75      $ 92.19   

Market value per share, at September 30, 2015†

  $ 106.63      $ 61.08      $ 42.78      $ 64.53      $ 24.36      $ 87.82   

Total Return, at net asset value^

    8.1     9.7     (0.6 )%      18.3     (1.5 )%      (4.7 )% 

Total Return, at market value^

    7.9     12.5     (0.6 )%      17.1     (1.6 )%      (4.7 )% 

Ratios to Average Net Assets**

           

Expense ratio

    0.95     0.95     0.97     1.03     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.91 )%      (0.92 )%      (0.95 )%      (1.01 )%      (0.92 )%      (0.92 )% 

 

* 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, 2015.
** Percentages are annualized.

 

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For the Three Months Ended September 30, 2015 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at June 30, 2015

  $ 45.4988      $ 45.4247      $ 37.0199      $ 36.4482      $ 16.5907      $ 53.5029   

Net investment income (loss)

    (0.0649     (0.1265     (0.0791     (0.0739     (0.0386     (0.1175

Net realized and unrealized gain (loss)#

    (23.0862     (13.2778     (3.7877     (5.3251     (0.0071     1.9729   

Change in net asset value from operations

    (23.1511     (13.4043     (3.8668     (5.3990     (0.0457     1.8554   

Net asset value, at September 30, 2015

  $ 22.3477      $ 32.0204      $ 33.1531      $ 31.0492      $ 16.5450      $ 55.3583   

Market value per share, at June 30, 2015†

  $ 45.20      $ 45.20      $ 37.04      $ 36.63      $ 16.59      $ 53.61   

Market value per share, at September 30, 2015†

  $ 22.68      $ 32.19      $ 33.23      $ 30.53      $ 16.53      $ 55.38   

Total Return, at net asset value^

    (50.9 )%      (29.5 )%      (10.4 )%      (14.8 )%      (0.3 )%      3.5

Total Return, at market value^

    (49.8 )%      (28.8 )%      (10.3 )%      (16.7 )%      (0.4 )%      3.3

Ratios to Average Net Assets**

           

Expense ratio

    1.02     1.25     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.98 )%      (1.23 )%      (0.92 )%      (0.90 )%      (0.93 )%      (0.87 )% 

 

# 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, 2015.
** Percentages are annualized.

 

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

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

 

Per Share Operating Performance

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

Net asset value, at December 31, 2015

  $ 66.2109      $ 53.9626      $ 50.8150      $ 140.4205      $ 133.2019      $ 46.5314   

Net investment income (loss)

    (0.2581     (0.2787     (0.4134     (0.4698     (0.6162     (0.5684

Net realized and unrealized gain (loss)#

    (37.4199     (7.9369     22.2313        (123.0486     (52.5932     (9.6474

Change in net asset value from operations

    (37.6780     (8.2156     21.8179        (123.5184     (53.2094     (10.2158

Net asset value, at September 30, 2016

  $ 28.5329      $ 45.7470      $ 72.6329      $ 16.9021      $ 79.9925      $ 36.3156   

Market value per share, at December 31, 2015†

  $ 66.65      $ 53.99      $ 50.45      $ 141.75      $ 133.64      $ 46.55   

Market value per share, at September 30, 2016†

  $ 28.33      $ 45.69      $ 73.21      $ 16.65      $ 80.90      $ 36.14   

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

           

Expense ratio

    1.01     0.93     1.36     1.56     1.04     1.68

Expense ratio, excluding brokerage commissions

    0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

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

 

* See Note 1 of these Notes to Financial Statements.
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2016.
** Percentages are annualized.

 

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

 

Per Share Operating Performance

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

Net asset value, at December 31, 2015

  $ 115.8799      $ 64.5783      $ 43.7767      $ 58.4582      $ 25.5406      $ 87.9389   

Net investment income (loss)

    (0.4166     (0.2072     (0.2484     (0.3288     (0.1263     (0.3834

Net realized and unrealized gain (loss)#

    (45.8495     (36.4318     (1.3118     (8.4450     (1.6377     (26.8790

Change in net asset value from operations

    (46.2661     (36.6390     (1.5602     (8.7738     (1.7640     (27.2624

Net asset value, at September 30, 2016

  $ 69.6138      $ 27.9393      $ 42.2165      $ 49.6844      $ 23.7766      $ 60.6765   

Market value per share, at December 31, 2015†

  $ 115.83      $ 64.55      $ 43.74      $ 58.15      $ 25.53      $ 87.89   

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

           

Expense ratio

    0.95     0.95     0.97     1.03     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

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

 

# Percentages The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2016.
** Percentages are annualized.

 

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

 

Per Share Operating Performance

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

Net asset value, at December 31, 2015

  $ 12.5774      $ 18.5698      $ 29.7295      $ 27.0638      $ 15.5107      $ 54.7527   

Net investment income (loss)

    (0.0583     (0.1184     (0.2134     (0.2125     (0.0835     (0.3556

Net realized and unrealized gain (loss)#

    (2.0098     (3.9679     14.9058        22.1515        0.7040        20.0625   

Change in net asset value from operations

    (2.0681     (4.0863     14.6924        21.9390        0.6205        19.7069   

Net asset value, at September 30, 2016

  $ 10.5093      $ 14.4835      $ 44.4219      $ 49.0028      $ 16.1312      $ 74.4596   

Market value per share, at December 31, 2015†

  $ 12.54      $ 18.48      $ 29.73      $ 27.08      $ 15.51      $ 54.70   

Market value per share, at September 30, 2016†

  $ 10.38      $ 14.58      $ 44.01      $ 48.11      $ 16.12      $ 74.48   

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

           

Expense ratio

    1.02     1.36     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

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

 

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^ Percentages are not annualized for the period ended September 30, 2016.
** Percentages are annualized.

 

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Selected data for a Share outstanding throughout the nine months ended September 30, 2015:

For the Nine Months Ended September 30, 2015 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at December 31, 2014

  $ 104.6604      $ 63.6020      $ 61.4004      $ 627.2957      $ 77.9790      $ 27.9859   

Net investment income (loss)

    (0.5148     (0.3887     (0.6553     (3.3152     (0.5599     (0.2862

Net realized and unrealized gain (loss)#

    (17.8035     0.6174        (13.5702     (337.8749     10.0990        4.6783   

Change in net asset value from operations

    (18.3183     0.2287        (14.2255     (341.1901     9.5391        4.3921   

Net asset value, at September 30, 2015

  $ 86.3421      $ 63.8307      $ 47.1749      $ 286.1056      $ 87.5181      $ 32.3780   

Market value per share, at December 31, 2014†

  $ 104.95      $ 63.89      $ 61.16      $ 628.75      $ 76.52      $ 27.34   

Market value per share, at September 30, 2015†

  $ 85.40      $ 63.44      $ 47.64      $ 279.80      $ 86.17      $ 32.28   

Total Return, at net asset value^

    (17.5 )%      0.4     (23.2 )%      (54.4 )%      12.2     15.7

Total Return, at market value^

    (18.6 )%      (0.7 )%      (22.1 )%      (55.5 )%      12.6     18.1

Ratios to Average Net Assets**

           

Expense ratio

    0.97     0.92     1.43     1.65     1.06     1.47

Expense ratio, excluding brokerage commissions

    0.85     0.85     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.94 )%      (0.89 )%      (1.40 )%      (1.63 )%      (1.03 )%      (1.44 )% 

 

* See Note 1 of these Notes to the 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, 2015.
** Percentages are annualized.

 

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For the Nine Months Ended September 30, 2015 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at December 31, 2014

  $ 96.6516      $ 57.8071      $ 40.0617      $ 51.3790      $ 21.5946      $ 89.3336   

Net investment income (loss)

    (0.6723     (0.3677     (0.3052     (0.4262     (0.1699     (0.6161

Net realized and unrealized gain (loss)#

    11.0088        2.5892        3.0082        13.5710        2.9530        (0.8938

Change in net asset value from operations

    10.3365        2.2215        2.7030        13.1448        2.7831        (1.5099

Net asset value, at September 30, 2015

  $ 106.9881      $ 60.0286      $ 42.7647      $ 64.5238      $ 24.3777      $ 87.8237   

Market value per share, at December 31, 2014†

  $ 100.22      $ 59.70      $ 40.03      $ 51.37      $ 21.61      $ 89.30   

Market value per share, at September 30, 2015†

  $ 106.63      $ 61.08      $ 42.78      $ 64.53      $ 24.36      $ 87.82   

Total Return, at net asset value^

    10.7     3.8     6.7     25.6     12.9     (1.7 )% 

Total Return, at market value^

    6.4     2.3     6.9     25.6     12.7     (1.7 )% 

Ratios to Average Net Assets**

           

Expense ratio

    0.95     0.95     0.97     1.03     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.91 )%      (0.92 )%      (0.94 )%      (1.01 )%      (0.91 )%      (0.91 )% 

 

* 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, 2015.
** Percentages are annualized.

 

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For the Nine Months Ended September 30, 2015 (unaudited)

 

Per Share Operating Performance

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

Net asset value, at December 31, 2014

  $ 50.7400      $ 61.6491      $ 40.0011      $ 39.3657      $ 19.8744      $ 56.4747   

Net investment income (loss)

    (0.2606     (0.4322     (0.2573     (0.2571     (0.1138     (0.3686

Net realized and unrealized gain (loss)#

    (28.1317     (29.1965     (6.5907     (8.0594     (3.2156     (0.7478

Change in net asset value from operations

    (28.3923     (29.6287     (6.8480     (8.3165     (3.3294     (1.1164

Net asset value, at September 30, 2015

  $ 22.3477      $ 32.0204      $ 33.1531      $ 31.0492      $ 16.5450      $ 55.3583   

Market value per share, at December 31, 2014†

  $ 51.85      $ 63.12      $ 38.41      $ 38.05      $ 19.80      $ 56.48   

Market value per share, at September 30, 2015†

  $ 22.68      $ 32.19      $ 33.23      $ 30.53      $ 16.53      $ 55.38   

Total Return, at net asset value^

    (56.0 )%      (48.1 )%      (17.1 )%      (21.1 )%      (16.8 )%      (2.0 )% 

Total Return, at market value^

    (56.3 )%      (49.0 )%      (13.5 )%      (19.8 )%      (16.5 )%      (1.9 )% 

Ratios to Average Net Assets**

           

Expense ratio

    1.02     1.26     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.99 )%      (1.23 )%      (0.91 )%      (0.90 )%      (0.92 )%      (0.90 )% 

 

# 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, 2015.
** Percentages are annualized.

 

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NOTE 8 – RISK

Correlation and Compounding Risk

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

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

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

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

 

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In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

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

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

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

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

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

 

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

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

Leverage Risk

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

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

Liquidity Risk

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

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2015 may specify a January 2016 expiration. As that contract nears expiration, it may be replaced by selling the January 2016 contract and purchasing the contract expiring in March 2016. 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 2016 contract would take place at a price that is higher than the price at which the March 2016 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

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

 

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

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

 

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, 2016, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

On February 18, 2016, the Trust announced plans to liquidate ProShares Managed Futures Strategy (ticker symbol: FUTS). ProShares Managed Futures Strategy was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on March 18, 2016. Beginning March 21, 2016, no secondary market for ProShares Managed Futures Strategy’s Shares remained. Proceeds of the liquidation were distributed to shareholders on March 30, 2016. Any shareholders remaining in the Fund on March 30, 2016 automatically had their shares redeemed for cash at ProShares Managed Futures Strategy’s net asset value per Share as of March 21, 2016. On March 31, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Managed Futures Strategy on the NYSE Arca. On April 11, 2016 a Form 15 was filed with the SEC terminating the registration of ProShares Managed Futures Strategy.

