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

10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended March 31, 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   (I.R.S. Employer
incorporation or organization)   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  x    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  x    No  ¨

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

 

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

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

 

 

 


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

     139   

Item 3. Quantitative and Qualitative Disclosures About Market Risk

     167   

Item 4. Controls and Procedures

     185   

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings

     186   

Item 1A. Risk Factors

     186   

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

     186   

Item 3. Defaults Upon Senior Securities

     190   

Item 4. Mine Safety Disclosures

     190   

Item 5. Other Information

     190   

Item 6. Exhibits

     191   


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 Commodity

     22   

ProShares UltraShort Bloomberg Crude Oil

     27   

ProShares UltraShort Bloomberg Natural Gas

     32   

ProShares UltraShort Gold

     37   

ProShares UltraShort Silver

     42   

ProShares Short Euro

     47   

ProShares UltraShort Australian Dollar

     52   

ProShares UltraShort Euro

     57   

ProShares UltraShort Yen

     62   

ProShares Ultra Bloomberg Commodity

     67   

ProShares Ultra Bloomberg Crude Oil

     72   

ProShares Ultra Bloomberg Natural Gas

     77   

ProShares Ultra Gold

     82   

ProShares Ultra Silver

     87   

ProShares Ultra Euro

     92   

ProShares Ultra Yen

     97   

ProShares Trust II

     102   

Notes to Financial Statements

     106   

 

1


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,818,492       $ 2,124,103   

Segregated cash balances with brokers for futures contracts

     11,936,145         5,888,545   

Short-term U.S. government and agency obligations (Note 3) (cost $122,310,913 and $96,075,481, respectively)

     122,329,689         96,073,659   

Receivable from capital shares sold

     21,446,247         —     

Receivable on open futures contracts

     1,622,381         1,263,933   
  

 

 

    

 

 

 

Total assets

     159,152,954         105,350,240   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     75,960         77,417   
  

 

 

    

 

 

 

Total liabilities

     75,960         77,417   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     159,076,994         105,272,823   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 159,152,954       $ 105,350,240   
  

 

 

    

 

 

 

Shares outstanding

     13,674,811         7,949,812   
  

 

 

    

 

 

 

Net asset value per share

   $ 11.63       $ 13.24   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 11.68       $ 13.33   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

2


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(77% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.236% due 04/14/16

   $ 7,314,000       $ 7,313,736   

0.175% due 04/21/16

     5,487,000         5,486,680   

0.252% due 04/28/16

     2,000,000         1,999,745   

0.251% due 05/05/16

     3,511,000         3,510,702   

0.290% due 05/12/16†

     27,320,000         27,317,044   

0.253% due 05/19/16

     6,460,000         6,458,880   

0.366% due 05/26/16†

     10,459,000         10,457,002   

0.271% due 06/02/16†

     18,025,000         18,020,189   

0.171% due 06/09/16

     3,621,000         3,619,786   

0.231% due 06/16/16†

     14,198,000         14,192,454   

0.250% due 07/07/16†

     23,968,000         23,953,471   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $122,310,913)

      $ 122,329,689   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires April 2016

     5,157       $ 82,125,225       $ (14,521,731

VIX Futures - CBOE, expires May 2016

     4,373         77,074,125         (2,867,269
        

 

 

 
         $ (17,389,000
        

 

 

 

 

^^ 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 $11,936,145 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

3


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 46,149      $ 9,907   
  

 

 

   

 

 

 

Expenses

    

Management fee

     215,103        243,400   

Brokerage commissions and fees

     52,335        40,979   
  

 

 

   

 

 

 

Total expenses

     267,438        284,379   
  

 

 

   

 

 

 

Net investment income (loss)

     (221,289     (274,472
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     7,706,149        (8,978,330

Short-term U.S. government and agency obligations

     (2,542     2,154   
  

 

 

   

 

 

 

Net realized gain (loss)

     7,703,607        (8,976,176
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (16,310,375     (11,370,731

Short-term U.S. government and agency obligations

     20,598        (1,144
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (16,289,777     (11,371,875
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (8,586,170     (20,348,051
  

 

 

   

 

 

 

Net income (loss)

   $ (8,807,459   $ (20,622,523
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 105,272,823   

Addition of 8,575,000 shares

     109,580,353   

Redemption of 2,850,001 shares

     (46,968,723
  

 

 

 

Net addition (redemption) of 5,724,999 shares

     62,611,630   
  

 

 

 

Net investment income (loss)

     (221,289

Net realized gain (loss)

     7,703,607   

Change in net unrealized appreciation/depreciation

     (16,289,777
  

 

 

 

Net income (loss)

     (8,807,459
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 159,076,994   
  

 

 

 

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (8,807,459   $ (20,622,523

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

    

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

     (6,047,600     7,419,585   

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

     (125,016,889     (192,103,431

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

     98,825,064        143,018,030   

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

     (46,149     (9,310

Net realized gain (loss) on investments

     2,542        (2,154

Change in unrealized appreciation/depreciation on investments

     (20,598     1,144   

Decrease (Increase) in receivable on futures contracts

     (358,448     4,098,028   

Increase (Decrease) in management fee payable

     (1,457     20,605   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (41,470,994     (58,180,026
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     88,134,106        84,542,261   

Payment on shares redeemed

     (46,968,723     (25,891,554
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     41,165,383        58,650,707   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (305,611     470,681   

Cash, beginning of period

     2,124,103        1,694,791   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,818,492      $ 2,165,472   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,011,587       $ 671,791   

Segregated cash balances with brokers for futures contracts

     510,460         980,750   

Short-term U.S. government and agency obligations (Note 3)
(cost $28,109,481 and $25,975,462, respectively)

     28,114,658         25,976,287   

Receivable on open futures contracts

     32,366         42,188   
  

 

 

    

 

 

 

Total assets

     29,669,071         27,671,016   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     18,104         20,378   
  

 

 

    

 

 

 

Total liabilities

     18,104         20,378   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     29,650,967         27,650,638   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 29,669,071       $ 27,671,016   
  

 

 

    

 

 

 

Shares outstanding

     562,403         512,404   
  

 

 

    

 

 

 

Net asset value per share

   $ 52.72       $ 53.96   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 52.87       $ 53.99   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(95% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.292% due 05/12/16†

   $ 12,177,000       $ 12,175,683   

0.210% due 05/19/16

     8,159,000         8,157,586   

0.281% due 06/09/16†

     7,784,000         7,781,389   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $28,109,481)

      $ 28,114,658   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires July 2016

     274       $ 5,226,550       $ (662,200

VIX Futures - CBOE, expires August 2016

     506         9,753,150         (1,380,760

VIX Futures - CBOE, expires September 2016

     506         10,031,450         (978,740

VIX Futures - CBOE, expires October 2016

     231         4,637,325         (138,360
        

 

 

 
         $ (3,160,060
        

 

 

 

 

^^ 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 $510,460 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 12,259      $ 2,714   
  

 

 

   

 

 

 

Expenses

    

Management fee

     57,998        58,236   

Brokerage commissions and fees

     5,756        8,037   
  

 

 

   

 

 

 

Total expenses

     63,754        66,273   
  

 

 

   

 

 

 

Net investment income (loss)

     (51,495     (63,559
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     2,594,460        126,671   

Short-term U.S. government and agency obligations

     49        1,238   
  

 

 

   

 

 

 

Net realized gain (loss)

     2,594,509        127,909   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (2,815,700     (761,055

Short-term U.S. government and agency obligations

     4,352        (567
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,811,348     (761,622
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (216,839     (633,713
  

 

 

   

 

 

 

Net income (loss)

   $ (268,334   $ (697,272
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 27,650,638   

Addition of 150,000 shares

     8,345,497   

Redemption of 100,001 shares

     (6,076,834
  

 

 

 

Net addition (redemption) of 49,999 shares

     2,268,663   
  

 

 

 

Net investment income (loss)

     (51,495

Net realized gain (loss)

     2,594,509   

Change in net unrealized appreciation/depreciation

     (2,811,348
  

 

 

 

Net income (loss)

     (268,334
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 29,650,967   
  

 

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (268,334   $ (697,272

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

     470,290        (227,100

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

     (33,074,275     (25,898,531

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

     30,952,564        22,332,410   

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

     (12,259     (2,714

Net realized gain (loss) on investments

     (49     (1,238

Change in unrealized appreciation/depreciation on investments

     (4,352     567   

Decrease (Increase) in receivable on futures contracts

     9,822        1,462,009   

Increase (Decrease) in management fee payable

     (2,274     (1,158
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (1,928,867     (3,033,027
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     8,345,497        12,344,563   

Payment on shares redeemed

     (6,076,834     (9,641,724
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     2,268,663        2,702,839   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     339,796        (330,188

Cash, beginning of period

     671,791        1,634,082   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,011,587      $ 1,303,894   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 8,209,952       $ 5,150,976   

Segregated cash balances with brokers for futures contracts

     131,498,670         123,528,405   

Short-term U.S. government and agency obligations (Note 3)
(cost $414,334,305 and $535,381,199, respectively)

     414,415,794         535,392,718   

Receivable from capital shares sold

     7,594,775         10,164,157   
  

 

 

    

 

 

 

Total assets

     561,719,191         674,236,256   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     50,548,181         29,497,107   

Payable on open futures contracts

     1,897,819         1,420,271   

Management fee payable

     410,825         507,517   
  

 

 

    

 

 

 

Total liabilities

     52,856,825         31,424,895   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     508,862,366         642,811,361   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 561,719,191       $ 674,236,256   
  

 

 

    

 

 

 

Shares outstanding

     10,050,000         12,650,040   
  

 

 

    

 

 

 

Net asset value per share

   $ 50.63       $ 50.81   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 50.53       $ 50.45   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(81% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.175% due 04/21/16

   $ 41,141,000       $ 41,138,601   

0.225% due 04/28/16

     40,117,000         40,111,885   

0.278% due 05/19/16

     55,105,000         55,095,450   

0.364% due 05/26/16†

     137,956,000         137,929,650   

0.275% due 06/02/16†

     20,893,000         20,887,424   

0.196% due 06/09/16

     28,664,000         28,654,386   

0.288% due 06/16/16†

     45,024,000         45,006,414   

0.171% due 07/07/16

     15,479,000         15,469,617   

0.310% due 07/21/16

     30,147,000         30,122,367   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $414,334,305)

      $ 414,415,794   
     

 

 

 

Futures Contracts Sold††

 

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

VIX Futures - CBOE, expires April 2016

     16,500       $ 262,762,500       $ 52,769,004   

VIX Futures - CBOE, expires May 2016

     13,930         245,516,250         11,954,890   
        

 

 

 
         $ 64,723,894   
        

 

 

 

 

^^ 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 $131,498,670 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 317,712      $ 29,929   
  

 

 

   

 

 

 

Expenses

    

Management fee

     1,391,819        1,039,580   

Brokerage commissions and fees

     480,747        482,841   
  

 

 

   

 

 

 

Total expenses

     1,872,566        1,522,421   
  

 

 

   

 

 

 

Net investment income (loss)

     (1,554,854     (1,492,492
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (92,182,809     23,811,285   

Short-term U.S. government and agency obligations

     (27,578     23,269   
  

 

 

   

 

 

 

Net realized gain (loss)

     (92,210,387     23,834,554   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     53,977,479        23,344,133   

Short-term U.S. government and agency obligations

     69,970        518   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     54,047,449        23,344,651   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (38,162,938     47,179,205   
  

 

 

   

 

 

 

Net income (loss)

   $ (39,717,792   $ 45,686,713   
  

 

 

   

 

 

 

 

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 THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 642,811,361   

Addition of 14,900,000 shares

     601,501,561   

Redemption of 17,500,040 shares

     (695,732,764
  

 

 

 

Net addition (redemption) of (2,600,040) shares

     (94,231,203
  

 

 

 

Net investment income (loss)

     (1,554,854

Net realized gain (loss)

     (92,210,387

Change in net unrealized appreciation/depreciation

     54,047,449   
  

 

 

 

Net income (loss)

     (39,717,792
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 508,862,366   
  

 

 

 

 

See accompanying notes to financial statements.