 

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On July 25, 2016, the Trust announced plans to liquidate ProShares Ultra Bloomberg Commodity (ticker symbol: UCD) and ProShares UltraShort Bloomberg Commodity (ticker symbol: CMD). ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity were closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on August 25, 2016. Beginning August 26, 2016, no secondary market for ProShares Ultra Bloomberg Commodity’s and ProShares UltraShort Bloomberg Commodity’s Shares remained. Proceeds of the liquidation were distributed to shareholders on September 1, 2016. Any shareholders remaining in each liquidating Fund on September 1, 2016 automatically had their shares redeemed for cash at each liquidating Fund’s net asset value per Share as of August 26, 2016. On September 2, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity on the NYSE Arca.

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

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

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

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

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

 

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traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, 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.

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the 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, 2016 and 2015 each of the Funds earned interest income as follows:

 

Fund

   Interest Income
Three Months
Ended
September 30,
2016
     Interest Income
Three Months
Ended
September 30,
2015
     Interest Income
Nine Months
Ended
September 30,
2016
     Interest Income
Nine Months
Ended
September 30,
2015
 

ProShares VIX Short-Term Futures ETF

   $ 144,244       $ 9,963       $ 324,819       $ 31,098   

ProShares VIX Mid-Term Futures ETF

     29,706         1,084         63,804         5,960   

ProShares Short VIX Short-Term Futures ETF

     248,974         34,056         848,132         78,709   

ProShares Ultra VIX Short-Term Futures ETF

     400,731         22,679         1,227,394         87,173   

ProShares UltraShort Bloomberg Crude Oil

     112,015         9,198         345,514         45,693   

ProShares UltraShort Bloomberg Natural Gas

     2,395         880         16,513         2,460   

ProShares UltraShort Gold

     44,515         7,442         118,780         22,233   

ProShares UltraShort Silver

     22,794         3,685         71,536         13,863   

 

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Fund

   Interest Income
Three Months
Ended
September 30,
2016
     Interest Income
Three Months
Ended
September 30,
2015
     Interest Income
Nine Months
Ended
September 30,
2016
     Interest Income
Nine Months
Ended
September 30,
2015
 

ProShares Short Euro

     8,177         989         22,846         3,652   

ProShares UltraShort Australian Dollar

     12,198         1,058         32,241         2,914   

ProShares UltraShort Euro

     248,831         41,312         765,698         163,405   

ProShares UltraShort Yen

     155,603         28,980         328,442         113,947   

ProShares Ultra Bloomberg Crude Oil

     547,630         75,891         1,497,225         217,460   

ProShares Ultra Bloomberg Natural Gas

     18,114         3,636         45,257         15,020   

ProShares Ultra Gold

     72,710         5,853         178,730         27,485   

ProShares Ultra Silver

     277,478         35,179         587,744         109,726   

ProShares Ultra Euro

     6,257         514         18,054         2,076   

ProShares Ultra Yen

     4,659         1,069         11,808         1,819   

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

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

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

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

Market Risk

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

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

Credit Risk

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

 

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The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

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

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

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

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

 

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

 

    limiting the outstanding amounts due from counterparties to the Funds;

 

    not posting margin directly with a counterparty;

 

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

 

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

 

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 2, 2016, 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.

 

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Critical Accounting Policies

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

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV (“daily NAV”) for the three and nine months ended September 30, 2016.

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

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. For daily NAV purposes, 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.

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

 

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Results of Operations for the Three Months Ended September 30, 2016 Compared to the Three Months Ended September 30, 2015

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, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
    Three Months
Ended September

30, 2015
 

NAV beginning of period

   $ 190,955,944      $ 169,655,175   

NAV end of period

   $ 227,819,218      $ 110,946,378   

Percentage change in NAV

     19.3     (34.6 )% 

Shares outstanding beginning of period

     4,229,962        2,509,962   

Shares outstanding end of period

     7,984,451        1,284,962   

Percentage change in shares outstanding

     88.8     (48.8 )% 

Shares created

     4,605,000        375,000   

Shares redeemed

     850,511        1,600,000   

Per share NAV beginning of period

   $ 45.14      $ 67.59   

Per share NAV end of period

   $ 28.53      $ 86.34   

Percentage change in per share NAV

     (36.8 )%      27.7

Percentage change in benchmark

     (36.8 )%      27.9

Benchmark annualized volatility

     55.1     101.9

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 4,229,962 outstanding Shares at June 30, 2016 to 7,984,451 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,509,962 outstanding Shares at June 30, 2015 to 1,284,962 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 27.7% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $44.95 per Share and reached its low for the period on September 28, 2016 at $27.72 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $101.25 per Share and reached its low for the period on August 10, 2015 at $51.75 per Share.

The benchmark’s decline of 36.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 27.9% for the three months ended September 30, 2015, can be attributed to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
     Three Months
Ended September

30, 2015
 

Net investment income (loss)

   $ (407,697    $ (318,561

Management fee

     474,982         279,410   

Brokerage commissions

     76,959         49,114   

Net realized gain (loss)

     (101,781,283      63,978,915   

Change in net unrealized appreciation/depreciation

     6,811,763         (12,752,970

Net income (loss)

   $ (95,377,217    $ 50,907,384   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

 

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

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

    Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

  $ 42,224,892      $ 26,777,867   

NAV end of period

  $ 58,894,811      $ 31,111,315   

Percentage change in NAV

    39.5     16.2

Shares outstanding beginning of period

    812,403        487,404   

Shares outstanding end of period

    1,287,403        487,404   

Percentage change in shares outstanding

    58.5     0.0

Shares created

    525,000        —     

Shares redeemed

    50,000        —     

Per share NAV beginning of period

  $ 51.98      $ 54.94   

Per share NAV end of period

  $ 45.75      $ 63.83   

Percentage change in per share NAV

    (12.0 )%      16.2

Percentage change in benchmark

    (11.7 )%      16.5

Benchmark annualized volatility

    20.2     47.2

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. There was no net change in the Fund’s outstanding Shares from June 30, 2015 to September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 16.2% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

 

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During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $69.30 per Share and reached its low for the period on August 10, 2015 at $49.68 per Share.

The benchmark’s decline of 11.7% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 16.5% for the three months ended September 30, 2015, can be attributed to a decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
     Three Months
Ended September

30, 2015
 

Net investment income (loss)

   $ (89,667    $ (59,501

Management fee

     108,438         58,899   

Brokerage commissions

     10,935         1,686   

Net realized gain (loss)

     (4,899,386      632,005   

Change in net unrealized appreciation/depreciation

     (1,141,385      3,760,944   

Net income (loss)

   $ (6,130,438    $ 4,333,448   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2016.

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, 2016 and 2015:

 

    Three Months
Ended September

30, 2016
    Three Months
Ended September

30, 2015
 

NAV beginning of period

  $ 687,712,265      $ 189,250,124   

NAV end of period

  $ 504,798,665      $ 629,787,391   

Percentage change in NAV

    (26.6 )%      232.8

Shares outstanding beginning of period

    13,800,000        2,400,040   

Shares outstanding end of period

    6,950,000        13,350,040   

Percentage change in shares outstanding

    (49.6 )%      456.2

Shares created

    9,250,000        14,150,000   

Shares redeemed

    16,100,000        3,200,000   

Per share NAV beginning of period

  $ 49.83      $ 78.85   

Per share NAV end of period

  $ 72.63      $ 47.17   

Percentage change in per share NAV

    45.8     (40.2 )% 

Percentage change in benchmark

    (36.8 )%      27.9

Benchmark annualized volatility

    55.1     101.9

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 13,800,000 outstanding Shares at June 30, 2016 to 6,950,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 2,400,040 outstanding Shares at June 30, 2015 to 13,350,040 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

 

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For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 45.8% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 40.2% for the three months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $79.16 per Share and reached its low for the period on July 5, 2016 at $50.03 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 10, 2015 at $96.70 per Share and reached its low for the period on September 1, 2015 at $43.58 per Share.

The benchmark’s decline of 36.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 27.9% for the three months ended September 30, 2015, can be attributed to a decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
     Three Months
Ended September

30, 2015
 

Net investment income (loss)

   $ (1,171,428    $ (1,375,292

Management fee

     951,001         939,029   

Brokerage commissions

     469,401         470,319   

Net realized gain (loss)

     277,233,576         (74,076,312

Change in net unrealized appreciation/depreciation

     (51,779,349      (45,248,790

Net income (loss)

   $ 224,282,799       $ (120,700,394

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

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, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
    Three Months
Ended September

30, 2015
 

NAV beginning of period

   $ 839,613,853      $ 431,922,188   

NAV end of period

   $ 738,749,800      $ 334,883,798   

Percentage change in NAV

     (12.0 )%      (22.5 )% 

Shares outstanding beginning of period

     18,400,490        1,940,490   

 

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     Three Months
Ended September

30, 2016
    Three Months
Ended September

30, 2015
 

Shares outstanding end of period

     43,707,651        1,170,490   

Percentage change in shares outstanding

     137.5     (39.7 )% 

Shares created

     47,130,000        4,260,000   

Shares redeemed

     21,822,839        5,030,000   

Per share NAV beginning of period

   $ 45.63      $ 222.58   

Per share NAV end of period

   $ 16.90      $ 286.11   

Percentage change in per share NAV

     (63.0 )%      28.5

Percentage change in benchmark

     (36.8 )%      27.9

Benchmark annualized volatility

     55.1     101.9

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 18,400,490 outstanding Shares at June 30, 2016 to 43,707,651 outstanding Shares at September 30, 2016. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by a decrease from 1,940,490 outstanding Shares at June 30, 2015 to 1,170,490 outstanding Shares at September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 63.0% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 28.5% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $45.24 per Share and reached its low for the period on September 28, 2016 at $15.98 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $428.10 per Share and reached its low for the period on August 10, 2015 at $122.30 per Share.

The benchmark’s decline of 36.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 27.9% for the three months ended September 30, 2015, can be attributed to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
     Three Months
Ended September

30, 2015
 

Net investment income (loss)

   $ (2,326,627    $ (1,444,542

Management fee

     1,625,260         807,006   

Brokerage commissions

     1,102,098         660,215   

Net realized gain (loss)

     (745,085,668      245,662,014   

Change in net unrealized appreciation/depreciation

     139,001,218         (63,659,145

Net income (loss)

   $ (608,411,077    $ 180,558,327   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

 

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

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September

30, 2016
    Three Months
Ended September

30, 2015
 

NAV beginning of period

   $ 165,504,746      $ 180,092,283   

NAV end of period

   $ 189,577,580      $ 141,774,453   

Percentage change in NAV

     14.5     (21.3 )% 

Shares outstanding beginning of period

     2,019,942        3,169,944   

Shares outstanding end of period

     2,369,942        1,619,944   

Percentage change in shares outstanding

     17.3     (48.9 )% 

Shares created

     1,550,000        1,050,000   

Shares redeemed

     1,200,000        2,600,000   

Per share NAV beginning of period

   $ 81.94      $ 56.81   

Per share NAV end of period

   $ 79.99      $ 87.52   

Percentage change in per share NAV

     (2.4 )%      54.1

Percentage change in benchmark

     (5.0 )%      (27.4 )% 

Benchmark annualized volatility

     40.5     51.4

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,019,942 outstanding Shares at June 30, 2016 to 2,369,942 outstanding Shares at September 30, 2016. 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 WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,169,944 outstanding Shares at June 30, 2015 to 1,619,944 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.4% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 54.1% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $120.84 per Share and reached its low for the period on July 1, 2016 at $79.79 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $134.50 per Share and reached its low for the period on July 1, 2015 at $61.48 per Share.

The benchmark’s decline of 5.0% for the three months ended September 30, 2016, as compared to the decline of 27.4 % for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

    Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

Net investment income (loss)

  $ (321,432   $ (463,183

Management fee

    405,879        409,809   

Brokerage commissions

    27,568        62,572   

Net realized gain (loss)

    50,285,292        86,619,380   

Change in net unrealized appreciation/depreciation

    (32,963,803     (593,425

Net income (loss)

  $ 17,000,057      $ 85,562,772   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decline in the price of WTI Crude Oil during the three months ended September 30, 2016.

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 2,550,965      $ 13,085,851   

NAV end of period

   $ 6,349,132      $ 12,137,105   

Percentage change in NAV

     148.9     (7.3 )% 

Shares outstanding beginning of period

     74,832        524,856   

Shares outstanding end of period

     174,832        374,856   

Percentage change in shares outstanding

     133.6     (28.6 )% 

Shares created

     400,000        300,000   

Shares redeemed

     300,000        450,000   

Per share NAV beginning of period

   $ 34.09      $ 24.93   

Per share NAV end of period

   $ 36.32      $ 32.38   

Percentage change in per share NAV

     6.5     29.9

Percentage change in benchmark

     (8.0 )%      (15.0 )% 

Benchmark annualized volatility

     36.5     28.3

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 74,832 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 524,856 outstanding Shares at June 30, 2015 to 374,856 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.5% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 29.9% for the three months ended September 30, 2015, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 30, 2015 at $32.38 per Share and reached its low for the period on August 12, 2015 at $22.88 per Share.

 

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The benchmark’s decline of 8.0% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 15.0% for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (19,256    $ (37,310

Management fee

     13,043         26,131   

Brokerage commissions

     8,608         12,059   

Net realized gain (loss)

     (101,563      1,310,640   

Change in net unrealized appreciation/depreciation

     712,823         2,387,743   

Net income (loss)

   $ 592,004       $ 3,661,073   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 56,037,110      $ 73,951,674   

NAV end of period

   $ 76,364,786      $ 74,568,380   

Percentage change in NAV

     36.3     0.8

Shares outstanding beginning of period

     796,978        746,978   

Shares outstanding end of period

     1,096,978        696,978   

Percentage change in shares outstanding

     37.6     (6.7 )% 

Shares created

     300,000        —     

Shares redeemed

     —          50,000   

Per share NAV beginning of period

   $ 70.31      $ 99.00   

Per share NAV end of period

   $ 69.61      $ 106.99   

Percentage change in per share NAV

     (1.0 )%      8.1

Percentage change in benchmark

     0.1     (4.9 )% 

Benchmark annualized volatility

     10.8     15.5

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 796,978 outstanding Shares at June 30, 2016 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 746,978 outstanding Shares at June 30, 2015 to 696,978 outstanding Shares at September 30, 2015.

 

 

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For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 24, 2015 at $115.60 per Share and reached its low for the period on August 24, 2015 at $98.67 per Share.

The benchmark’s rise of 0.1% for the three months ended September 30, 2016, as compared to the decline of 4.9% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (119,115    $ (181,720

Management fee

     163,622         189,154   

Brokerage commissions

     8         8   

Net realized gain (loss)

     (10,296,369      5,632,017   

Change in net unrealized appreciation/depreciation

     9,773,255         367,548   

Net income (loss)

   $ (642,229    $ 5,817,845   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 32,067,220      $ 61,116,236   

NAV end of period

   $ 39,589,348      $ 55,044,902   

Percentage change in NAV

     23.5     (9.9 )% 

Shares outstanding beginning of period

     966,976        1,116,978   

Shares outstanding end of period

     1,416,976        916,978   

Percentage change in shares outstanding    

     46.5     (17.9 )% 

 

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     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

Shares created

     600,000        100,000   

Shares redeemed

     150,000        300,000   

Per share NAV beginning of period

   $ 33.16      $ 54.72   

Per share NAV end of period

   $ 27.94      $ 60.03   

Percentage change in per share NAV

     (15.7 )%      9.7

Percentage change in benchmark

     5.4     (6.7 )% 

Benchmark annualized volatility

     30.1     24.2

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 966,976 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 1,116,978 outstanding Shares at June 30, 2015 to 916,978 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.7% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 9.7% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 27, 2015 at $63.99 per Share and reached its low for the period on August 20, 2015 at $54.60 per Share.

The benchmark’s rise of 5.4% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 6.7% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (64,078    $ (129,265

Management fee

     86,864         132,942   

Brokerage commissions

     8         8   

Net realized gain (loss)

     (14,865,805      9,309,270   

Change in net unrealized appreciation/depreciation

     9,509,304         (3,066,914

Net income (loss)

   $ (5,420,579    $ 6,113,091   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

 

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

 

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ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 17,125,648      $ 19,360,122   

NAV end of period

   $ 14,775,779      $ 34,211,934   

Percentage change in NAV

     (13.7 )%      76.7

Shares outstanding beginning of period

     400,000        450,005   

Shares outstanding end of period

     350,000        800,005   

Percentage change in shares outstanding

     (12.5 )%      77.8

Shares created

     —          450,000   

Shares redeemed

     50,000        100,000   

Per share NAV beginning of period

   $ 42.81      $ 43.02   

Per share NAV end of period

   $ 42.22      $ 42.76   

Percentage change in per share NAV

     (1.4 )%      (0.6 )% 

Percentage change in benchmark

     1.2     0.2

Benchmark annualized volatility

     5.9     11.2

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 450,005 outstanding Shares at June 30, 2015 to 800,005 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 0.6% for the three months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 20, 2015 at $44.22 per Share and reached its low for the period on August 24, 2015 at $41.24 per Share.

The benchmark’s rise of 1.2% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 0.2% for the three months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (29,155    $ (47,612

Management fee

     36,752         47,369   

Brokerage commissions

     580         1,232   

Net realized gain (loss)

     327,210         45,349   

Change in net unrealized appreciation/depreciation

     (487,210      (77,397

Net income (loss)

   $ (189,155    $ (79,660

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 18,713,405      $ 19,093,705   

NAV end of period

   $ 17,389,549      $ 22,583,663   

Percentage change in NAV

     (7.1 )%      18.3

Shares outstanding beginning of period

     350,000        350,005   

Shares outstanding end of period

     350,000        350,005   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 53.47      $ 54.55   

Per share NAV end of period

   $ 49.68      $ 64.52   

Percentage change in per share NAV

     (7.1 )%      18.3

Percentage change in benchmark

     2.7     (9.0 )% 

Benchmark annualized volatility

     9.7     11.4

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2015 to September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 18.3% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 4, 2015 at $66.75 per Share and reached its low for the period on July 1, 2015 at $55.50 per Share.

 

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The benchmark’s rise of 2.7% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 9.0% for the three months ended September 30, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (33,889    $ (54,415

Management fee

     42,820         51,046   

Brokerage commissions

     3,267         4,427   

Net realized gain (loss)

     (318,841      3,397,069   

Change in net unrealized appreciation/depreciation

     (971,126      147,304   

Net income (loss)

   $ (1,323,856    $ 3,489,958   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 386,660,905      $ 629,617,014   

NAV end of period

   $ 370,915,586      $ 547,279,138   

Percentage change in NAV

     (4.1 )%      (13.1 )% 

Shares outstanding beginning of period

     15,900,000        25,450,014   

Shares outstanding end of period

     15,600,000        22,450,014   

Percentage change in shares outstanding

     (1.9 )%      (11.8 )% 

Shares created

     200,000        —     

Shares redeemed

     500,000        3,000,000   

Per share NAV beginning of period

   $ 24.32      $ 24.74   

Per share NAV end of period

   $ 23.78      $ 24.38   

Percentage change in per share NAV

     (2.2 )%      (1.5 )% 

Percentage change in benchmark

     1.2     0.2

Benchmark annualized volatility

     5.9     11.2

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 25,450,014 outstanding Shares at June 30, 2015 to 22,450,014 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse 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, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.2% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 1.5% for the three months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 20, 2015 at $26.15 per Share and reached its low for the period on August 24, 2015 at $22.71 per Share.