 

15


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (39,717,792   $ 45,686,713   

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

    

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

     (7,970,265     29,744,690   

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

     (603,823,043     (489,373,955

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

     725,160,071        713,482,948   

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

     (317,712     (29,929

Net realized gain (loss) on investments

     27,578        (23,269

Change in unrealized appreciation/depreciation on investments

     (69,970     (518

Increase (Decrease) in management fee payable

     (96,692     (120,822

Increase (Decrease) in payable on futures contracts

     477,548        (29,594,238
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     73,669,723        269,771,620   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     604,070,943        118,885,967   

Payment on shares redeemed

     (674,681,690     (393,636,613
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (70,610,747     (274,750,646
  

 

 

   

 

 

 

Net increase (decrease) in cash

     3,058,976        (4,979,026

Cash, beginning of period

     5,150,976        9,122,219   
  

 

 

   

 

 

 

Cash, end of period

   $ 8,209,952      $ 4,143,193   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,025,535       $ 9,081,964   

Segregated cash balances with brokers for futures contracts

     67,425,795         62,348,600   

Short-term U.S. government and agency obligations (Note 3)
(cost $740,607,723 and $438,333,277, respectively)

     740,769,431         438,357,849   

Receivable from capital shares sold

     85,295,450         32,987,472   

Receivable on open futures contracts

     —           17,995,478   
  

 

 

    

 

 

 

Total assets

     894,516,211         560,771,363   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           12,635,235   

Payable on open futures contracts

     1,498,969         —     

Management fee payable

     585,487         427,388   
  

 

 

    

 

 

 

Total liabilities

     2,084,456         13,062,623   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     892,431,755         547,708,740   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 894,516,211       $ 560,771,363   
  

 

 

    

 

 

 

Shares outstanding

     46,352,448         19,502,448   
  

 

 

    

 

 

 

Net asset value per share

   $ 19.25       $ 28.08   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 19.33       $ 28.35   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(83% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.253% due 04/14/16†

   $ 84,197,000       $ 84,193,961   

0.256% due 05/05/16†

     15,984,000         15,982,641   

0.261% due 05/12/16†

     162,728,000         162,710,393   

0.284% due 05/19/16†

     14,201,000         14,198,539   

0.342% due 05/26/16†

     156,704,000         156,674,070   

0.275% due 06/02/16†

     39,005,000         38,994,590   

0.275% due 06/16/16†

     64,707,000         64,681,725   

0.313% due 06/30/16†

     173,744,000         173,652,784   

0.310% due 07/21/16†

     29,705,000         29,680,728   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $740,607,723)

      $ 740,769,431   
     

 

 

 

Futures Contracts Purchased††

 

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

VIX Futures - CBOE, expires April 2016

     57,867       $ 921,531,975       $ (171,773,795

VIX Futures - CBOE, expires May 2016

     49,020         863,977,500         (39,673,977
        

 

 

 
         $ (211,447,772
        

 

 

 

 

^^ 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 $67,425,795 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 298,805      $ 32,459   
  

 

 

   

 

 

 

Expenses

    

Management fee

     1,211,901        1,178,762   

Brokerage commissions and fees

     735,911        903,310   
  

 

 

   

 

 

 

Total expenses

     1,947,812        2,082,072   
  

 

 

   

 

 

 

Net investment income (loss)

     (1,649,007     (2,049,613
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     11,205,618        (135,093,226

Short-term U.S. government and agency obligations

     (26,968     4,072   
  

 

 

   

 

 

 

Net realized gain (loss)

     11,178,650        (135,089,154
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (223,342,238     (88,510,946

Short-term U.S. government and agency obligations

     137,136        12   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (223,205,102     (88,510,934
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (212,026,452     (223,600,088
  

 

 

   

 

 

 

Net income (loss)

   $ (213,675,459   $ (225,649,701
  

 

 

   

 

 

 

 

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 THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 547,708,740   

Addition of 47,700,000 shares

     1,394,232,078   

Redemption of 20,850,000 shares

     (835,833,604
  

 

 

 

Net addition (redemption) of 26,850,000 shares

     558,398,474   
  

 

 

 

Net investment income (loss)

     (1,649,007

Net realized gain (loss)

     11,178,650   

Change in net unrealized appreciation/depreciation

     (223,205,102
  

 

 

 

Net income (loss)

     (213,675,459
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 892,431,755   
  

 

 

 

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (213,675,459   $ (225,649,701

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

     (5,077,195     43,254,330   

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

     (1,184,631,327     (1,312,064,328

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

     882,626,631        924,839,995   

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

     (296,718     (32,459

Net realized gain (loss) on investments

     26,968        (4,072

Change in unrealized appreciation/depreciation on investments

     (137,136     (12

Decrease (Increase) in receivable on futures contracts

     17,995,478        5,180,769   

Increase (Decrease) in management fee payable

     158,099        260,562   

Increase (Decrease) in payable on futures contracts

     1,498,969        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (501,511,690     (564,214,916
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,341,924,100        970,798,327   

Payment on shares redeemed

     (848,468,839     (404,841,950
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     493,455,261        565,956,377   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (8,056,429     1,741,461   

Cash, beginning of period

     9,081,964        3,737,292   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,025,535      $ 5,478,753   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 1,348,960       $ 831,440   

Segregated cash balances with brokers for swap agreements

     236,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $6,618,738 and $7,517,328, respectively)

     6,619,348         7,518,119   

Unrealized appreciation on swap agreements

     58,775         224,491   
  

 

 

    

 

 

 

Total assets

     8,263,083         8,574,050   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     6,611         6,844   

Unrealized depreciation on swap agreements

     994         53,167   
  

 

 

    

 

 

 

Total liabilities

     7,605         60,011   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     8,255,478         8,514,039   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 8,263,083       $ 8,574,050   
  

 

 

    

 

 

 

Shares outstanding

     59,995         59,997   
  

 

 

    

 

 

 

Net asset value per share

   $ 137.60       $ 141.91   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 134.26       $ 140.41   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(80% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.252% due 04/28/16†

   $ 4,000,000       $ 3,999,490   

0.310% due 07/21/16†

     2,622,000         2,619,858   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $6,618,738)

      $ 6,619,348   
     

 

 

 

Swap Agreements^

 

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

Swap agreement with Citibank N.A. based on Bloomberg Commodity Index

     0.18     04/06/16       $ (4,811,471   $ (994

Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index

     0.25        04/06/16         (4,180,637     24,172   

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index

     0.25        04/06/16         (5,228,697     30,339   

Swap agreement with UBS AG based on Bloomberg Commodity Index

     0.60        04/06/16         (2,282,668     4,264   
         

 

 

 
          $ 57,781   
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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 COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 3,900      $ 528   
  

 

 

   

 

 

 

Expenses

    

Management fee

     20,825        12,846   
  

 

 

   

 

 

 

Total expenses

     20,825        12,846   
  

 

 

   

 

 

 

Net investment income (loss)

     (16,925     (12,318
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Swap agreements

     (127,591     856,549   
  

 

 

   

 

 

 

Net realized gain (loss)

     (127,591     856,549   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Swap agreements

     (113,543     (290,634

Short-term U.S. government and agency obligations

     (181     60   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (113,724     (290,574
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (241,315     565,975   
  

 

 

   

 

 

 

Net income (loss)

   $ (258,240   $ 553,657   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 8,514,039   

Redemption of 2 shares

     (321
  

 

 

 

Net addition (redemption) of (2) shares

     (321
  

 

 

 

Net investment income (loss)

     (16,925

Net realized gain (loss)

     (127,591

Change in net unrealized appreciation/depreciation

     (113,724
  

 

 

 

Net income (loss)

     (258,240
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 8,255,478   
  

 

 

 

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (258,240   $ 553,657   

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

    

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

     (236,000     —     

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

     (8,744,526     (1,982,691

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

     9,647,000        1,226,000   

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

     (3,884     (528

Change in unrealized appreciation/depreciation on investments

     113,724        290,574   

Increase (Decrease) in management fee payable

     (233     685   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     517,841        87,697   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (321     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (321     —     
  

 

 

   

 

 

 

Net increase (decrease) in cash

     517,520        87,697   

Cash, beginning of period

     831,440        467,766   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,348,960      $ 555,463   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 1,962,205       $ 598,645   

Segregated cash balances with brokers for futures contracts

     13,621,300         10,154,430   

Short-term U.S. government and agency obligations (Note 3) (cost $187,746,838 and $79,694,797, respectively)

     187,777,500         79,692,642   

Unrealized appreciation on swap agreements

     7,104,834         6,412,656   

Receivable from capital shares sold

     12,979,719         —     
  

 

 

    

 

 

 

Total assets

     223,445,558         96,858,373   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     70,760         850,883   

Brokerage commissions and fees payable

     8,521         8,453   

Management fee payable

     138,273         101,143   
  

 

 

    

 

 

 

Total liabilities

     217,554         960,479   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     223,228,004         95,897,894   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 223,445,558       $ 96,858,373   
  

 

 

    

 

 

 

Shares outstanding

     1,719,942         719,944   
  

 

 

    

 

 

 

Net asset value per share

   $ 129.79       $ 133.20   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 130.94       $ 133.64   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(84% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.245% due 04/07/16

   $ 12,840,000       $ 12,839,775   

0.226% due 04/14/16†

     18,318,000         18,317,339   

0.245% due 04/21/16†

     19,223,000         19,221,879   

0.225% due 04/28/16†

     3,814,000         3,813,514   

0.259% due 05/05/16

     17,807,000         17,805,487   

0.292% due 05/12/16†

     10,786,000         10,784,833   

0.282% due 05/19/16†

     30,127,000         30,121,779   

0.353% due 05/26/16†

     8,591,000         8,589,359   

0.276% due 06/02/16†

     4,371,000         4,369,833   

0.171% due 06/09/16†

     4,099,000         4,097,625   

0.299% due 06/16/16†

     24,224,000         24,214,538   

0.290% due 06/30/16†

     12,446,000         12,439,466   

0.266% due 07/14/16†

     21,174,000         21,162,073   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $187,746,838)

      $ 187,777,500   
     

 

 

 

Futures Contracts Sold††

 

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

WTI Crude Oil - NYMEX, expires May 2016

     3,538       $ 135,646,920       $ (14,997,628

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     04/06/16       $ (98,080,126   $ 2,056,877   

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

     0.25        04/06/16         (17,672,671     679,190   

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

     0.25        04/06/16         (94,336,118     2,394,738   

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

     0.25        04/06/16         (7,342,178     282,172   

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

     0.25        04/06/16         (93,281,947     1,691,857   
         

 

 

 
          $ 7,104,834   
         

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
†† Cash collateral in the amount of $13,621,300 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.

 

28


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 89,112      $ 20,512   
  

 

 

   

 

 

 

Expenses

    

Management fee

     368,250        603,835   

Brokerage commissions and fees

     57,864        44,285   
  

 

 

   

 

 

 

Total expenses

     426,114        648,120   
  

 

 

   

 

 

 

Net investment income (loss)

     (337,002     (627,608
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     23,757,635        18,106,720   

Swap agreements

     (1,436,037     26,543,152   

Short-term U.S. government and agency obligations

     (14,646     7,884   
  

 

 

   

 

 

 

Net realized gain (loss)

     22,306,952        44,657,756   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (17,462,141     1,599,658   

Swap agreements

     692,178        (160,604

Short-term U.S. government and agency obligations

     32,817        (6,267
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (16,737,146     1,432,787   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     5,569,806        46,090,543   
  

 

 

   

 

 

 

Net income (loss)

   $ 5,232,804      $ 45,462,935   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 95,897,894   

Addition of 2,700,000 shares

     462,946,925   

Redemption of 1,700,002 shares

     (340,849,619
  

 

 

 

Net addition (redemption) of 999,998 shares

     122,097,306   
  

 

 

 

Net investment income (loss)

     (337,002

Net realized gain (loss)

     22,306,952   

Change in net unrealized appreciation/depreciation

     (16,737,146
  

 

 

 

Net income (loss)

     5,232,804   
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 223,228,004   
  

 

 

 

 

See accompanying notes to financial statements.