The benchmark’s rise of 1.2% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 0.2% for the three months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (657,657    $ (1,351,762

Management fee

     906,488         1,393,074   

Net realized gain (loss)

     (5,535,442      (8,170,779

Change in net unrealized appreciation/depreciation

     (2,516,227      862,749   

Net income (loss)

   $ (8,709,326    $ (8,659,792

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 193,732,080      $ 405,516,052   

NAV end of period

   $ 263,899,544      $ 302,929,598   

Percentage change in NAV

     36.2     (25.3 )% 

Shares outstanding beginning of period

     3,049,290        4,399,294   

Shares outstanding end of period

     4,349,290        3,449,294   

Percentage change in shares outstanding

     42.6     (21.6 )% 

Shares created

     1,300,000        300,000   

Shares redeemed

     —          1,250,000   

Per share NAV beginning of period

   $ 63.53      $ 92.18   

Per share NAV end of period

   $ 60.68      $ 87.82   

Percentage change in per share NAV

     (4.5 )%      (4.7 )% 

Percentage change in benchmark

     1.8     2.0

Benchmark annualized volatility

     13.4     9.8

 

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During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,049,290 outstanding Shares at June 30, 2016 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,399,294 outstanding Shares at June 30, 2015 to 3,449,294 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.5% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 11, 2015 at $96.04 per Share and reached its low for the period on August 24, 2015 at $85.92 per Share.

The benchmark’s rise of 1.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2015, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (408,214    $ (865,306

Management fee

     563,817         894,286   

Net realized gain (loss)

     (33,476,429      (32,435,270

Change in net unrealized appreciation/depreciation

     23,085,942         13,328,255   

Net income (loss)

   $ (10,798,701    $ (19,972,321

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 898,563,742      $ 995,416,921   

NAV end of period

   $ 979,757,506      $ 787,261,737   

Percentage change in NAV

     9.0     (20.9 )% 

Shares outstanding beginning of period

     73,877,866        21,877,867   

Shares outstanding end of period    

     93,227,866        35,227,867   

 

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     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

Percentage change in shares outstanding

     26.2     61.0

Shares created

     35,600,000        17,850,000   

Shares redeemed

     16,250,000        4,500,000   

Per share NAV beginning of period

   $ 12.16      $ 45.50   

Per share NAV end of period

   $ 10.51      $ 22.35   

Percentage change in per share NAV

     (13.6 )%      (50.9 )% 

Percentage change in benchmark

     (5.0 )%      (27.4 )% 

Benchmark annualized volatility

     40.5     51.4

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 73,877,866 outstanding Shares at June 30, 2016 to 93,227,866 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 21,877,867 outstanding Shares at June 30, 2015 to 35,227,867 outstanding Shares at September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.6% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 50.9% for the three months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $12.48 per Share and reached its low for the period on August 2, 2016 at $7.78 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 1, 2015 at $41.76 per Share and reached its low for the period on August 24, 2015 at $17.38 per Share.

The benchmark’s decline of 5.0% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 27.4% for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (1,683,430    $ (2,085,145

Management fee

     2,118,318         2,012,640   

Brokerage commissions

     112,742         148,396   

Net realized gain (loss)

     (246,216,521      (529,903,521

Change in net unrealized appreciation/depreciation

     165,591,081         (58,634,810

Net income (loss)

   $ (82,308,870    $ (590,623,476

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended September 30, 2016.

 

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ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 43,355,961      $ 63,238,942   

NAV end of period

   $ 31,750,207      $ 52,582,988   

Percentage change in NAV

     (26.8 )%      (16.9 )% 

Shares outstanding beginning of period

     2,442,169        1,392,170   

Shares outstanding end of period

     2,192,169        1,642,170   

Percentage change in shares outstanding

     (10.2 )%      18.0

Shares created

     700,000        700,000   

Shares redeemed

     950,000        450,000   

Per share NAV beginning of period

   $ 17.75      $ 45.42   

Per share NAV end of period

   $ 14.48      $ 32.02   

Percentage change in per share NAV

     (18.4 )%      (29.5 )% 

Percentage change in benchmark

     (8.0 )%      (15.0 )% 

Benchmark annualized volatility

     36.5     28.3

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 1,392,170 outstanding Shares at June 30, 2015 to 1,642,170 outstanding Shares at September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 29.5 % for the three months ended September 30, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 12, 2015 at $47.49 per Share and reached its low for the period on September 30, 2015 at $32.02 per Share.

The benchmark’s decline of 8.0% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 15.0% for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (93,432    $ (190,466

Management fee

     85,894         147,696   

Brokerage commissions

     25,652         46,406   

Net realized gain (loss)

     1,964,675         (8,595,838

Change in net unrealized appreciation/depreciation

     (8,407,770      (13,037,493

Net income (loss)

   $ (6,536,527    $ (21,823,797

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 100,789,893      $ 88,848,218   

NAV end of period

   $ 99,949,269      $ 81,225,498   

Percentage change in NAV

     (0.8 )%      (8.6 )% 

Shares outstanding beginning of period

     2,250,000        2,400,014   

Shares outstanding end of period

     2,250,000        2,450,014   

Percentage change in shares outstanding

     0.0     2.1

Shares created

     50,000        50,000   

Shares redeemed

     50,000        —     

Per share NAV beginning of period

   $ 44.80      $ 37.02   

Per share NAV end of period

   $ 44.42      $ 33.15   

Percentage change in per share NAV

     (0.8 )%      (10.5 )% 

Percentage change in benchmark

     0.1     (4.9 )% 

Benchmark annualized volatility

     10.8     15.5

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price†. The decrease in the Fund’s NAV was offset by an increase from 2,400,014 outstanding Shares at June 30, 2015 to 2,450,014 outstanding Shares at September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 1, 2015 at $36.83 per Share and reached its low for the period on July 24, 2015 at $31.44 per Share.

 

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The benchmark’s rise of 0.1% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 4.9% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (172,490    $ (190,084

Management fee

     245,192         195,929   

Brokerage commissions

     8         8   

Net realized gain (loss)

     12,630,084         (8,324,354

Change in net unrealized appreciation/depreciation

     (13,422,965      (865,903

Net income (loss)

   $ (965,371    $ (9,380,341

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

 

On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 386,838,399      $ 285,991,688   

NAV end of period

   $ 372,251,128      $ 245,181,213   

Percentage change in NAV

     (3.8 )%      (14.3 )% 

Shares outstanding beginning of period

     8,496,526        7,846,533   

Shares outstanding end of period

     7,596,526        7,896,533   

Percentage change in shares outstanding

     (10.6 )%      0.6

Shares created

     150,000        500,000   

Shares redeemed

     1,050,000        450,000   

Per share NAV beginning of period

   $ 45.53      $ 36.45   

Per share NAV end of period

   $ 49.00      $ 31.05   

Percentage change in per share NAV

     7.6     (14.8 )% 

Percentage change in benchmark

     5.4     (6.7 )% 

Benchmark annualized volatility

     30.1     24.2

 

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During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,846,533 outstanding Shares at June 30, 2015 to 7,896,533 outstanding Shares at September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 14.8% for the three months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 1, 2015 at $36.12 per Share and reached its low for the period on August 27, 2015 at $29.64 per Share.

The benchmark’s rise of 5.4% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 6.7% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (701,202    $ (596,454

Management fee

     978,671         631,618   

Brokerage commissions

     9         15   

Net realized gain (loss)

     119,372,702         (56,519,826

Change in net unrealized appreciation/depreciation

     (88,236,402      13,753,857   

Net income (loss)

   $ 30,435,098       $ (43,362,423

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

 

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 9,532,904      $ 13,272,820   

NAV end of period

   $ 9,678,714      $ 10,754,497   

Percentage change in NAV

     1.5     (19.0 )% 

Shares outstanding beginning of period

     600,000        800,014   

Shares outstanding end of period

     600,000        650,014   

Percentage change in shares outstanding

     0.0     (18.7 )% 

Shares created

     —          —     

Shares redeemed

     —          150,000   

Per share NAV beginning of period

   $ 15.89      $ 16.59   

Per share NAV end of period

   $ 16.13      $ 16.55   

Percentage change in per share NAV

     1.5     (0.2 )% 

Percentage change in benchmark

     1.2     0.2

Benchmark annualized volatility

     5.9     11.2

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 800,014 outstanding Shares at June 30, 2015 to 650,014 outstanding Shares at September 30, 2015. The decrease of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, as compared to Fund’s per Share NAV decrease of 0.2% for the three months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $17.88 per Share and reached its low for the period on July 20, 2015 at $15.65 per Share.

The benchmark’s rise of 1.2% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 0.2% for the three months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (16,659    $ (26,696

Management fee

     22,916         27,210   

Net realized gain (loss)

     46,258         68,787   

Change in net unrealized appreciation/depreciation

     116,211         (9,339

Net income (loss)

   $ 145,810       $ 32,752   

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

 

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ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
    Three Months
Ended September
30, 2015
 

NAV beginning of period

   $ 7,265,264      $ 5,348,899   

NAV end of period

   $ 7,443,729      $ 5,534,391   

Percentage change in NAV

     2.5     3.5

Shares outstanding beginning of period

     99,970        99,974   

Shares outstanding end of period

     99,970        99,974   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     —          —     

Per share NAV beginning of period

   $ 72.67      $ 53.50   

Per share NAV end of period

   $ 74.46      $ 55.36   

Percentage change in per share NAV

     2.5     3.5

Percentage change in benchmark

     1.8     2.0

Benchmark annualized volatility

     13.4     9.8

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2015 to September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 3.5% for the three months ended September 30, 2015, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $56.82 per Share and reached its low for the period on August 11, 2015 at $51.11 per Share.