 

30


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ 5,232,804      $ 45,462,935   

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

     (3,466,870     (8,301,630

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

     (407,223,784     (469,603,643

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

     299,246,209        281,486,383   

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

     (89,112     (20,512

Net realized gain (loss) on investments

     14,646        (7,884

Change in unrealized appreciation/depreciation on investments

     (724,995     166,871   

Decrease (Increase) in receivable on futures contracts

     —          (3,528,588

Increase (Decrease) in management fee payable

     37,130        109,424   

Increase (Decrease) in brokerage commissions and fees payable

     68        —     

Increase (Decrease) in payable on futures contracts

     (780,123     —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (107,754,027     (154,236,644
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     449,967,206        372,664,934   

Payment on shares redeemed

     (340,849,619     (212,552,651
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     109,117,587        160,112,283   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,363,560        5,875,639   

Cash, beginning of period

     598,645        994,268   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,962,205      $ 6,869,907   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 117,237       $ 1,099,140   

Segregated cash balances with brokers for futures contracts

     1,009,800         2,046,660   

Short-term U.S. government and agency obligations (Note 3) (cost $3,809,251 and $8,114,653, respectively)

     3,810,409         8,115,004   

Receivable on open futures contracts

     70,660         —     
  

 

 

    

 

 

 

Total assets

     5,008,106         11,260,804   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —           785,170   

Brokerage commissions and fees payable

     2,084         1,908   

Management fee payable

     12,491         10,870   
  

 

 

    

 

 

 

Total liabilities

     14,575         797,948   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     4,993,531         10,462,856   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 5,008,106       $ 11,260,804   
  

 

 

    

 

 

 

Shares outstanding

     24,944         74,952   
  

 

 

    

 

 

 

Net asset value per share

   $ 200.19       $ 139.59   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 197.78       $ 139.66   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(76% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.386% due 05/26/16

   $ 2,433,000       $ 2,432,536   

0.310% due 07/21/16

     1,379,000         1,377,873   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,809,251)

      $ 3,810,409   
     

 

 

 

Futures Contracts Sold††

 

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

Natural Gas - NYMEX, May 2016

     510       $ 9,990,900       $ (367,096

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $1,009,800 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 9,568      $ 985   
  

 

 

   

 

 

 

Expenses

    

Management fee

     36,919        28,373   

Brokerage commissions and fees

     28,947        14,199   
  

 

 

   

 

 

 

Total expenses

     65,866        42,572   
  

 

 

   

 

 

 

Net investment income (loss)

     (56,298     (41,587
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     4,114,349        5,179,268   

Short-term U.S. government and agency obligations

     1,110        448   
  

 

 

   

 

 

 

Net realized gain (loss)

     4,115,459        5,179,716   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     2,104,068        (3,081,725

Short-term U.S. government and agency obligations

     807        (175
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,104,875        (3,081,900
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     6,220,334        2,097,816   
  

 

 

   

 

 

 

Net income (loss)

   $ 6,164,036      $ 2,056,229   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 10,462,856   

Addition of 50,000 shares

     7,446,378   

Redemption of 100,008 shares

     (19,079,739
  

 

 

 

Net addition (redemption) of (50,008) shares

     (11,633,361
  

 

 

 

Net investment income (loss)

     (56,298

Net realized gain (loss)

     4,115,459   

Change in net unrealized appreciation/depreciation

     2,104,875   
  

 

 

 

Net income (loss)

     6,164,036   
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 4,993,531   
  

 

 

 

 

See accompanying notes to financial statements.

 

35


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ 6,164,036      $ 2,056,229   

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

     1,036,860        2,697,794   

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

     (18,575,327     (15,361,445

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

     22,891,407        15,055,915   

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

     (9,568     (985

Net realized gain (loss) on investments

     (1,110     (448

Change in unrealized appreciation/depreciation on investments

     (807     175   

Decrease (Increase) in receivable on futures contracts

     (70,660     923,531   

Increase (Decrease) in management fee payable

     1,621        (1,889

Increase (Decrease) in brokerage commissions and fees payable

     176        —     

Increase (Decrease) in payable on futures contracts

     (785,170     5,985   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     10,651,458        5,374,862   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     7,446,378        10,858,377   

Payment on shares redeemed

     (19,079,739     (16,671,600
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (11,633,361     (5,813,223
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (981,903     (438,361

Cash, beginning of period

     1,099,140        696,743   
  

 

 

   

 

 

 

Cash, end of period

   $ 117,237      $ 258,382   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 136,290       $ 151,638   

Segregated cash balances with brokers for futures contracts

     9,900         91,250   

Segregated cash balances with brokers for swap agreements

     309,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $67,371,507 and $72,981,653, respectively)

     67,384,423         72,979,905   

Unrealized appreciation on forward agreements

     1,724,551         1,808,942   
  

 

 

    

 

 

 

Total assets

     69,564,164         75,031,735   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,400         80   

Management fee payable

     46,957         59,891   
  

 

 

    

 

 

 

Total liabilities

     48,357         59,971   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     69,515,807         74,971,764   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 69,564,164       $ 75,031,735   
  

 

 

    

 

 

 

Shares outstanding

     846,978         646,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 82.08       $ 115.88   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 83.03       $ 115.83   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(97% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.252% due 04/28/16

   $ 279,000       $ 278,964   

0.251% due 05/05/16

     2,754,000         2,753,766   

0.210% due 05/19/16

     7,435,000         7,433,711   

0.353% due 05/26/16†

     4,870,000         4,869,070   

0.289% due 06/09/16†

     15,325,000         15,319,859   

0.105% due 06/16/16

     3,437,000         3,435,658   

0.331% due 06/30/16†

     4,167,000         4,164,812   

0.266% due 07/14/16†

     29,145,000         29,128,583   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $67,371,507)

      $ 67,384,423   
     

 

 

 

Futures Contracts Sold††

 

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

Gold Futures - COMEX, expires June 2016

     2       $ 247,120       $ 6,880   

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

     (0.30 )%      04/06/16       $ (16,500   $ (20,412,315   $ 156,095   

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

     (0.55     04/06/16         (53,100     (65,694,258     838,378   

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

     (0.15     04/06/16         (22,298     (27,585,079     106,635   

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

     (0.08     04/06/16         (4,000     (4,948,480     122,750   

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

     (0.11     04/06/16         (16,250     (20,103,038     500,693   
           

 

 

 
            $ 1,724,551   
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $9,900 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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 GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 29,189      $ 8,196   
  

 

 

   

 

 

 

Expenses

    

Management fee

     146,112        193,876   

Brokerage commissions and fees

     17        16   
  

 

 

   

 

 

 

Total expenses

     146,129        193,892   
  

 

 

   

 

 

 

Net investment income (loss)

     (116,940     (185,696
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (36,440     2,000   

Forward agreements

     (19,375,567     1,916,530   

Short-term U.S. government and agency obligations

     (1,149     (600
  

 

 

   

 

 

 

Net realized gain (loss)

     (19,413,156     1,917,930   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     1,660        (1,520

Forward agreements

     (84,391     700,697   

Short-term U.S. government and agency obligations

     14,664        (1,236
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (68,067     697,941   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (19,481,223     2,615,871   
  

 

 

   

 

 

 

Net income (loss)

   $ (19,598,163   $ 2,430,175   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 74,971,764   

Addition of 600,000 shares

     49,855,817   

Redemption of 400,000 shares

     (35,713,611
  

 

 

 

Net addition (redemption) of 200,000 shares

     14,142,206   
  

 

 

 

Net investment income (loss)

     (116,940

Net realized gain (loss)

     (19,413,156

Change in net unrealized appreciation/depreciation

     (68,067
  

 

 

 

Net income (loss)

     (19,598,163
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 69,515,807   
  

 

 

 

 

See accompanying notes to financial statements.

 

40


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (19,598,163   $ 2,430,175   

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

     81,350        —     

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

     (309,000     —     

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

     (108,280,051     (61,429,003

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

     113,918,239        66,037,251   

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

     (29,191     (8,196

Net realized gain (loss) on investments

     1,149        600   

Change in unrealized appreciation/depreciation on investments

     69,727        (699,461

Decrease (Increase) in receivable on futures contracts

     —          2,868   

Increase (Decrease) in management fee payable

     (13,014     (1,228

Increase (Decrease) in payable on futures contracts

     1,400        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (14,157,554     6,333,006   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     49,855,817        8,523,330   

Payment on shares redeemed

     (35,713,611     (14,854,653
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     14,142,206        (6,331,323
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (15,348     1,683   

Cash, beginning of period

     151,638        162,434   
  

 

 

   

 

 

 

Cash, end of period

   $ 136,290      $ 164,117   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 1,218,993       $ 514,784   

Segregated cash balances with brokers for futures contracts

     11,440         11,440   

Short-term U.S. government and agency obligations (Note 3)
(cost $46,247,796 and $50,730,044, respectively)

     46,253,752         50,730,230   

Unrealized appreciation on forward agreements

     931,308         4,778,279   

Receivable from capital shares sold

     2,482,135         —     

Receivable on open futures contracts

     —           390   
  

 

 

    

 

 

 

Total assets

     50,897,628         56,035,123   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     2,740         —     

Management fee payable

     32,715         47,185   

Unrealized depreciation on forward agreements

     383,067         —     
  

 

 

    

 

 

 

Total liabilities

     418,522         47,185   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     50,479,106         55,987,938   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 50,897,628       $ 56,035,123   
  

 

 

    

 

 

 

Shares outstanding

     1,016,976         866,978   
  

 

 

    

 

 

 

Net asset value per share

   $ 49.64       $ 64.58   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 49.42       $ 64.55   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(92% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.175% due 04/21/16†

   $ 11,867,000       $ 11,866,308   

0.252% due 04/28/16

     7,000,000         6,999,108   

0.286% due 05/19/16†

     1,500,000         1,499,740   

0.386% due 05/26/16†

     2,281,000         2,280,564   

0.229% due 06/09/16†

     8,498,000         8,495,150   

0.305% due 06/16/16†

     7,592,000         7,589,035   

0.310% due 07/21/16†

     7,530,000         7,523,847   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $46,247,796)

      $ 46,253,752   
     

 

 

 

Futures Contracts Sold††

 

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

Silver Futures - COMEX, expires May 2016

     2       $ 154,640       $ 1,910   

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

     (0.55 )%      04/06/16       $ (1,775,000   $ (27,303,228   $ 147,959   

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

     (0.67     04/06/16         (3,050,000     (46,916,625     626,482   

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

     (0.30     04/06/16         (1,172,500     (18,035,161     (383,067

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

     (0.22     04/06/16         (156,000     (2,399,561     43,989   

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

     (0.28     04/06/16         (399,000     (6,137,378     112,878   
           

 

 

 
            $ 548,241   
           

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $11,440 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.
^ The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of March 31, 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.

 

43


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 19,684      $ 6,143   
  

 

 

   

 

 

 

Expenses

    

Management fee

     95,411        124,355   

Brokerage commissions and fees

     8        8   
  

 

 

   

 

 

 

Total expenses

     95,419        124,363   
  

 

 

   

 

 

 

Net investment income (loss)

     (75,735     (118,220
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (12,850     (11,200

Forward agreements

     (5,335,654     (1,350,505

Short-term U.S. government and agency obligations

     (2,961     (158
  

 

 

   

 

 

 

Net realized gain (loss)

     (5,351,465     (1,361,863
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (4,060     1,535   

Forward agreements

     (4,230,038     (4,331,136

Short-term U.S. government and agency obligations

     5,770        267   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (4,228,328     (4,329,334
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (9,579,793     (5,691,197
  

 

 

   

 

 

 

Net income (loss)

   $ (9,655,528   $ (5,809,417
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 55,987,938   

Addition of 750,000 shares

     39,832,736   

Redemption of 600,002 shares

     (35,686,040
  

 

 

 

Net addition (redemption) of 149,998 shares

     4,146,696   
  

 

 

 

Net investment income (loss)

     (75,735

Net realized gain (loss)

     (5,351,465

Change in net unrealized appreciation/depreciation

     (4,228,328
  

 

 

 

Net income (loss)

     (9,655,528
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 50,479,106   
  

 

 

 

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (9,655,528   $ (5,809,417

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

    

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

     —          (2,640

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

     (55,036,538     (39,859,194

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

     59,535,509        42,090,468   

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

     (19,684     (6,143

Net realized gain (loss) on investments

     2,961        158   

Change in unrealized appreciation/depreciation on investments

     4,224,268        4,330,869   

Decrease (Increase) in receivable on futures contracts

     390        6,010   

Increase (Decrease) in management fee payable

     (14,470     696   

Increase (Decrease) in payable on futures contracts

     2,740        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (960,352     750,807   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     37,350,601        14,996,733   

Payment on shares redeemed

     (35,686,040     (15,809,627
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,664,561        (812,894
  

 

 

   

 

 

 

Net increase (decrease) in cash

     704,209        (62,087

Cash, beginning of period

     514,784        207,506   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,218,993      $ 145,419   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 276,889       $ 1,783,802   

Segregated cash balances with brokers for futures contracts

     398,310         503,745   

Short-term U.S. government and agency obligations (Note 3)
(cost $13,990,976 and $15,153,202, respectively)

     13,992,459         15,153,211   

Receivable on open futures contracts

     —           84,235   
  

 

 

    

 

 

 

Total assets

     14,667,658         17,524,993   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     59,557         —     

Management fee payable

     13,573         14,095   
  

 

 

    

 

 

 

Total liabilities

     73,130         14,095   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     14,594,528         17,510,898   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 14,667,658       $ 17,524,993   
  

 

 

    

 

 

 

Shares outstanding

     350,000         400,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 41.70       $ 43.78   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 41.66       $ 43.74   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(96% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.175% due 04/21/16

   $ 4,999,000       $ 4,998,709   

0.252% due 04/28/16

     3,000,000         2,999,617   

0.310% due 05/19/16

     1,000,000         999,827   

0.275% due 06/02/16

     2,108,000         2,107,437   

0.275% due 06/16/16

     538,000         537,790   

0.310% due 07/21/16

     2,351,000         2,349,079   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $13,990,976)

      $ 13,992,459   
     

 

 

 

Futures Contracts Sold††

 

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

Euro Fx Currency Futures - CME, expires June 2016

     102       $ 14,550,300       $ (465,069

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $398,310 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 6,138      $ 1,380   
  

 

 

   

 

 

 

Expenses

    

Management fee

     40,533        38,859   

Brokerage commissions and fees

     750        868   
  

 

 

   

 

 

 

Total expenses

     41,283        39,727   
  

 

 

   

 

 

 

Net investment income (loss)

     (35,145     (38,347
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (54,194     2,057,094   

Short-term U.S. government and agency obligations

     33        —     
  

 

 

   

 

 

 

Net realized gain (loss)

     (54,161     2,057,094   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (708,507     (275,562

Short-term U.S. government and agency obligations

     1,474        183   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (707,033     (275,379
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (761,194     1,781,715   
  

 

 

   

 

 

 

Net income (loss)

   $ (796,339   $ 1,743,368   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 17,510,898   

Redemption of 50,005 shares

     (2,120,031
  

 

 

 

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

     (2,120,031
  

 

 

 

Net investment income (loss)

     (35,145

Net realized gain (loss)

     (54,161

Change in net unrealized appreciation/depreciation

     (707,033
  

 

 

 

Net income (loss)

     (796,339
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 14,594,528   
  

 

 

 

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (796,339   $ 1,743,368   

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

     105,435        (268,620

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

     (17,038,538     (11,217,039

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

     18,206,935        5,293,000   

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

     (6,138     (1,380

Net realized gain (loss) on investments

     (33     —     

Change in unrealized appreciation/depreciation on investments

     (1,474     (183

Decrease (Increase) in receivable on futures contracts

     84,235        (78,075

Increase (Decrease) in management fee payable

     (522     4,123   

Increase (Decrease) in payable on futures contracts

     59,557        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     613,118        (4,524,806
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          4,418,831   

Payment on shares redeemed

     (2,120,031     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,120,031     4,418,831   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (1,506,913     (105,975

Cash, beginning of period

     1,783,802        1,640,225   
  

 

 

   

 

 

 

Cash, end of period

   $ 276,889      $ 1,534,250   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 2,109,733       $ 1,958,996   

Segregated cash balances with brokers for futures contracts

     281,830         57,065   

Short-term U.S. government and agency obligations (Note 3)
(cost $15,668,552 and $18,409,449, respectively)

     15,670,829         18,408,894   

Receivable on open futures contracts

     —           52,491   
  

 

 

    

 

 

 

Total assets

     18,062,392         20,477,446   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     18,920         —     

Management fee payable

     15,273         16,767   
  

 

 

    

 

 

 

Total liabilities

     34,193         16,767   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     18,028,199         20,460,679   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 18,062,392       $ 20,477,446   
  

 

 

    

 

 

 

Shares outstanding

     350,000         350,005   
  

 

 

    

 

 

 

Net asset value per share

   $ 51.51       $ 58.46   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 51.65       $ 58.15   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(87% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.310% due 05/19/16†

   $ 1,000,000       $ 999,827   

0.310% due 07/21/16†

     14,683,000         14,671,002   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $15,668,552)

      $ 15,670,829   
     

 

 

 

Futures Contracts Sold††

 

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

Australian Dollar Fx Currency Futures - CME, expires June 2016

     473       $ 36,184,500       $ (1,121,800

 

^^ 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 $281,830 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 7,785      $ 1,107   
  

 

 

   

 

 

 

Expenses

    

Management fee

     48,844        52,824   

Brokerage commissions and fees

     3,970        3,997   
  

 

 

   

 

 

 

Total expenses

     52,814        56,821   
  

 

 

   

 

 

 

Net investment income (loss)

     (45,029     (55,714
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (1,688,439     2,979,670   

Short-term U.S. government and agency obligations

     —          219   
  

 

 

   

 

 

 

Net realized gain (loss)

     (1,688,439     2,979,889   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (701,530     (323,631

Short-term U.S. government and agency obligations

     2,832        109   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (698,698     (323,522
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (2,387,137     2,656,367   
  

 

 

   

 

 

 

Net income (loss)

   $ (2,432,166   $ 2,600,653   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 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)

     (45,029

Net realized gain (loss)

     (1,688,439

Change in net unrealized appreciation/depreciation

     (698,698
  

 

 

 

Net income (loss)

     (2,432,166
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 18,028,199   
  

 

 

 

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (2,432,166   $ 2,600,653   

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

    

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

     (224,765     638,092   

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

     (18,645,318     (19,509,823

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

     21,394,000        22,846,444   

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

     (7,785     (1,107

Net realized gain (loss) on investments

     —          (219

Change in unrealized appreciation/depreciation on investments

     (2,832     (109

Decrease (Increase) in receivable on futures contracts

     52,491        (119,754

Increase (Decrease) in management fee payable

     (1,494     (2,802

Increase (Decrease) in payable on futures contracts

     18,920        —     
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     151,051        6,451,375   
  

 

 

   

 

 

 

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

     150,737        834,867   

Cash, beginning of period

     1,958,996        1,788,757   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,109,733      $ 2,623,624   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 228,525       $ 10,372,583   

Short-term U.S. government and agency obligations (Note 3)
(cost $439,883,970 and $546,177,230, respectively)

     439,966,790         546,166,776   

Unrealized appreciation on foreign currency forward contracts

     3,357,544         —     
  

 

 

    

 

 

 

Total assets

     443,552,859         556,539,359   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           5,108,230   

Management fee payable

     334,062         414,275   

Unrealized depreciation on foreign currency forward contracts

     44,270,278         28,710,336   
  

 

 

    

 

 

 

Total liabilities

     44,604,340         34,232,841   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     398,948,519         522,306,518   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 443,552,859       $ 556,539,359   
  

 

 

    

 

 

 

Shares outstanding

     17,200,000         20,450,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 23.19       $ 25.54   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 23.19       $ 25.53   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(110% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.292% due 05/12/16

   $ 77,264,000       $ 77,255,640   

0.353% due 05/26/16†

     88,841,000         88,824,031   

0.275% due 06/02/16

     8,611,000         8,608,702   

0.281% due 06/09/16†

     68,769,000         68,745,935   

0.105% due 06/16/16

     34,300,000         34,286,602   

0.250% due 07/07/16

     62,340,000         62,302,210   

0.266% due 07/14/16†

     100,000,000         99,943,670   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $439,883,970)

      $ 439,966,790   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     04/08/16         89,144,000      $ 101,449,638      $ 2,006,374   

Euro with UBS AG

     04/08/16         77,106,900        87,750,910        1,351,170   
         

 

 

 
          $ 3,357,544   
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     04/08/16         (431,465,225   $ (491,025,655   $ (21,728,963

Euro with UBS AG

     04/08/16         (435,284,100     (495,371,696     (22,541,315
         

 

 

 
          $ (44,270,278
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 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 EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 261,439      $ 67,590   
  

 

 

   

 

 

 

Expenses

    

Management fee

     1,066,392        1,257,145   
  

 

 

   

 

 

 

Total expenses

     1,066,392        1,257,145   
  

 

 

   

 

 

 

Net investment income (loss)

     (804,953     (1,189,555
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (28,914,132     107,515,818   

Short-term U.S. government and agency obligations

     (7,912     12,521   
  

 

 

   

 

 

 

Net realized gain (loss)

     (28,922,044     107,528,339   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     (12,202,398     6,627,201   

Short-term U.S. government and agency obligations

     93,274        4,268   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (12,109,124     6,631,469   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (41,031,168     114,159,808   
  

 

 

   

 

 

 

Net income (loss)

   $ (41,836,121   $ 112,970,253   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 522,306,518   

Addition of 250,000 shares

     5,936,565   

Redemption of 3,500,014 shares

     (87,458,443
  

 

 

 

Net addition (redemption) of (3,250,014) shares

     (81,521,878
  

 

 

 

Net investment income (loss)

     (804,953

Net realized gain (loss)

     (28,922,044

Change in net unrealized appreciation/depreciation

     (12,109,124
  

 

 

 

Net income (loss)

     (41,836,121
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 398,948,519   
  

 

 

 

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (41,836,121   $ 112,970,253   

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

     (457,470,451     (350,542,565

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

     564,017,239        288,286,630   

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

     (261,440     (67,590

Net realized gain (loss) on investments

     7,912        (12,521

Change in unrealized appreciation/depreciation on investments

     12,109,124        (6,631,469

Increase (Decrease) in management fee payable

     (80,213     51,813   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     76,486,050        44,054,551   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     5,936,565        114,034,597   

Payment on shares redeemed

     (92,566,673     (158,560,439
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (86,630,108     (44,525,842
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (10,144,058     (471,291

Cash, beginning of period

     10,372,583        746,454   
  

 

 

   

 

 

 

Cash, end of period

   $ 228,525      $ 275,163   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 1,670,090       $ 276,968   

Short-term U.S. government and agency obligations (Note 3)
(cost $179,366,795 and $260,014,650, respectively)

     179,382,334         259,997,001   

Unrealized appreciation on foreign currency forward contracts

     50,445         933,727   
  

 

 

    

 

 

 

Total assets

     181,102,869         261,207,696   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           8,794,729   

Management fee payable

     141,485         210,888   

Unrealized depreciation on foreign currency forward contracts

     5,033,729         14,829,179   
  

 

 

    

 

 

 

Total liabilities

     5,175,214         23,834,796   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     175,927,655         237,372,900   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 181,102,869       $ 261,207,696   
  

 

 

    

 

 

 

Shares outstanding

     2,299,290         2,699,294   
  

 

 

    

 

 

 

Net asset value per share

   $ 76.51       $ 87.94   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 76.50       $ 87.89   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(102% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.235% due 04/07/16

   $ 92,592,000       $ 92,590,380   

0.207% due 04/21/16†

     14,814,000         14,813,136   

0.252% due 04/28/16

     1,003,000         1,002,872   

0.251% due 05/05/16†

     30,025,000         30,022,448   

0.292% due 05/12/16†

     5,133,000         5,132,444   

0.310% due 05/19/16†

     1,000,000         999,827   

0.366% due 05/26/16†

     10,194,000         10,192,053   

0.281% due 06/09/16†

     5,488,000         5,486,159   

0.305% due 06/16/16†

     2,903,000         2,901,866   

0.250% due 07/07/16†

     16,251,000         16,241,149   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $179,366,795)

      $ 179,382,334   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     04/08/16         2,385,377,000      $ 21,199,635      $ 50,445   

Yen with UBS AG

     04/08/16         3,131,185,600        27,827,883        (70,338
         

 

 

 
          $ (19,893
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     04/08/16         (21,973,527,200   $ (195,286,011   $ (2,472,115

Yen with UBS AG

     04/08/16         (23,150,283,500     (205,744,233     (2,491,276
         

 

 

 
          $ (4,963,391
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 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.