The benchmark’s rise of 1.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2015, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

 

     Three Months
Ended September
30, 2016
     Three Months
Ended September
30, 2015
 

Net investment income (loss)

   $ (12,886    $ (11,745

Management fee

     17,545         12,814   

Net realized gain (loss)

     955,119         344,294   

Change in net unrealized appreciation/depreciation

     (763,768      (147,057

Net income (loss)

   $ 178,465       $ 185,492   

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

 

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Results of Operations for the Nine Months Ended September 30, 2016 Compared to the Nine Months Ended September 30, 2015

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, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 105,272,823      $ 111,459,325   

NAV end of period

   $ 227,819,218      $ 110,946,378   

Percentage change in NAV

     116.4     (0.5 )% 

Shares outstanding beginning of period

     1,589,962        1,064,962   

Shares outstanding end of period

     7,984,451        1,284,962   

Percentage change in shares outstanding

     402.2     20.7

Shares created

     9,990,000        2,110,000   

Shares redeemed

     3,595,511        1,890,000   

Per share NAV beginning of period

   $ 66.21      $ 104.66   

Per share NAV end of period

   $ 28.53      $ 86.34   

Percentage change in per share NAV

     (56.9 )%      (17.5 )% 

Percentage change in benchmark

     (56.7 )%      (17.1 )% 

Benchmark annualized volatility

     78.7     76.6

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,589,962 outstanding Shares at December 31, 2015 to 7,984,451 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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 1,064,962 outstanding Shares at December 31, 2014 to 1,284,962 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 17.5% for the nine months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $97.97 per Share and reached its low for the period on September 28, 2016 at $27.72 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $120.75 per Share and reached its low for the period on August 10, 2015 at $51.75 per Share.

The benchmark’s decline of 56.7% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 17.1% for the nine months ended September 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (1,116,018    $ (924,620

Management fee

     1,210,844         839,732   

Brokerage commission

     229,993         115,986   

Net realized gain (loss)

     (134,339,691      3,414,162   

Change in net unrealized appreciation/depreciation

     (8,439,809      (5,106,633

Net income (loss)

   $ (143,895,518    $ (2,617,091

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

 

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

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 27,650,638      $ 21,459,575   

NAV end of period

   $ 58,894,811      $ 31,111,315   

Percentage change in NAV

     113.0     45.0

Shares outstanding beginning of period

     512,404        337,404   

Shares outstanding end of period

     1,287,403        487,404   

Percentage change in shares outstanding

     151.2     44.5

Shares created

     950,000        300,000   

Shares redeemed

     175,001        150,000   

Per share NAV beginning of period

   $ 53.96      $ 63.60   

Per share NAV end of period

   $ 45.75      $ 63.83   

Percentage change in per share NAV

     (15.2 )%      0.4

Percentage change in benchmark

     (14.5 )%      1.2

Benchmark annualized volatility

     36.6     36.0

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 337,404 outstanding Shares at December 31, 2014 to 487,404 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV the decrease of 15.2% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 0.4% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

 

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During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $69.30 per Share and reached its low for the period on August 10, 2015 at $49.68 per Share.

The benchmark’s decline of 14.5% for the nine months ended September 30, 2016, as compared to the benchmark’s rise of 1.2% for the nine months ended September 30, 2015, can be attributed to a 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, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (210,903    $ (180,854

Management fee

     251,163         173,165   

Brokerage commission

     23,544         13,649   

Net realized gain (loss)

     (5,248,593      (2,290,055

Change in net unrealized appreciation/depreciation

     (1,908,048      3,198,975   

Net income (loss)

   $ (7,367,544    $ 728,066   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a 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, 2016.

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, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 642,811,361      $ 506,556,124   

NAV end of period

   $ 504,798,665      $ 629,787,391   

Percentage change in NAV

     (21.5 )%      24.3

Shares outstanding beginning of period

     12,650,040        8,250,040   

Shares outstanding end of period

     6,950,000        13,350,040   

Percentage change in shares outstanding

     (45.1 )%      61.8

Shares created

     44,050,000        18,700,000   

Shares redeemed

     49,750,040        13,600,000   

Per share NAV beginning of period

   $ 50.81      $ 61.40   

Per share NAV end of period

   $ 72.63      $ 47.17   

Percentage change in per share NAV

     42.9     (23.2 )% 

Percentage change in benchmark

     (56.7 )%      (17.1 )% 

Benchmark annualized volatility

     78.7     76.6

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 12,650,040 outstanding Shares at December 31, 2015 to 6,950,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 8,250,040 outstanding Shares at December 31, 2014 to 13,350,040 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

 

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For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 42.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 23.2% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $79.16 per Share and reached its low for the period on February 11, 2016 at $31.50 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on June 23, 2015 at $97.71 per Share and reached its low for the period on September 1, 2015 at $43.58 per Share.

The benchmark’s decline of 56.7% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 17.1% for the nine months ended September 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX Futures curve during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (4,236,471    $ (3,707,872

Management fee

     3,561,744         2,522,692   

Brokerage commission

     1,522,859         1,263,889   

Net realized gain (loss)

     262,990,607         35,802,720   

Change in net unrealized appreciation/depreciation

     16,725,819         (45,477,591

Net income (loss)

   $ 275,479,955       $ (13,382,743

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

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, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 547,708,740      $ 351,789,953   

NAV end of period

   $ 738,749,800      $ 334,883,798   

Percentage change in NAV

     34.9     (4.8 )% 

Shares outstanding beginning of period

     3,900,490        560,804   

Shares outstanding end of period

     43,707,651        1,170,490   

Percentage change in shares outstanding

     1,020.6     108.7

Shares created

     77,140,000        8,956,000   

Shares redeemed

     37,332,839        8,346,314   

 

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     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

Per share NAV beginning of period

   $  140.42      $ 627.30   

Per share NAV end of period

   $ 16.90      $ 286.11   

Percentage change in per share NAV

     (88.0 )%      (54.4 )% 

Percentage change in benchmark

     (56.7 )%      (17.1 )% 

Benchmark annualized volatility

     78.7     76.6

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,900,490 outstanding Shares at December 31, 2015 to 43,707,651 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 560,804 outstanding Shares at December 31, 2014 to 1,170,490 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 54.4% for the nine months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $285.77 per Share and reached its low for the period on September 28, 2016 at $15.98 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $821.39 per Share and reached its low for the period on August 10, 2015 at $122.30 per Share.

The benchmark’s decline of 56.7% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 17.1% for the nine months ended September 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended June 31, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (7,007,927    $ (5,497,266

Management fee

     5,006,558         3,205,706   

Brokerage commission

     3,228,763         2,378,733   

Net realized gain (loss)

     (1,269,208,841      (291,204,571

Change in net unrealized appreciation/depreciation

     (51,154,812      (14,730,937

Net income (loss)

   $ (1,327,371,580    $ (311,432,774

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

 

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

 

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ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 95,897,894      $ 169,210,110   

NAV end of period

   $ 189,577,580      $ 141,774,453   

Percentage change in NAV

     97.7     (16.2 )% 

Shares outstanding beginning of period

     719,944        2,169,944   

Shares outstanding end of period

     2,369,942        1,619,944   

Percentage change in shares outstanding

     229.2     (25.3 )% 

Shares created

     6,550,000        10,200,000   

Shares redeemed

     4,900,002        10,750,000   

Per share NAV beginning of period

   $ 133.20      $ 77.98   

Per share NAV end of period

   $ 79.99      $ 87.52   

Percentage change in per share NAV

     (39.9 )%      12.2

Percentage change in benchmark

     (0.3 )%      (27.3 )% 

Benchmark annualized volatility

     47.3     47.8

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 719,944 outstanding Shares at December 31, 2015 to 2,369,942 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,169,944 outstanding Shares at December 31, 2014 to 1,619,944 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 12.2% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $232.22 per Share and reached its low for the period on June 8, 2016 at $74.44 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $134.50 per Share and reached its low for the period on June 10, 2015 at $52.91 per Share.

The benchmark’s decline of 0.3% for the nine months ended September 30, 2016, as compared to the decline of 27.3% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (1,070,888    $ (1,823,433

Management fee

     1,291,075         1,681,411   

Brokerage commission

     125,327         187,715   

Net realized gain (loss)

     (36,901,010      47,579,514   

Change in net unrealized appreciation/depreciation

     (29,797,685      (45,637,289

Net income (loss)

   $ (67,769,583    $ 118,792   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 10,462,856      $ 14,688,564   

NAV end of period

   $ 6,349,132      $ 12,137,105   

Percentage change in NAV

     (39.3 )%      (17.4 )% 

Shares outstanding beginning of period

     224,856        524,856   

Shares outstanding end of period

     174,832        374,856   

Percentage change in shares outstanding

     (22.2 )%      (28.6 )% 

Shares created

     850,000        1,200,000   

Shares redeemed

     900,024        1,350,000   

Per share NAV beginning of period

   $ 46.53      $ 27.99   

Per share NAV end of period

   $ 36.32      $ 32.38   

Percentage change in per share NAV

     (21.9 )%      15.7

Percentage change in benchmark

     (5.9 )%      (23.0 )% 

Benchmark annualized volatility

     39.6     40.2

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 524,856 outstanding Shares at December 31, 2014 to 374,856 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 15.7% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016, at $84.20 per Share and reached its low for the period on September 21, 2016, at $31.43 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on April 27, 2015 at $32.39 per Share and reached its low for the period on January 14, 2015 at $21.53 per Share.

 

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The benchmark’s decline of 5.9% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 23.0% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (107,463   $ (126,959

Management fee

    70,066        83,818   

Brokerage commission

    53,910        45,601   

Net realized gain (loss)

    458,954        6,412,870   

Change in net unrealized appreciation/depreciation

    2,803,491        (1,526,777

Net income (loss)

  $ 3,154,982      $ 4,759,134   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 74,971,764      $ 81,861,762   

NAV end of period

   $ 76,364,786      $ 74,568,380   

Percentage change in NAV

     1.9     (8.9 )% 

Shares outstanding beginning of period

     646,978        846,978   

Shares outstanding end of period

     1,096,978        696,978   

Percentage change in shares outstanding

     69.6     (17.7 )% 

Shares created

     1,000,000        100,000   

Shares redeemed

     550,000        250,000   

Per share NAV beginning of period

   $ 115.88      $ 96.65   

Per share NAV end of period

   $ 69.61      $ 106.99   

Percentage change in per share NAV

     (39.9 )%      10.7

Percentage change in benchmark

     24.8     (7.6 )% 

Benchmark annualized volatility

     17.0     14.3

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 846,978 outstanding Shares at December 31, 2014 to 696,978 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price†.

 

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For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 24, 2015 at $115.60 per Share and reached its low for the period on January 22, 2015 at $83.07 per Share.