 

63


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 68,348      $ 45,048   
  

 

 

   

 

 

 

Expenses

    

Management fee

     469,145        1,161,592   
  

 

 

   

 

 

 

Total expenses

     469,145        1,161,592   
  

 

 

   

 

 

 

Net investment income (loss)

     (400,797     (1,116,544
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     (37,616,676     (5,107,734

Short-term U.S. government and agency obligations

     (6,135     2,443   
  

 

 

   

 

 

 

Net realized gain (loss)

     (37,622,811     (5,105,291
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     8,912,168        2,246,532   

Short-term U.S. government and agency obligations

     33,188        (8,606
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     8,945,356        2,237,926   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (28,677,455     (2,867,365
  

 

 

   

 

 

 

Net income (loss)

   $ (29,078,252   $ (3,983,909
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

64


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 237,372,900   

Addition of 50,000 shares

     3,910,497   

Redemption of 450,004 shares

     (36,277,490
  

 

 

 

Net addition (redemption) of (400,004) shares

     (32,366,993
  

 

 

 

Net investment income (loss)

     (400,797

Net realized gain (loss)

     (37,622,811

Change in net unrealized appreciation/depreciation

     8,945,356   
  

 

 

 

Net income (loss)

     (29,078,252
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 175,927,655   
  

 

 

 

 

See accompanying notes to financial statements.

 

65


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (29,078,252   $ (3,983,909

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

     (182,386,068     (418,583,374

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

     263,096,137        507,489,222   

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

     (68,349     (45,048

Net realized gain (loss) on investments

     6,135        (2,443

Change in unrealized appreciation/depreciation on investments

     (8,945,356     (2,237,926

Increase (Decrease) in management fee payable

     (69,403     (45,873
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     42,554,844        82,590,649   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,910,497        58,116,062   

Payment on shares redeemed

     (45,072,219     (140,793,326
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (41,161,722     (82,677,264
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,393,122        (86,615

Cash, beginning of period

     276,968        532,706   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,670,090      $ 446,091   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 1,047,660       $ 211,629   

Segregated cash balances with brokers for swap agreements

     117,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $4,582,632 and $7,084,754, respectively)

     4,583,420         7,084,065   

Unrealized appreciation on swap agreements

     —           32,372   
  

 

 

    

 

 

 

Total assets

     5,748,080         7,328,066   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     4,607         5,794   

Unrealized depreciation on swap agreements

     78,039         216,288   
  

 

 

    

 

 

 

Total liabilities

     82,646         222,082   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     5,665,434         7,105,984   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 5,748,080       $ 7,328,066   
  

 

 

    

 

 

 

Shares outstanding

     199,961         249,965   
  

 

 

    

 

 

 

Net asset value per share

   $ 28.33       $ 28.43   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 29.78       $ 28.07   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

(81% of shareholders’ equity)

     

U.S. Treasury Bills^^:

     

0.251% due 05/05/16†

   $ 2,559,000       $ 2,558,782   

0.270% due 05/12/16†

     1,517,000         1,516,836   

0.275% due 06/16/16†

     508,000         507,802   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $4,582,632)

      $ 4,583,420   
     

 

 

 

Swap Agreements^

 

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

Swap agreement with Citibank N.A. based on Bloomberg Commodity Index

     0.18     04/06/16       $ 2,970,943       $ (24,712

Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index

     0.25        04/06/16         3,186,346         (19,477

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index

     0.25        04/06/16         3,655,071         (22,064

Swap agreement with UBS AG based on Bloomberg Commodity Index

     0.60        04/06/16         1,528,768         (11,786
          

 

 

 
           $ (78,039
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.

 

68


Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 1,500      $ 254   
  

 

 

   

 

 

 

Expenses

    

Management fee

     13,438        5,773   
  

 

 

   

 

 

 

Total expenses

     13,438        5,773   
  

 

 

   

 

 

 

Net investment income (loss)

     (11,938     (5,519
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Swap agreements

     (290,068     (520,459

Short-term U.S. government and agency obligations

     (194     14   
  

 

 

   

 

 

 

Net realized gain (loss)

     (290,262     (520,445
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Swap agreements

     105,877        201,905   

Short-term U.S. government and agency obligations

     1,477        47   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     107,354        201,952   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (182,908     (318,493
  

 

 

   

 

 

 

Net income (loss)

   $ (194,846   $ (324,012
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 7,105,984   

Redemption of 50,004 shares

     (1,245,704
  

 

 

 

Net addition (redemption) of (50,004) shares

     (1,245,704
  

 

 

 

Net investment income (loss)

     (11,938

Net realized gain (loss)

     (290,262

Change in net unrealized appreciation/depreciation

     107,354   
  

 

 

 

Net income (loss)

     (194,846
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 5,665,434   
  

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ (194,846   $ (324,012

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

    

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

     (117,000     —     

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

     (4,581,378     (1,859,579

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

     7,084,806        2,371,985   

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

     (1,500     (254

Net realized gain (loss) on investments

     194        (14

Change in unrealized appreciation/depreciation on investments

     (107,354     (201,952

Increase (Decrease) in management fee payable

     (1,187     (415
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,081,735        (14,241
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     (1,245,704     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,245,704     —     
  

 

 

   

 

 

 

Net increase (decrease) in cash

     836,031        (14,241

Cash, beginning of period

     211,629        185,684   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,047,660      $ 171,443   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 4,046,533       $ 4,008,379   

Segregated cash balances with brokers for futures contracts

     41,202,700         47,571,810   

Segregated cash balances with brokers for swap agreements

     2,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $798,161,730 and $797,652,302, respectively)

     798,292,983         797,650,543   

Receivable from capital shares sold

     14,373,650         4,894,509   

Receivable on open futures contracts

     1,573,204         5,150,763   
  

 

 

    

 

 

 

Total assets

     859,491,070         859,276,004   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           2,514,956   

Brokerage commissions and fees payable

     27,818         25,000   

Management fee payable

     705,935         636,984   

Unrealized depreciation on swap agreements

     50,822,915         72,176,589   
  

 

 

    

 

 

 

Total liabilities

     51,556,668         75,353,529   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     807,934,402         783,922,475   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 859,491,070       $ 859,276,004   
  

 

 

    

 

 

 

Shares outstanding

     89,827,866         62,327,867   
  

 

 

    

 

 

 

Net asset value per share

   $ 8.99       $ 12.58   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 8.91       $ 12.54   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

72


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.236% due 04/07/16

   $ 32,418,000       $ 32,417,433   

0.251% due 04/14/16

     10,422,000         10,421,624   

0.250% due 04/21/16

     48,188,000         48,185,191   

0.252% due 04/28/16

     15,000,000         14,998,087   

0.270% due 05/05/16†

     180,571,000         180,555,651   

0.266% due 05/12/16

     113,406,000         113,393,729   

0.296% due 05/19/16†

     38,860,000         38,853,266   

0.353% due 05/26/16†

     142,209,000         142,181,838   

0.257% due 06/02/16†

     100,000,000         99,973,310   

0.281% due 06/09/16†

     3,232,000         3,230,916   

0.275% due 06/16/16†

     23,000,000         22,991,016   

0.171% due 07/07/16

     73,021,000         72,976,735   

0.310% due 07/21/16†

     18,129,000         18,114,187   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $798,161,730)

      $ 798,292,983   
     

 

 

 

Futures Contracts Purchased††

 

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

WTI Crude Oil - NYMEX, expires May 2016

     10,702       $ 410,314,680       $ 55,846,555   

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     04/06/16       $ 317,395,142       $ (16,292,669

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

     0.25        04/06/16         262,836,687         (10,190,997

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

     0.25        04/06/16         258,118,575         (10,332,313

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

     0.25        04/06/16         89,071,976         (3,453,598

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

     0.25        04/06/16         277,873,304         (10,553,338
          

 

 

 
           $ (50,822,915
          

 

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
†† Cash collateral in the amount of $41,202,700 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.
^ The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of March 31, 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.

 

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Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 451,064      $ 76,242   
  

 

 

   

 

 

 

Expenses

    

Management fee

     1,812,678        1,843,701   

Brokerage commissions and fees

     164,313        77,253   
  

 

 

   

 

 

 

Total expenses

     1,976,991        1,920,954   
  

 

 

   

 

 

 

Net investment income (loss)

     (1,525,927     (1,844,712
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (106,357,669     (60,398,614

Swap agreements

     (146,978,331     (113,284,505

Short-term U.S. government and agency obligations

     (28,659     44,196   
  

 

 

   

 

 

 

Net realized gain (loss)

     (253,364,659     (173,638,923
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     73,775,869        (17,388,654

Swap agreements

     21,353,674        (2,293,122

Short-term U.S. government and agency obligations

     133,012        1,128   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     95,262,555        (19,680,648
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (158,102,104     (193,319,571
  

 

 

   

 

 

 

Net income (loss)

   $ (159,628,031   $ (195,164,283
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

74


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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 783,922,475   

Addition of 53,400,000 shares

     422,801,911   

Redemption of 25,900,001 shares

     (239,161,953
  

 

 

 

Net addition (redemption) of 27,499,999 shares

     183,639,958   
  

 

 

 

Net investment income (loss)

     (1,525,927

Net realized gain (loss)

     (253,364,659

Change in net unrealized appreciation/depreciation

     95,262,555   
  

 

 

 

Net income (loss)

     (159,628,031
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 807,934,402   
  

 

 

 

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended
March 31, 2016
    Three months ended
March 31, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (159,628,031   $ (195,164,283

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

    

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

     6,369,110        21,184,809   

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

     (2,000     —     

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

     (1,045,075,237     (1,278,618,856

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

     1,044,988,214        679,826,989   

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

     (451,064     (76,242

Net realized gain (loss) on investments

     28,659        (44,196

Change in unrealized appreciation/depreciation on investments

     (21,486,686     2,291,994   

Decrease (Increase) in receivable on futures contracts

     3,577,559        —     

Increase (Decrease) in management fee payable

     68,951        469,641   

Increase (Decrease) in brokerage commissions and fees payable

     2,818        —     

Increase (Decrease) in payable on futures contracts

     —          8,223,488   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (171,607,707     (761,906,656
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     413,322,770        1,033,639,301   

Payment on shares redeemed

     (241,676,909     (269,057,623
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     171,645,861        764,581,678   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     38,154        2,675,022   

Cash, beginning of period

     4,008,379        2,349,384   
  

 

 

   

 

 

 

Cash, end of period

   $ 4,046,533      $ 5,024,406   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

76


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 1,300,783       $ 1,411,137   

Segregated cash balances with brokers for futures contracts

     5,783,580         7,595,280   

Short-term U.S. government and agency obligations (Note 3)
(cost $24,679,418 and $26,806,648, respectively)

     24,682,700         26,807,731   

Receivable from capital shares sold

     222         —     

Receivable on open futures contracts

     —           3,065,769   
  

 

 

    

 

 

 

Total assets

     31,767,285         38,879,917   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     2,228,193         —     

Payable on open futures contracts

     899,028         —     

Brokerage commissions and fees payable

     3,973         3,623   

Management fee payable

     23,575         25,110   
  

 

 

    

 

 

 

Total liabilities

     3,154,769         28,733   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     28,612,516         38,851,184   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 31,767,285       $ 38,879,917   
  

 

 

    

 

 

 

Shares outstanding

     2,642,169         2,092,170   
  

 

 

    

 

 

 

Net asset value per share

   $ 10.83       $ 18.57   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 10.88       $ 18.48   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

77


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.180% due 04/07/16

   $ 2,912,000       $ 2,911,949   

0.305% due 05/12/16

     4,529,000         4,528,510   

0.275% due 06/02/16

     5,216,000         5,214,608   

0.179% due 06/16/16

     7,069,000         7,066,239   

0.305% due 06/30/16

     4,964,000         4,961,394   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $24,679,418)

      $ 24,682,700   
     

 

 

 

Futures Contracts Purchased††

 

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

Natural Gas - NYMEX, May 2016

     2,921       $ 57,222,390       $ (884,266

 

^^ Rates shown represents discount rate at the time of purchase.
†† Cash collateral in the amount of $5,783,580 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

 

See accompanying notes to financial statements.

 

78


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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended
March 31, 2016
    Three months ended
March 31, 2015
 

Investment Income

    

Interest

   $ 11,732      $ 5,642   
  

 

 

   

 

 

 

Expenses

    

Management fee

     68,744        172,808   

Brokerage commissions and fees

     31,749        39,718   
  

 

 

   

 

 

 

Total expenses

     100,493        212,526   
  

 

 

   

 

 

 

Net investment income (loss)

     (88,761     (206,884
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (5,857,221     (45,836,964

Short-term U.S. government and agency obligations

     (1,498     4,455   
  

 

 

   

 

 

 

Net realized gain (loss)

     (5,858,719     (45,832,509
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (7,197,145     27,451,658   

Short-term U.S. government and agency obligations

     2,199        (689
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (7,194,946     27,450,969   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (13,053,665     (18,381,540
  

 

 

   

 

 

 

Net income (loss)

   $ (13,142,426   $ (18,588,424
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

79


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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 38,851,184   

Addition of 1,100,000 shares

     10,168,033   

Redemption of 550,001 shares

     (7,264,275
  

 

 

 

Net addition (redemption) of 549,999 shares

     2,903,758   
  

 

 

 

Net investment income (loss)

     (88,761

Net realized gain (loss)

     (5,858,719

Change in net unrealized appreciation/depreciation

     (7,194,946
  

 

 

 

Net income (loss)

     (13,142,426
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 28,612,516   
  

 

 

 

 

See accompanying notes to financial statements.

 

80


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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended
March 31, 2016
    Three months ended
March 31, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ (13,142,426   $ (18,588,424

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

     1,811,700        17,291,600   

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

     (29,493,479     (102,091,788

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

     31,630,943        98,341,582   

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

     (11,732     (5,642

Net realized gain (loss) on investments

     1,498        (4,455

Change in unrealized appreciation/depreciation on investments

     (2,199     689   

Decrease (Increase) in receivable on futures contracts

     3,065,769        —     

Increase (Decrease) in management fee payable

     (1,535     (10,942

Increase (Decrease) in brokerage commissions and fees payable

     350        —     

Increase (Decrease) in payable on futures contracts

     899,028        (9,388,126
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (5,242,083     (14,455,506
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     10,167,811        31,430,074   

Payment on shares redeemed

     (5,036,082     (18,115,142
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     5,131,729        13,314,932   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (110,354     (1,140,574

Cash, beginning of period

     1,411,137        1,653,582   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,300,783      $ 513,008   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

81


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PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 4,726,061       $ 251,524   

Segregated cash balances with brokers for futures contracts

     9,900         8,250   

Short-term U.S. government and agency obligations (Note 3)
(cost $92,214,957 and $71,908,280, respectively)

     92,230,590         71,912,587   

Receivable on open futures contracts

     1,400         80   
  

 

 

    

 

 

 

Total assets

     96,967,951         72,172,441   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     75,749         57,031   

Unrealized depreciation on forward agreements

     5,167,647         2,250,595   
  

 

 

    

 

 

 

Total liabilities

     5,243,396         2,307,626   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     91,724,555         69,864,815   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 96,967,951       $ 72,172,441   
  

 

 

    

 

 

 

Shares outstanding

     2,300,000         2,350,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 39.88       $ 29.73   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 39.69       $ 29.73   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

82


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.210% due 04/14/16

   $ 11,902,000       $ 11,901,570   

0.175% due 04/21/16†

     7,963,000         7,962,536   

0.251% due 05/05/16

     2,737,000         2,736,767   

0.270% due 05/12/16†

     1,915,000         1,914,793   

0.353% due 05/26/16†

     7,749,000         7,747,520   

0.276% due 06/02/16†

     35,006,000         34,996,657   

0.145% due 06/16/16

     4,278,000         4,276,329   

0.331% due 06/30/16

     2,142,000         2,140,875   

0.266% due 07/14/16

     18,564,000         18,553,543   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $92,214,957)

      $ 92,230,590   
     

 

 

 

Futures Contracts Purchased††

 

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

Gold Futures - COMEX, expires June 2016

     2       $ 247,120       $ (6,880

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

     0.80     04/06/16       $ 28,900       $ 35,752,479       $ (889,683

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

     1.15        04/06/16         48,700         60,250,666         (1,916,754

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

     1.00        04/06/16         29,820         36,890,620         (1,082,108

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

     1.08        04/06/16         15,400         19,051,648         (485,602

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

     0.91        04/06/16         25,200         31,175,172         (793,500
             

 

 

 
              $ (5,167,647
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $9,900 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.
^ The positions and counterparties herein are as of March 31, 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 March 31, 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.

 

83


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended
March 31, 2016
    Three months ended
March 31, 2015
 

Investment Income

    

Interest

   $ 46,386      $ 12,738   
  

 

 

   

 

 

 

Expenses

    

Management fee

     198,822        240,465   

Brokerage commissions and fees

     17        16   
  

 

 

   

 

 

 

Total expenses

     198,839        240,481   
  

 

 

   

 

 

 

Net investment income (loss)

     (152,453     (227,743
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     36,560        (2,040

Forward agreements

     25,947,056        (2,985,716

Short-term U.S. government and agency obligations

     (74     1,908   
  

 

 

   

 

 

 

Net realized gain (loss)

     25,983,542        (2,985,848
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (1,680     1,440   

Forward agreements

     (2,917,052     (390,186

Short-term U.S. government and agency obligations

     11,326        373   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,907,406     (388,373
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     23,076,136        (3,374,221
  

 

 

   

 

 

 

Net income (loss)

   $ 22,923,683      $ (3,601,964
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

84


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 69,864,815   

Addition of 100,000 shares

     4,103,970   

Redemption of 150,014 shares

     (5,167,913
  

 

 

 

Net addition (redemption) of (50,014) shares

     (1,063,943
  

 

 

 

Net investment income (loss)

     (152,453

Net realized gain (loss)

     25,983,542   

Change in net unrealized appreciation/depreciation

     (2,907,406
  

 

 

 

Net income (loss)

     22,923,683   
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 91,724,555   
  

 

 

 

 

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended
March 31, 2016
    Three months ended
March 31, 2015
 

Cash flow from operating activities

    

Net income (loss)

   $ 22,923,683      $ (3,601,964

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

    

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

     (1,650     —     

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

     (96,073,781     (43,016,834

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

     75,813,416        50,725,124   

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

     (46,386     (12,738

Net realized gain (loss) on investments

     74        (1,908

Change in unrealized appreciation/depreciation on investments

     2,905,726        389,813   

Decrease (Increase) in receivable on futures contracts

     (1,400     —     

Increase (Decrease) in management fee payable

     18,718        (8,971

Increase (Decrease) in payable on futures contracts

     80        (2,840
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     5,538,480        4,469,682   
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     4,103,970        2,093,762   

Payment on shares redeemed

     (5,167,913     (6,545,401
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,063,943     (4,451,639
  

 

 

   

 

 

 

Net increase (decrease) in cash

     4,474,537        18,043   

Cash, beginning of period

     251,524        104,145   
  

 

 

   

 

 

 

Cash, end of period

   $ 4,726,061      $ 122,188   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016
(unaudited)
     December 31, 2015  

Assets

     

Cash

   $ 2,742,218       $ 243,900   

Segregated cash balances with brokers for futures contracts

     11,440         17,160   

Segregated cash balances with brokers for forward agreements

     2,282,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $274,524,305 and $238,900,176, respectively)

     274,576,762         238,899,626   

Receivable on open futures contracts

     1,920         —     
  

 

 

    

 

 

 

Total assets

     279,614,340         239,160,686   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     4,906,945         —     

Payable on open futures contracts

     —           1,875   

Management fee payable

     212,533         181,068   

Unrealized depreciation on forward agreements

     11,156,389         22,561,101   
  

 

 

    

 

 

 

Total liabilities

     16,275,867         22,744,044   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     263,338,473         216,416,642   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 279,614,340       $ 239,160,686   
  

 

 

    

 

 

 

Shares outstanding

     8,046,526         7,996,533   
  

 

 

    

 

 

 

Net asset value per share

   $ 32.73       $ 27.06   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 32.82       $ 27.08   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

87


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.210% due 04/14/16†

   $ 31,224,000       $ 31,222,873   

0.220% due 04/21/16

     3,139,000         3,138,817   

0.252% due 04/28/16

     1,248,000         1,247,841   

0.251% due 05/05/16†

     36,537,000         36,533,894   

0.292% due 05/12/16†

     27,098,000         27,095,068   

0.356% due 05/26/16†

     20,284,000         20,280,126   

0.279% due 06/02/16†

     93,238,000         93,213,115   

0.266% due 06/09/16†

     12,653,000         12,648,756   

0.266% due 07/14/16†

     49,224,000         49,196,272   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $274,524,305)

      $ 274,576,762   
     

 

 

 

Futures Contracts Purchased††

 

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

Silver Futures - COMEX, expires May 2016

     2       $ 154,640       $ (2,611

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

     1.05     04/06/16       $ 8,503,000       $ 130,793,996       $ (2,824,664

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

     1.27        04/06/16         6,764,800         104,059,536         (2,376,471

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

     1.15        04/06/16         8,619,800         132,588,040         (2,933,929

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

     1.22        04/06/16         3,484,000         53,590,191         (1,018,791

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

     1.18        04/06/16         6,851,000         105,381,397         (2,002,534
             

 

 

 
              $ (11,156,389
             

 

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
†† Cash collateral in the amount of $11,440 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.
^ The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^ Rates shown represents discount rate at the time of purchase.
* Reflects the floating financing rate, as of March 31, 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.

 

88


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 121,610      $ 38,246   
  

 

 

   

 

 

 

Expenses

    

Management fee

     580,470        738,077   

Brokerage commissions and fees

     10        8   
  

 

 

   

 

 

 

Total expenses

     580,480        738,085   
  

 

 

   

 

 

 

Net investment income (loss)

     (458,870     (699,839
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     19,200        11,150   

Forward agreements

     34,095,244        (17,780,243

Short-term U.S. government and agency obligations

     (580     4,743   
  

 

 

   

 

 

 

Net realized gain (loss)

     34,113,864        (17,764,350
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     6,419        (1,760

Forward agreements

     11,404,712        35,015,988   

Short-term U.S. government and agency obligations

     53,007        907   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     11,464,138        35,015,135   
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     45,578,002        17,250,785   
  

 

 

   

 

 

 

Net income (loss)

   $ 45,119,132      $ 16,550,946   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

89


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 216,416,642   

Addition of 650,000 shares

     21,276,467   

Redemption of 600,007 shares

     (19,473,768
  

 

 

 

Net addition (redemption) of 49,993 shares

     1,802,699   
  

 

 

 

Net investment income (loss)

     (458,870

Net realized gain (loss)

     34,113,864   

Change in net unrealized appreciation/depreciation

     11,464,138   
  

 

 

 

Net income (loss)

     45,119,132   
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 263,338,473   
  

 

 

 

 

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ 45,119,132      $ 16,550,946   

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

     5,720        (2,640

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

     (2,282,000     —     

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

     (311,185,299     (205,022,601

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

     275,682,212        216,039,075   

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

     (121,622     (38,246

Net realized gain (loss) on investments

     580        (4,743

Change in unrealized appreciation/depreciation on investments

     (11,457,719     (35,016,895

Decrease (Increase) in receivable on futures contracts

     (1,920     —     

Increase (Decrease) in management fee payable

     31,465        (8,608

Increase (Decrease) in payable on futures contracts

     (1,875     (6,010
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (4,211,326     (7,509,722
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     21,276,467        28,733,984   