The benchmark’s rise of 24.8% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.6% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (350,865   $ (534,850

Management fee

    469,612        557,050   

Brokerage commission

    33        33   

Net realized gain (loss)

    (29,965,948     7,024,594   

Change in net unrealized appreciation/depreciation

    (225,049     2,668,359   

Net income (loss)

  $ (30,541,862   $ 9,158,103   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

 

On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

 

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ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 55,987,938      $ 53,007,867   

NAV end of period

   $ 39,589,348      $ 55,044,902   

Percentage change in NAV

     (29.3 )%      3.8

Shares outstanding beginning of period

     866,978        916,978   

Shares outstanding end of period

     1,416,976        916,978   

Percentage change in shares outstanding

     63.4     0.0

Shares created

     1,600,000        1,100,000   

Shares redeemed

     1,050,002        1,100,000   

Per share NAV beginning of period

   $ 64.58      $ 57.81   

Per share NAV end of period

   $ 27.94      $ 60.03   

Percentage change in per share NAV

     (56.7 )%      3.8

Percentage change in benchmark

     40.0     (8.3 )% 

Benchmark annualized volatility

     27.1     24.3

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to September 30, 2015.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 3.8% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 27, 2015 at $63.99 per Share and reached its low for the period on January 23, 2015 at $43.40 per Share.

The benchmark’s rise of 40.0% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 8.3% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (210,102   $ (378,164

Management fee

    281,605        391,994   

Brokerage commission

    33        33   

Net realized gain (loss)

    (26,657,499     7,379,053   

Change in net unrealized appreciation/depreciation

    (4,263,685     (1,107,105

Net income (loss)

  $ (31,131,286   $ 5,893,784   

 

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The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

 

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

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 17,510,898      $ 14,021,804   

NAV end of period

   $ 14,775,779      $ 34,211,934   

Percentage change in NAV

     (15.6 )%      144.0

Shares outstanding beginning of period

     400,005        350,005   

Shares outstanding end of period

     350,000        800,005   

Percentage change in shares outstanding

     (12.5 )%      128.6

Shares created

     50,000        550,000   

Shares redeemed

     100,005        100,000   

Per share NAV beginning of period

   $ 43.78      $ 40.06   

Per share NAV end of period

   $ 42.22      $ 42.76   

Percentage change in per share NAV

     (3.6 )%      6.7

Percentage change in benchmark

     3.4     (7.7 )% 

Benchmark annualized volatility

     8.3     12.5

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 350,005 outstanding Shares at December 31, 2014 to 800,005 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 6.7% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $46.07 per Share and reached its low for the period on January 2, 2015 at $40.37 per Share.

The benchmark’s rise of 3.4% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.7% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (95,407   $ (131,854

Management fee

    116,244        132,555   

Brokerage commission

    2,009        2,951   

Net realized gain (loss)

    (199,557     1,196,111   

Change in net unrealized appreciation/depreciation

    (268,792     (224,430

Net income (loss)

  $ (563,756   $ 839,827   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 20,460,679      $ 23,120,790   

NAV end of period

   $ 17,389,549      $ 22,583,663   

Percentage change in NAV

     (15.0 )%      (2.3 )% 

Shares outstanding beginning of period

     350,005        450,005   

Shares outstanding end of period

     350,000        350,005   

Percentage change in shares outstanding

     0.0 %^      (22.2 )% 

Shares created

     —          50,000   

Shares redeemed

     5        150,000   

Per share NAV beginning of period

   $ 58.46      $ 51.38   

Per share NAV end of period

   $ 49.68      $ 64.52   

Percentage change in per share NAV

     (15.0 )%      25.6

Percentage change in benchmark

     5.1     (14.0 )% 

Benchmark annualized volatility

     12.1     12.3

 

^ Amount represents less than 0.05%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. The decrease in the Fund’s NAV also resulted from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 450,005 outstanding Shares at December 31, 2014 to 350,005 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 25.6% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

 

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During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 4, 2015 at $66.75 per Share and reached its low for the period on May 13, 2015 at $50.07 per Share.

The benchmark’s rise of 5.1% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 14.0% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (115,076   $ (158,141

Management fee

    136,306        149,028   

Brokerage commission

    11,011        12,027   

Net realized gain (loss)

    (2,462,114     5,931,063   

Change in net unrealized appreciation/depreciation

    (493,626     (693,541

Net income (loss)

  $ (3,070,816   $ 5,079,381   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 522,306,518      $ 517,191,349   

NAV end of period

   $ 370,915,586      $ 547,279,138   

Percentage change in NAV

     (29.0 )%      5.8

Shares outstanding beginning of period

     20,450,014        23,950,014   

Shares outstanding end of period

     15,600,000        22,450,014   

Percentage change in shares outstanding

     (23.7 )%      (6.3 )% 

Shares created

     650,000        11,900,000   

Shares redeemed

     5,500,014        13,400,000   

Per share NAV beginning of period

   $ 25.54      $ 21.59   

Per share NAV end of period

   $ 23.78      $ 24.38   

Percentage change in per share NAV

     (6.9 )%      12.9

Percentage change in benchmark

     3.4     (7.7 )% 

Benchmark annualized volatility

     8.3     12.5

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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 23,950,014 outstanding Shares at December 31, 2014 to 22,450,014 outstanding Shares at September 30, 2015.

 

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For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 12.9% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $28.50 per Share and reached its low for the period on January 2, 2015 at $21.94 per Share.

The benchmark’s rise of 3.4% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.7% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (2,129,104    $ (3,837,538

Management fee

     2,894,802         4,000,943   

Net realized gain (loss)

     (60,591,510      69,786,875   

Change in net unrealized appreciation/depreciation

     30,468,759         (11,431,990

Net income (loss)

   $ (32,251,855    $ 54,517,347   

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 237,372,900      $ 531,471,873   

NAV end of period

   $ 263,899,544      $ 302,929,598   

Percentage change in NAV

     11.2     (43.0 )% 

Shares outstanding beginning of period

     2,699,294        5,949,294   

Shares outstanding end of period

     4,349,290        3,449,294   

Percentage change in shares outstanding

     61.1     (42.0 )% 

Shares created

     2,100,000        1,350,000   

Shares redeemed

     450,004        3,850,000   

Per share NAV beginning of period

   $ 87.94      $ 89.33   

Per share NAV end of period

   $ 60.68      $ 87.82   

Percentage change in per share NAV

     (31.0 )%      (1.7 )% 

Percentage change in benchmark

     18.5     (0.2 )% 

Benchmark annualized volatility

     13.0     8.7

 

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During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at December 31, 2014 to 3,449,294 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 1.7% for the nine months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on June 5, 2015 at $97.30 per Share and reached its low for the period on January 15, 2015 at $84.11 per Share.

The benchmark’s rise of 18.5% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 0.2% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (1,133,789    $ (2,955,236

Management fee

     1,462,231         3,069,183   

Net realized gain (loss)

     (86,179,609      (6,896,574

Change in net unrealized appreciation/depreciation

     14,046,211         686,993   

Net income (loss)

   $ (73,267,187    $ (9,164,817

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

 

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ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 783,922,475      $ 450,562,988   

NAV end of period

   $ 979,757,506      $ 787,261,737   

Percentage change in NAV

     25.0     74.7

Shares outstanding beginning of period

     62,327,867        8,879,834   

Shares outstanding end of period

     93,227,866        35,227,867   

Percentage change in shares outstanding

     49.6     296.7

Shares created

     100,950,000        54,530,000   

Shares redeemed

     70,050,001        28,181,967   

Per share NAV beginning of period

   $ 12.58      $ 50.74   

Per share NAV end of period

   $ 10.51      $ 22.35   

Percentage change in per share NAV

     (16.5 )%      (56.0 )% 

Percentage change in benchmark

     (0.3 )%      (27.3 )% 

Benchmark annualized volatility

     47.3     47.8

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 62,327,867 outstanding Shares at December 31, 2015 to 93,227,866 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 8,879,834 outstanding Shares at December 31, 2014 to 35,227,867 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.5% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 56.0% for the nine months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $14.08 per Share and reached its low for the period on February 11, 2016 at $6.01 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on May 6, 2015 at $50.96 per Share and reached its low for the period on August 24, 2015 at $17.38 per Share.

The benchmark’s decline of 0.3% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 27.3% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (4,978,159    $ (6,489,539

Management fee

     6,031,448         6,257,893   

Brokerage commission

     443,936         449,106   

Net realized gain (loss)

     (132,886,039      (497,221,597

Change in net unrealized appreciation/depreciation

     190,350,573         73,444,143   

Net income (loss)

   $ 52,486,375       $ (430,266,993

 

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The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 38,851,184      $ 70,433,207   

NAV end of period

   $ 31,750,207      $ 52,582,988   

Percentage change in NAV

     (18.3 )%      (25.3 )% 

Shares outstanding beginning of period

     2,092,170        1,142,485   

Shares outstanding end of period

     2,192,169        1,642,170   

Percentage change in shares outstanding

     4.8     43.7

Shares created

     2,200,000        1,687,500   

Shares redeemed

     2,100,001        1,187,815   

Per share NAV beginning of period

   $ 18.57      $ 61.65   

Per share NAV end of period

   $ 14.48      $ 32.02   

Percentage change in per share NAV

     (22.0 )%      (48.1 )% 

Percentage change in benchmark

     (5.9 )%      (23.0 )% 

Benchmark annualized volatility

     39.6     40.2

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 1,142,485 outstanding Shares at December 31, 2014 to 1,642,170 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 48.1% for the nine months ended September 30, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 14, 2015 at $74.33 per Share and reached its low for the period on September 30, 2015 at $32.02 per Share.

The benchmark’s decline of 5.9% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 23.0% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (282,519    $ (620,187

Management fee

     229,760         479,185   

Brokerage commission

     98,016         156,022   

Net realized gain (loss)

     6,591,292         (58,399,470

Change in net unrealized appreciation/depreciation

     (7,750,780      21,001,958   

Net income (loss)

   $ (1,442,007    $ (38,017,699

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September

30, 2016
    Nine Months
Ended September

30, 2015
 

NAV beginning of period

   $ 69,864,815      $ 102,003,345   

NAV end of period

   $ 99,949,269      $ 81,225,498   

Percentage change in NAV

     43.1     (20.4 )% 

Shares outstanding beginning of period

     2,350,014        2,550,014   

Shares outstanding end of period

     2,250,000        2,450,014   

Percentage change in shares outstanding

     (4.3 )%      (3.9 )% 

Shares created

     150,000        100,000   

Shares redeemed

     250,014        200,000   

Per share NAV beginning of period

   $ 29.73      $ 40.00   

Per share NAV end of period

   $ 44.42      $ 33.15   

Percentage change in per share NAV

     49.4     (17.1 )% 

Percentage change in benchmark

     24.8     (7.6 )% 

Benchmark annualized volatility

     17.0     14.3

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,014 outstanding Shares at December 31, 2014 to 2,450,014 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price†.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 49.4% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 17.1% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 22, 2015 at $46.03 per Share and reached its low for the period on July 24, 2015 at $31.44 per Share.