Payment on shares redeemed

     (14,566,823     (21,239,648
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     6,709,644        7,494,336   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,498,318        (15,386

Cash, beginning of period

     243,900        305,004   
  

 

 

   

 

 

 

Cash, end of period

   $ 2,742,218      $ 289,618   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 201,134       $ 227,310   

Short-term U.S. government and agency obligations (Note 3)
(cost $9,772,647 and $11,605,665, respectively)

     9,774,752         11,605,262   

Unrealized appreciation on foreign currency forward contracts

     1,001,532         604,920   
  

 

 

    

 

 

 

Total assets

     10,977,418         12,437,492   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —           1,569,718   

Management fee payable

     8,470         10,044   

Unrealized depreciation on foreign currency forward contracts

     7,170         —     
  

 

 

    

 

 

 

Total liabilities

     15,640         1,579,762   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     10,961,778         10,857,730   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 10,977,418       $ 12,437,492   
  

 

 

    

 

 

 

Shares outstanding

     650,000         700,014   
  

 

 

    

 

 

 

Net asset value per share

   $ 16.86       $ 15.51   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 16.87       $ 15.51   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.310% due 05/19/16

   $ 575,000       $ 574,900   

0.286% due 06/02/16†

     7,946,000         7,943,879   

0.310% due 07/21/16

     1,257,000         1,255,973   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $9,772,647)

      $ 9,774,752   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Euro with Goldman Sachs International

     04/08/16         9,584,125      $ 10,907,140      $ 488,861   

Euro with UBS AG

     04/08/16         10,055,900        11,444,039        512,671   
         

 

 

 
          $ 1,001,532   
         

 

 

 

Contracts to Sell

         

Euro with Goldman Sachs International

     04/08/16         (208,900   $ (237,737   $ (4,988

Euro with UBS AG

     04/08/16         (166,300     (189,256     (2,182
         

 

 

 
          $ (7,170
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 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.

 

93


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 4,963      $ 534   
  

 

 

   

 

 

 

Expenses

    

Management fee

     25,706        16,232   
  

 

 

   

 

 

 

Total expenses

     25,706        16,232   
  

 

 

   

 

 

 

Net investment income (loss)

     (20,743     (15,698
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     504,670        (1,065,216

Short-term U.S. government and agency obligations

     (70     14   
  

 

 

   

 

 

 

Net realized gain (loss)

     504,600        (1,065,202
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     389,442        (675,379

Short-term U.S. government and agency obligations

     2,508        44   
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     391,950        (675,335
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     896,550        (1,740,537
  

 

 

   

 

 

 

Net income (loss)

   $ 875,807      $ (1,756,235
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 10,857,730   

Redemption of 50,014 shares

     (771,759
  

 

 

 

Net addition (redemption) of (50,014) shares

     (771,759
  

 

 

 

Net investment income (loss)

     (20,743

Net realized gain (loss)

     504,600   

Change in net unrealized appreciation/depreciation

     391,950   
  

 

 

 

Net income (loss)

     875,807   
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 10,961,778   
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ 875,807      $ (1,756,235

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

     (17,943,173     (14,072,502

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

     19,781,084        1,245,923   

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

     (4,963     (534

Net realized gain (loss) on investments

     70        (14

Change in unrealized appreciation/depreciation on investments

     (391,950     675,335   

Increase (Decrease) in management fee payable

     (1,574     7,761   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,315,301        (13,900,266
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          13,540,570   

Payment on shares redeemed

     (2,341,477     —     
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,341,477     13,540,570   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (26,176     (359,696

Cash, beginning of period

     227,310        671,117   
  

 

 

   

 

 

 

Cash, end of period

   $ 201,134      $ 311,421   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 615,161       $ 147,371   

Short-term U.S. government and agency obligations (Note 3)
(cost $5,422,963 and $5,069,206, respectively)

     5,423,600         5,069,491   

Unrealized appreciation on foreign currency forward contracts

     161,880         267,014   
  

 

 

    

 

 

 

Total assets

     6,200,641         5,483,876   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Management fee payable

     4,956         4,325   

Unrealized depreciation on foreign currency forward contracts

     1,678         5,703   
  

 

 

    

 

 

 

Total liabilities

     6,634         10,028   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     6,194,007         5,473,848   
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 6,200,641       $ 5,483,876   
  

 

 

    

 

 

 

Shares outstanding

     99,970         99,974   
  

 

 

    

 

 

 

Net asset value per share

   $ 61.96       $ 54.75   
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 61.98       $ 54.70   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)

 

     Principal Amount      Value  

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

     

U.S. Treasury Bills^^:

     

0.252% due 04/28/16†

   $ 1,500,000       $ 1,499,809   

0.310% due 07/21/16†

     3,927,000         3,923,791   
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $5,422,963)

      $ 5,423,600   
     

 

 

 

Foreign Currency Forward Contracts^

 

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

Contracts to Purchase

         

Yen with Goldman Sachs International

     04/08/16         899,107,100      $ 7,990,662      $ 103,707   

Yen with UBS AG

     04/08/16         536,458,900        4,767,688        58,173   
         

 

 

 
          $ 161,880   
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     04/08/16         (13,926,600   $ (123,770   $ (531

Yen with UBS AG

     04/08/16         (29,031,300     (258,011     (1,147
         

 

 

 
          $ (1,678
         

 

 

 

 

All or partial amount segregated as collateral for foreign currency forward contracts.
^ The positions and counterparties herein are as of March 31, 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.

 

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PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Investment Income

    

Interest

   $ 2,894      $ 291   
  

 

 

   

 

 

 

Expenses

    

Management fee

     14,000        9,381   
  

 

 

   

 

 

 

Total expenses

     14,000        9,381   
  

 

 

   

 

 

 

Net investment income (loss)

     (11,106     (9,090
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Foreign currency forward contracts

     832,221        (80,612

Short-term U.S. government and agency obligations

     —          (14
  

 

 

   

 

 

 

Net realized gain (loss)

     832,221        (80,626
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Foreign currency forward contracts

     (101,109     (25,933

Short-term U.S. government and agency obligations

     352        (194
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (100,757     (26,127
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     731,464        (106,753
  

 

 

   

 

 

 

Net income (loss)

   $ 720,358      $ (115,843
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 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)

     (11,106

Net realized gain (loss)

     832,221   

Change in net unrealized appreciation/depreciation

     (100,757
  

 

 

 

Net income (loss)

     720,358   
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 6,194,007   
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016     March 31, 2015  

Cash flow from operating activities

    

Net income (loss)

   $ 720,358      $ (115,843

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

     (9,570,863     (4,808,211

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

     9,220,000        885,972   

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

     (2,894     (291

Net realized gain (loss) on investments

     —          14   

Change in unrealized appreciation/depreciation on investments

     100,757        26,127   

Increase (Decrease) in management fee payable

     631        3,144   
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     467,989        (4,009,088
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     —          4,285,016   

Payment on shares redeemed

     (199     (687,120
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (199     3,597,896   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     467,790        (411,192

Cash, beginning of period

     147,371        846,919   
  

 

 

   

 

 

 

Cash, end of period

   $ 615,161      $ 435,727   
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     March 31, 2016         
     (unaudited)      December 31, 2015  

Assets

     

Cash

   $ 35,814,038       $ 48,049,225   

Segregated cash balances with brokers for futures contracts

     273,711,270         261,083,712   

Segregated cash balances with brokers for swap agreements

     664,000         —     

Segregated cash balances with brokers for forward agreements

     2,282,000         —     

Short-term U.S. government and agency obligations (Note 3)
(cost $3,475,425,497 and $3,313,585,456, respectively)

     3,476,052,223         3,313,591,600   

Unrealized appreciation on swap agreements

     7,163,609         6,669,519   

Unrealized appreciation on forward agreements

     2,655,859         6,587,221   

Unrealized appreciation on foreign currency forward contracts

     4,571,401         1,805,661   

Receivable from capital shares sold

     144,172,198         48,046,138   

Receivable on open futures contracts

     3,301,931         27,655,327   
  

 

 

    

 

 

 

Total assets

     3,950,388,529         3,713,488,403   
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     57,683,319         60,119,975   

Payable on open futures contracts

     4,449,193         3,078,269   

Brokerage commissions and fees payable

     42,396         39,148   

Management fee payable

     2,867,641         2,839,305   

Unrealized depreciation on swap agreements

     50,901,948         72,446,044   

Unrealized depreciation on forward agreements

     16,707,103         24,811,696   

Unrealized depreciation on foreign currency forward contracts

     49,312,855         43,545,218   
  

 

 

    

 

 

 

Total liabilities

     181,964,455         206,879,655   
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     3,768,424,074         3,506,608,748   

Total liabilities and shareholders’ equity

   $ 3,950,388,529       $ 3,713,488,403   
  

 

 

    

 

 

 

Shares outstanding

     198,274,279         143,049,418   
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016*     March 31, 2015**  

Investment Income

    

Interest

   $ 1,810,237      $ 360,671   
  

 

 

   

 

 

 

Expenses

    

Management fee

     7,893,721        9,026,117   

Brokerage commissions and fees

     1,564,121        1,617,240   

Offering costs

     —          16,221   

Limitation by Sponsor

     —          (1,534
  

 

 

   

 

 

 

Total expenses

     9,457,842        10,658,044   
  

 

 

   

 

 

 

Net investment income (loss)

     (7,647,605     (10,297,373
  

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

    

Net realized gain (loss) on

    

Futures contracts

     (156,804,469     (198,303,422

Swap agreements

     (148,832,027     (86,405,263

Forward agreements

     35,331,079        (20,199,934

Foreign currency forward contracts

     (65,193,917     101,262,256   

Short-term U.S. government and agency obligations

     (119,774     108,816   
  

 

 

   

 

 

 

Net realized gain (loss)

     (335,619,108     (203,537,547
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

    

Futures contracts

     (138,735,060     (69,298,843

Swap agreements

     22,038,186        (2,542,455

Forward agreements

     4,173,231        30,995,363   

Foreign currency forward contracts

     (3,001,897     8,172,421   

Short-term U.S. government and agency obligations

     620,582        (10,974
  

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (114,904,958     (32,684,488
  

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (450,524,066     (236,222,035
  

 

 

   

 

 

 

Net income (loss)

   $ (458,171,671   $ (246,519,408
  

 

 

   

 

 

 

 

* The operations include the activity of ProShares Managed Futures Strategy through March 30, 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 THREE MONTHS ENDED MARCH 31, 2016*

(unaudited)

 

Shareholders’ equity, at December 31, 2015

   $ 3,506,608,748   

Addition of 130,975,000 shares

     3,141,938,788   

Redemption of 75,750,139 shares

     (2,421,951,791
  

 

 

 

Net addition (redemption) of 55,224,861 shares

     719,986,997   
  

 

 

 

Net investment income (loss)

     (7,647,605

Net realized gain (loss)

     (335,619,108

Change in net unrealized appreciation/depreciation

     (114,904,958
  

 

 

 

Net income (loss)

     (458,171,671
  

 

 

 

Shareholders’ equity, at March 31, 2016

   $ 3,768,424,074   
  

 

 

 

 

* The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, the date of liquidation. See Note 1.