 

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The benchmark’s rise of 24.8% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.6% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (486,568    $ (630,215

Management fee

     665,265         657,667   

Brokerage commission

     33         33   

Net realized gain (loss)

     33,704,266         (12,230,086

Change in net unrealized appreciation/depreciation

     (208,227      (3,349,294

Net income (loss)

   $ 33,009,471       $ (16,209,595

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

 

On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 216,416,642      $ 291,169,743   

NAV end of period

   $ 372,251,128      $ 245,181,213   

Percentage change in NAV

     72.0     (15.8 )% 

Shares outstanding beginning of period

     7,996,533        7,396,533   

Shares outstanding end of period

     7,596,526        7,896,533   

Percentage change in shares outstanding

     (5.0 )%      6.8

Shares created

     1,500,000        2,000,000   

Shares redeemed

     1,900,007        1,500,000   

Per share NAV beginning of period

   $ 27.06      $ 39.37   

Per share NAV end of period

   $ 49.00      $ 31.05   

Percentage change in per share NAV

     81.1     (21.1 )% 

Percentage change in benchmark

     40.0     (8.3 )% 

Benchmark annualized volatility

     27.1     24.3

 

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During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,396,533 outstanding Shares at December 31, 2014 to 7,896,533 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 81.1% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 23, 2015 at $50.86 per Share and reached its low for the period on August 27, 2015 at $29.64 per Share.

The benchmark’s rise of 40.0% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 8.3% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months Ended
September 30, 2016
     Nine Months Ended
September 30, 2015
 

Net investment income (loss)

   $ (1,713,227    $ (1,975,441

Management fee

     2,300,935         2,085,125   

Brokerage commission

     36         42   

Net realized gain (loss)

     174,873,081         (72,523,674

Change in net unrealized appreciation/depreciation

     9,844,227         12,283,450   

Net income (loss)

   $ 183,004,081       $ (62,215,665

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

 

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ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 10,857,730      $ 2,981,441   

NAV end of period

   $ 9,678,714      $ 10,754,497   

Percentage change in NAV

     (10.9 )%      260.7

Shares outstanding beginning of period

     700,014        150,014   

Shares outstanding end of period

     600,000        650,014   

Percentage change in shares outstanding

     (14.3 )%      333.3

Shares created

     50,000        800,000   

Shares redeemed

     150,014        300,000   

Per share NAV beginning of period

   $ 15.51      $ 19.87   

Per share NAV end of period

   $ 16.13      $ 16.55   

Percentage change in per share NAV

     4.0     (16.7 )% 

Percentage change in benchmark

     3.4     (7.7 )% 

Benchmark annualized volatility

     8.3     12.5

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 650,014 outstanding Shares at September 30, 2015. The increase of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, as compared to Fund’s per Share NAV decrease of 16.7% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $19.55 per Share and reached its low for the period on March 13, 2015 at $14.80 per Share.

The benchmark’s rise of 3.4% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.7% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (53,805   $ (76,611

Management fee

    71,859        78,687   

Net realized gain (loss)

    1,156,114        (559,454

Change in net unrealized appreciation/depreciation

    (654,956     (39,308

Net income (loss)

  $ 447,353      $ (675,373

 

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The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

 

     Nine Months
Ended September
30, 2016
    Nine Months
Ended September
30, 2015
 

NAV beginning of period

   $ 5,473,848      $ 2,118,028   

NAV end of period

   $ 7,443,729      $ 5,534,391   

Percentage change in NAV

     36.0     161.3

Shares outstanding beginning of period

     99,974        37,504   

Shares outstanding end of period

     99,970        99,974   

Percentage change in shares outstanding

     0.0 %^      166.6

Shares created

     —          75,000   

Shares redeemed

     4        12,530   

Per share NAV beginning of period

   $ 54.75      $ 56.47   

Per share NAV end of period

   $ 74.46      $ 55.36   

Percentage change in per share NAV

     36.0     (2.0 )% 

Percentage change in benchmark

     18.5     (0.2 )% 

Benchmark annualized volatility

     13.0     8.7

 

^ Amount represents less than 0.05%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares from December 31, 2015 to 99,970 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 37,504 outstanding Shares at December 31, 2014 to 99,974 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 36.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 2.0% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $59.83 per Share and reached its low for the period on June 5, 2015 at $50.86 per Share.

The benchmark’s rise of 18.5% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 0.2% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

 

    Nine Months Ended
September 30, 2016
    Nine Months Ended
September 30, 2015
 

Net investment income (loss)

  $ (35,548   $ (33,316

Management fee

    47,356        35,135   

Net realized gain (loss)

    2,273,202        (174,875

Change in net unrealized appreciation/depreciation

    (267,574     28,220   

Net income (loss)

  $ 1,970,080      $ (179,971

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

 

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of September 30, 2016 and 2015, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016      8,392       $ 15.78         1,000       $ 132,383,800   

VIX Futures (CBOE)

   Long    November 2016      5,601         16.95         1,000         94,936,950   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2015      2,745       $ 23.03         1,000       $ 63,203,625   

VIX Futures (CBOE)

   Long    November 2015      2,144         22.13         1,000         47,436,000   

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015 filed with the U.S. Securities and Exchange Commission (the “SEC”) on February 29, 2016 (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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

 

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Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2017      614       $ 18.50         1,000       $ 11,359,000   

VIX Futures (CBOE)

   Long    February 2017      1,024         19.05         1,000         19,507,200   

VIX Futures (CBOE)

   Long    March 2017      1,023         19.40         1,000         19,846,200   

VIX Futures (CBOE)

   Long    April 2017      409         19.98         1,000         8,169,775   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2016      262       $ 21.98         1,000       $ 5,757,450   

VIX Futures (CBOE)

   Long    February 2016      468         22.18         1,000         10,377,900   

VIX Futures (CBOE)

   Long    March 2016      468         22.18         1,000         10,377,900   

VIX Futures (CBOE)

   Long    April 2016      205         22.43         1,000         4,597,125   

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2016      18,688       $ 15.78         1,000       $ (294,803,200

VIX Futures (CBOE)

   Short    November 2016      12,445         16.95         1,000         (210,942,750

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2015      15,656       $ 23.03         1,000       $ (360,479,400

VIX Futures (CBOE)

   Short    November 2015      12,319         22.13         1,000         (272,557,875

 

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The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016      54,497       $ 15.78         1,000       $ 859,690,175   

VIX Futures (CBOE)

   Long    November 2016      36,351         16.95         1,000         616,149,450   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2015      16,536       $ 23.03         1,000       $ 380,741,400   

VIX Futures (CBOE)

   Long    November 2015      12,983         22.13         1,000         287,248,875   

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

 

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ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2016      2,093       $ 48.24         1,000       $ (100,966,320

Swap Agreements as of September 30, 2016

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Short    $ 79.0094       $ (110,835,497

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      79.0094         (78,877,241

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      79.0094         (8,278,478

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      79.0094         (80,182,717

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2015      2,842       $ 45.09         1,000       $ (128,145,780

Swap Agreements as of September 30, 2015

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 103.4951       $ (43,305,552

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      103.4951         (38,460,578

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      103.4951         (17,760,098

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      103.4951         (55,882,943

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 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

 

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returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    November 2016      437       $ 2.91         10,000       $ (12,699,220

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    November 2015      962       $ 2.52         10,000       $ (24,280,880

The September 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    December 2016      2       $ 1,317.10         100       $ (263,420

 

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Forward Agreements as of September 30, 2016

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Short    $ 1,322.72       $ (29,893,472

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short      1,322.80         (73,018,560

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,322.70         (21,689,635

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,322.71         (5,290,840

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,322.71         (22,552,206

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    December 2015      2       $ 1,115.20         100       $ (223,040

Forward Agreements as of September 30, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,114.02       $ (62,719,326

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,114.00         (36,759,772

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,113.99         (15,595,860

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,113.99         (33,809,597

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

 

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Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    December 2016      2       $ 19.21         5,000       $ (192,140

Forward Agreements as of September 30, 2016

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Short    $ 19.3535       $ (11,979,817

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short      19.3551         (41,536,045

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      19.3535         (12,976,522

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      19.3537         (3,019,177

0.999 Fine Troy Ounce Silver

   UBS AG    Short      19.3535         (9,463,862

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Short    December 2015      2       $ 14.52         5,000       $ (145,180

Forward Agreements as of September 30, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 14.6514       $ (44,247,228

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      14.6510         (27,331,441

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      14.6510         (9,611,056

0.999 Fine Troy Ounce Silver

   UBS AG    Short      14.6510         (28,745,262

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

 

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Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2016      105       $ 1.13         125,000       $ (14,801,063

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2015      244       $ 1.12         125,000       $ (34,095,950

The September 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2016      456       $ 76.49         1,000       $ (34,879,440

 

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Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2015      645       $ 69.88         1,000       $ (45,072,600

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    10/07/16      11,861,500        1.1236       $ 13,327,034   

Euro

   UBS AG    Long    10/07/16      18,134,300        1.1236         20,374,863   

Euro

   Goldman Sachs International    Short    10/07/16      (344,672,125     1.1236         (387,257,692

Euro

   UBS AG    Short    10/07/16      (345,543,400     1.1236         (388,236,616

Foreign Currency Forward Contracts as of September 30, 2015

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    10/09/15      52,575,200        1.1175       $ 58,758,406   

Euro

   UBS AG    Long    10/09/15      84,264,100        1.1175         94,174,139   

Euro

   Goldman Sachs International    Short    10/09/15      (527,357,625     1.1175         (589,378,515

Euro

   UBS AG    Short    10/09/15      (589,820,600     1.1175         (659,187,567

 

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The September 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/07/16      812,107,700        0.009863       $ 8,009,961   

Yen

   UBS AG    Long    10/07/16      4,484,904,300        0.009863         44,235,400   

Yen

   Goldman Sachs International    Short    10/07/16      (27,401,188,900     0.009863         (270,262,747

Yen

   UBS AG    Short    10/07/16      (31,384,937,700     0.009863         (309,555,163

Foreign Currency Forward Contracts as of September 30, 2015

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/09/15      5,754,030,200        0.008337       $ 47,975,159   

Yen

   UBS AG    Long    10/09/15      5,101,523,700        0.008337         42,534,780   

Yen

   Goldman Sachs International    Short    10/09/15      (42,132,482,600     0.008337         (351,286,398

Yen

   UBS AG    Short    10/09/15      (41,389,892,100     0.008337         (345,094,929

The September 30, 2016 and 2015 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.

 

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Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2016      8,345       $ 48.24         1,000       $ 402,562,800   

Swap Agreements as of September 30, 2016

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Long    $ 79.0094       $ 566,152,847   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      79.0094         454,062,414   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      79.0094         100,430,739   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      79.0094         436,225,560   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2015      11,512       $ 45.09         1,000       $ 519,076,080   

 

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Swap Agreements as of September 30, 2015

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 103.4951       $ 299,072,212   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      103.4951         329,950,075   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      103.4951         118,711,010   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      103.4951         307,603,721   

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    November 2016      2,185       $ 2.91         10,000       $ 63,496,100   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

   Long    November 2015      4,166       $ 2.52         10,000       $ 105,149,840   

The September 30, 2016 and 2015 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.

 

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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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    December 2016      2       $ 1,317.10         100       $ 263,420   

Forward Agreements as of September 30, 2016

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,322.72       $ 55,818,784   

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long      1,322.80         42,461,880   

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,322.70         48,305,004   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,322.71         20,369,734   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,322.71         32,670,937   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    December 2015      2       $ 1,115.20         100       $ 223,040   

Forward Agreements as of September 30, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,114.02       $ 81,323,460   

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,114.00         29,654,680   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,113.99         17,155,446   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,113.99         34,088,094   

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 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

 

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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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    December 2016      2       $ 19.21         5,000       $ 192,140   

Forward Agreements as of September 30, 2016

 

Reference Index

   Counterparty    Long or
Short
   Valuation Price      Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 19.3535       $ 216,797,907   

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long      19.3551         110,726,656   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      19.3535         188,634,694   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      19.3537         67,428,291   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      19.3535         160,692,111   

Futures Positions as of September 30, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    December 2015      2       $ 14.52         5,000       $ 145,180   

Forward Agreements as of September 30, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation Price      Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 14.6514       $ 185,003,228   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      14.6510         116,956,003   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      14.6510         58,369,584   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      14.6510         129,837,162   

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 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.

 

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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, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    10/07/16      9,020,825        1.1236       $ 10,135,383   

Euro

   UBS AG    Long    10/07/16      8,385,200        1.1236         9,421,224   

Euro

   UBS AG    Short    10/07/16      (169,500     1.1236         (190,442

Foreign Currency Forward Contracts as of September 30, 2015

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    10/09/15      11,569,925        1.1175       $ 12,930,628   

Euro

   UBS AG    Long    10/09/15      8,722,700        1.1175         9,748,550   

Euro

   Goldman Sachs International    Short    10/09/15      (412,400     1.1175         (460,901

Euro

   UBS AG    Short    10/09/15      (640,900     1.1175         (716,274

The September 30, 2016 and 2015 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.

 

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ProShares Ultra Yen:

As of September 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/07/16      1,029,857,000        0.009863       $ 10,157,661   

Yen

   UBS AG    Long    10/07/16      524,705,100        0.009863         5,175,259   

Yen

   Goldman Sachs International    Short    10/07/16      (34,119,100     0.009863         (336,523

Yen

   UBS AG    Short    10/07/16      (11,065,500     0.009863         (109,141

Foreign Currency Forward Contracts as of September 30, 2015

 

Reference Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward
Rate
     Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/09/15      870,160,900        0.008337       $ 7,255,107   

Yen

   UBS AG    Long    10/09/15      486,769,100        0.008337         4,058,516   

Yen

   Goldman Sachs International    Short    10/09/15      (18,075,700     0.008337         (150,709

Yen

   UBS AG    Short    10/09/15      (8,963,800     0.008337         (74,737

The September 30, 2016 and 2015 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.

 

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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. Each Matching VIX Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

 

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Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds or UltraShort Funds will generally decrease when the index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

 

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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).

 

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Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of September 30, 2016, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2016, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund

 

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Part II. OTHER INFORMATION

 

Item 1. Legal Proceedings.

None

 

Item 1A. Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015, filed on February 29, 2016.

 

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

 

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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). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-

 

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202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). On August 11, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the Form S-1; no additional shares were registered with that filing. That registration statement was a combined prospectus and acted as a pre-effective amendment to post-effective amendment No. 1 of the Form S-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 (File No. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on Form S-3 (File No. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. Thus, as of September 30, 2016, the Trust had two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-202724); and 2) a Form S-3 Registration Statement (No. 333-210024).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

 

                                                                                

Title of

Securities Registered

   Amount
Registered
As of
September 30,
2016
     Shares Sold
For the
Three Months
Ended

September 30,
2016
     Sale Price of
Shares Sold For
the

Three Months
Ended

September 30,
2016
 

ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest

   $ 1,293,316,711         4,605,000       $ 160,300,475   

ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest

   $ 619,302,925         525,000       $ 25,197,176   

ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest

   $ 3,637,796,044         9,250,000       $ 613,841,047   

ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest

   $ 5,829,405,324         47,130,000       $ 1,028,299,001   

ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest

   $ 1,459,211,527         1,550,000       $ 130,699,490   

ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest

   $ 412,030,981         400,000       $ 14,880,332   

ProShares UltraShort Gold
Common Units of Beneficial Interest

   $ 188,646,875         300,000       $ 20,969,905   

ProShares UltraShort Silver
Common Units of Beneficial Interest

   $ 2,083,528,399         600,000       $ 17,246,650   

ProShares Short Euro
Common Units of Beneficial Interest

   $ 174,672,977         —         $ —     

ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest

   $ 172,771,084         —         $ —     

 

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ProShares UltraShort Euro
Common Units of Beneficial Interest

   $ 1,955,170,892         200,000       $ 4,859,432   

ProShares UltraShort Yen
Common Units of Beneficial Interest

   $ 785,286,665         1,300,000       $ 80,966,165   

ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest

   $ 4,410,088,158         35,600,000       $ 335,472,814   

ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest

   $ 540,275,387         700,000       $ 9,934,929   

ProShares Ultra Gold
Common Units of Beneficial Interest

   $ 277,649,678         50,000       $ 2,341,317   

ProShares Ultra Silver
Common Units of Beneficial Interest

   $ 1,367,128,153         150,000       $ 7,887,783   

ProShares Ultra Euro
Common Units of Beneficial Interest

   $ 126,652,323         —         $ —     

ProShares Ultra Yen
Common Units of Beneficial Interest

   $ 138,726,333         —         $ —     

Total:

   $ 25,471,660,436         102,360,000       $ 2,452,896,516   

 

(a) From July 1, 2016 to September 30, 2016, the number of Shares redeemed and average price per Share for each Fund were as follows:

 

                                                             

Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares VIX Short-Term Futures ETF

     

07/01/16 to 07/31/16

     511       $ —     

08/01/16 to 08/31/16

     100,000       $ 30.84   

09/01/16 to 09/30/16

     750,000       $ 33.28   

ProShares VIX Mid-Term Futures ETF

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     50,000       $ 47.94   

ProShares Short VIX Short-Term Futures ETF

     

07/01/16 to 07/31/16

     8,800,000       $ 55.64   

08/01/16 to 08/31/16

     4,850,000       $ 72.16   

09/01/16 to 09/30/16

     2,450,000       $ 74.07   

ProShares Ultra VIX Short-Term Futures ETF

     

07/01/16 to 07/31/16

     1,972,839       $ 37.04   

08/01/16 to 08/31/16

     2,550,000       $ 21.16   

09/01/16 to 09/30/16

     17,300,000       $ 22.76   

ProShares UltraShort Bloomberg Crude Oil

     

07/01/16 to 07/31/16

     500,000       $ 104.29   

08/01/16 to 08/31/16

     150,000       $ 118.66   

09/01/16 to 09/30/16

     550,000       $ 97.61   

ProShares UltraShort Bloomberg Natural Gas

     

07/01/16 to 07/31/16

     250,000       $ 38.96   

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     50,000       $ 38.69   

ProShares UltraShort Gold

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

ProShares UltraShort Silver

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     100,000       $ 29.07   

09/01/16 to 09/30/16

     50,000       $ 27.94   

ProShares Short Euro

     

07/01/16 to 07/31/16

     50,000       $ 43.21   

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

ProShares UltraShort Australian Dollar

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

 

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ProShares UltraShort Euro

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     500,000       $ 23.79   

09/01/16 to 09/30/16

     —         $ —     

ProShares UltraShort Yen

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

ProShares Ultra Bloomberg Crude Oil

     

07/01/16 to 07/31/16

     800,000       $ 11.11   

08/01/16 to 08/31/16

     7,550,000       $ 10.91   

09/01/16 to 09/30/16

     7,900,000       $ 10.22   

ProShares Ultra Bloomberg Natural Gas

     

07/01/16 to 07/31/16

     550,000       $ 15.99   

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     400,000       $ 15.52   

ProShares Ultra Gold

     

07/01/16 to 07/31/16

     50,000       $ 44.33   

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

ProShares Ultra Silver

     

07/01/16 to 07/31/16

     300,000       $ 52.17   

08/01/16 to 08/31/16

     550,000       $ 50.32   

09/01/16 to 09/30/16

     200,000       $ 47.91   

ProShares Ultra Euro

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

ProShares Ultra Yen

     

07/01/16 to 07/31/16

     —         $ —     

08/01/16 to 08/31/16

     —         $ —     

09/01/16 to 09/30/16

     —         $ —     

 

Item 3. Defaults Upon Senior Securities.

None.

 

Item 4. Mine Safety Disclosures.

Not applicable.

 

Item 5. Other Information.

None.

 

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Item 6. Exhibits.

 

Exhibit

No.

  

Description of Document

  31.1    Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  31.2    Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
  32.1    Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
  32.2    Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
101.INS    XBRL Instance Document(1)
101.SCH    XBRL Taxonomy Extension Schema(1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase(1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase(1)
101.LAB    XBRL Taxonomy Extension Label Linkbase(1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase(1)

 

(1) Filed herewith.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 9, 2016
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial Officer
Date: November 9, 2016

 

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