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

     Three months ended     Three months ended  
     March 31, 2016*     March 31, 2015**  

Cash flow from operating activities

    

Net income (loss)

   $ (458,171,671   $ (246,519,408

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

    

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

     (12,627,558     113,321,830   

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

     (664,000     —     

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

     (2,282,000     —     

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

     (4,733,869,345     (5,057,019,394

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

     4,573,717,680        4,083,125,326   

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

     (1,808,150     (360,074

Net realized gain (loss) on investments

     119,774        (108,806

Change in unrealized appreciation/depreciation on investments

     (23,830,102     (36,614,355

Decrease (Increase) in receivable on futures contracts

     24,353,316        7,927,230   

Decrease (Increase) in Limitation by Sponsor

     —          (1,534

Change in offering cost

     —          16,220   

Increase (Decrease) in management fee payable

     28,256        725,494   

Increase (Decrease) in brokerage commissions and fees payable

     3,248        —     

Increase (Decrease) in payable on futures contracts

     1,371,084        (30,746,878
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (633,659,468     (1,166,254,349
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     3,045,812,728        2,890,975,532   

Payment on shares redeemed

     (2,424,388,447     (1,719,419,849
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     621,424,281        1,171,555,683   
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (12,235,187     5,301,334   

Cash, beginning of period

     48,049,225        35,899,231   
  

 

 

   

 

 

 

Cash, end of period

   $ 35,814,038      $ 41,200,565   
  

 

 

   

 

 

 

 

* The operations include the activity of ProShares Managed Futures Strategy through March 30, 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

NOTES TO FINANCIAL STATEMENTS

March 31, 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 March 31, 2016, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra 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 May 22, 2015, the Trust announced plans to liquidate ProShares Ultra Australian Dollar (ticker symbol: GDAY). ProShares Ultra Australian Dollar was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on June 18, 2015. Beginning June 19, 2015, no secondary market for ProShares Ultra Australian Dollar’s Shares remained. Proceeds of the liquidation were distributed to shareholders on June 29, 2015. Any shareholders remaining in the fund on June 29, 2015 automatically had their shares redeemed for cash at ProShares Ultra Australian Dollar’s net asset value per Share as of June 19, 2015. On June 30, 2015, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Australian Dollar on the NYSE Arca. On July 10, 2015 a Form 15 was filed with the U.S. Securities and Exchange Commission (“SEC”) terminating the registration of ProShares Ultra Australian Dollar.

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.

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

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

 

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

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

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

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. There were no Share splits or reverse Share splits during the three months ended March 31, 2016. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.

 

     Execution Date         Date Trading
     (Prior to Opening         Resumed at Post-
Fund    of Trading)    Type of Split    Split Price
ProShares Ultra VIX Short-Term Futures ETF    May 20, 2015    1-for-5 reverse Share split    May 20, 2015
ProShares UltraShort Silver    November 13, 2015    2-for-1 Share split    November 13, 2015
ProShares Ultra Bloomberg Commodity    May 20, 2015    1-for-4 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

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 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 three months ended March 31, 2016 were as follows. All times are Eastern Standard Time:

 

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

UltraShort Silver, Ultra Silver

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

UltraShort Gold, Ultra Gold

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

UltraShort Bloomberg Crude Oil,

        

Ultra Bloomberg Crude Oil

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

UltraShort Bloomberg Natural Gas,

        

Ultra Bloomberg Natural Gas

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

UltraShort Bloomberg Commodity,

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

 

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Ultra Bloomberg Commodity

        

UltraShort Australian Dollar

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

Short Euro,

        

UltraShort Euro,

        

Ultra Euro

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

UltraShort Yen,

        

Ultra Yen

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

VIX Short-Term Futures ETF,

        

Ultra VIX Short-Term Futures ETF,

        

Short VIX Short-Term Futures ETF

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

VIX Mid-Term Futures ETF

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

 

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 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 months ended March 31, 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 March 31, 2016 using the fair value hierarchy:

 

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

VIX Short-Term Futures ETF

   $ 122,329,689       $ (17,389,000   $ —         $ —         $ —         $ 104,940,689   

VIX Mid-Term Futures ETF

     28,114,658         (3,160,060     —           —           —           24,954,598   

Short VIX Short-Term Futures ETF

     414,415,794         64,723,894        —           —           —           479,139,688   

Ultra VIX Short-Term Futures ETF

     740,769,431         (211,447,772     —           —           —           529,321,659   

UltraShort Bloomberg Commodity

     6,619,348         —          —           —           57,781         6,677,129   

UltraShort Bloomberg Crude Oil

     187,777,500         (14,997,628     —           —           7,104,834         179,884,706   

UltraShort Bloomberg Natural Gas

     3,810,409         (367,096     —           —           —           3,443,313   

UltraShort Gold

     67,384,423         6,880        1,724,551         —           —           69,115,854   

UltraShort Silver

     46,253,752         1,910        548,241         —           —           46,803,903   

Short Euro

     13,992,459         (465,069     —           —           —           13,527,390   

 

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UltraShort Australian Dollar

     15,670,829         (1,121,800     —          —          —          14,549,029   

UltraShort Euro

     439,966,790         —          —          (40,912,734     —          399,054,056   

UltraShort Yen

     179,382,334         —          —          (4,983,284     —          174,399,050   

Ultra Bloomberg Commodity

     4,583,420         —          —          —          (78,039     4,505,381   

Ultra Bloomberg Crude Oil

     798,292,983         55,846,555        —          —          (50,822,915     803,316,623   

Ultra Bloomberg Natural Gas

     24,682,700         (884,266     —          —          —          23,798,434   

Ultra Gold

     92,230,590         (6,880     (5,167,647     —          —          87,056,063   

Ultra Silver

     274,576,762         (2,611     (11,156,389     —          —          263,417,762   

Ultra Euro

     9,774,752         —          —          994,362        —          10,769,114   

Ultra Yen

     5,423,600         —          —          160,202        —          5,583,802   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 3,476,052,223       $ (129,262,943   $ (14,051,244   $ (44,741,454   $ (43,738,339   $ 3,244,258,243   

 

* 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 March 31, 2016, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

At March 31, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

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 Commodity

     7,518,119         —          —           —           171,324         7,689,443   

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   

 

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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  

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 Commodity

     7,084,065         —          —          —          (183,916     6,900,149   

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   

Ultra Euro

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

Ultra Yen

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

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 3,313,591,600       $ 9,414,938      $ (18,224,475   $ (41,739,557   $ (65,776,525   $ 3,197,265,981   

 

* 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.

 

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Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

 

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

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

Swap Agreements

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

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or an Ultra Fund, the Matching VIX Fund or Ultra 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

 

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 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 March 31, 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.

 

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Forward Contracts

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

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

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

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

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

 

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

 

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

Fair Value of Derivative Instruments

as of March 31, 2016

 

   

Asset Derivatives

   

Liability Derivatives

 

Derivatives not

accounted for

as hedging

instruments

 

Statements of

Financial

Condition

Location

 

Fund

  Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

 

Fund

  Unrealized
Depreciation
 

VIX Futures Contracts

 

Receivables on open futures contracts

 

ProShares Short VIX Short-Term Futures ETF

  $ 64,723,894  

Payable on open futures contracts

 

ProShares VIX Short-Term Futures ETF

  $ 17,389,000
         

ProShares VIX Mid-Term Futures ETF

    3,160,060
         

ProShares Ultra VIX Short-Term Futures ETF

    211,447,772

Commodities Contracts

 

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

 

ProShares UltraShort Bloomberg Commodity

    58,775     

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

 

ProShares UltraShort Bloomberg Commodity

    994   
   

ProShares UltraShort Bloomberg Crude Oil

    7,104,834       

ProShares UltraShort Bloomberg Crude Oil

    14,997,628
   

ProShares Ultra Bloomberg
Crude Oil

    55,846,555    

ProShares UltraShort Bloomberg Natural Gas

    367,096
   

ProShares
UltraShort
Gold

    1,731,431    

ProShares Ultra Bloomberg Commodity

    78,039   
   

ProShares
UltraShort
Silver

    933,218    

ProShares Ultra Bloomberg Crude Oil

    50,822,915   
         

ProShares Ultra Bloomberg Natural Gas

    884,266
         

ProShares Ultra Gold

    5,174,527
         

ProShares UltraShort Silver

    383,067   
         

ProShares Ultra Silver

    11,159,000

Foreign Exchange Contracts

 

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

 

ProShares UltraShort Euro

    3,357,544     

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

 

ProShares UltraShort Australian Dollar

    1,121,800
   

ProShares UltraShort Yen

    50,445       

ProShares UltraShort Euro

    44,270,278   
   

ProShares
Ultra Euro

    1,001,532       

ProShares UltraShort Yen

    5,033,729   
   

ProShares Ultra Yen

    161,880       

ProShares Ultra Euro

    7,170   
         

ProShares Ultra Yen

    1,678   
         

ProShares Short Euro

    465,069
     

 

 

       

 

 

 
   

Total Trust

  $ 134,970,108    

Total Trust

  $ 366,764,088

 

* 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

 

   

Asset Derivatives

   

Liability Derivatives

 

Derivatives not

accounted for

as hedging

instruments

 

Statements of

Financial

Condition

Location

 

Fund

  Unrealized
Appreciation
   

Statements of

Financial

Condition

Location

 

Fund

  Unrealized
Depreciation
 

VIX Futures Contracts

 

Receivables on 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 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 ETF

    58,830

Commodities Contracts

 

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

 

ProShares UltraShort Bloomberg Commodity

    224,491     

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

 

ProShares UltraShort Bloomberg Commodity

    53,167   
   

ProShares UltraShort Bloomberg
Crude Oil

    8,877,169    

ProShares UltraShort Bloomberg Natural Gas

    2,471,164
   

ProShares Ultra Bloomberg Commodity

    32,372       

ProShares Ultra Bloomberg Commodity

    216,288   
   

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

  $ 46,804,137    

Total Trust

  $ 163,129,756

 

* 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 March 31, 2016

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain or

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

   $ 7,706,149      $ (16,310,375
     

ProShares VIX Mid-Term Futures ETF

     2,594,460        (2,815,700
     

ProShares Short VIX Short-Term Futures ETF

     (92,182,809     53,977,479   
     

ProShares Ultra VIX Short-Term Futures ETF

     11,205,618        (223,342,238

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

     (127,591     (113,543
     

ProShares UltraShort Bloomberg Crude Oil

     22,321,598        (16,769,963
     

ProShares UltraShort Bloomberg Natural Gas

     4,114,349        2,104,068   
     

ProShares UltraShort Gold

     (19,412,007     (82,731
     

ProShares UltraShort Silver

     (5,348,504     (4,234,098
     

ProShares Ultra Bloomberg Commodity

     (290,068     105,877   
     

ProShares Ultra Bloomberg Crude Oil

     (253,336,000     95,129,543   
     

ProShares Ultra Bloomberg Natural Gas

     (5,857,221     (7,197,145
     

ProShares Ultra Gold

     25,983,616        (2,918,732
     

ProShares Ultra Silver

     34,114,444        11,411,131   

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

     (54,194     (708,507
     

ProShares UltraShort Australian Dollar

     (1,688,439     (701,530
     

ProShares UltraShort Euro

     (28,914,132     (12,202,398
     

ProShares UltraShort Yen

     (37,616,676     8,912,168   
     

ProShares Ultra Euro

     504,670        389,442   
     

ProShares Ultra Yen

     832,221        (101,109
        

 

 

   

 

 

 
     

Total Trust*

   $ (335,450,516   $ (115,468,361
        

 

 

   

 

 

 

*Amount excludes the activity of ProShares Managed Futures Strategy which liquidated in March 2016.

 

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2015

 

Derivatives not accounted

for as hedging instruments

  

Location of Gain or

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

   $ (8,978,330   $ (11,370,731
     

ProShares VIX Mid-Term Futures ETF

     126,671        (761,055
     

ProShares Short VIX Short-Term Futures ETF

     23,811,285        23,344,133   
     

ProShares Ultra VIX Short-Term Futures ETF

     (135,093,226     (88,510,946

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Commodity

     856,549        (290,634
     

ProShares UltraShort Bloomberg Crude Oil

     44,649,872        1,439,054   
     

ProShares UltraShort Bloomberg Natural Gas

     5,179,268        (3,081,725
     

ProShares UltraShort Gold

     1,918,530        699,177   
     

ProShares UltraShort Silver

     (1,361,705     (4,329,601
     

ProShares Ultra Bloomberg Commodity

     (520,459     201,905   
     

ProShares Ultra Bloomberg Crude Oil

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

ProShares Ultra Bloomberg Natural Gas

     (45,836,964     27,451,658   
     

ProShares Ultra Gold

     (2,987,756     (388,746
     

ProShares Ultra Silver

     (17,769,093     35,014,228   

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

     2,057,094        (275,562
     

ProShares UltraShort Australian Dollar

     2,979,670        (323,631
     

ProShares UltraShort Euro

     107,515,818        6,627,201   
     

ProShares UltraShort Yen

     (5,107,734     2,246,532   
     

ProShares Ultra Euro

     (1,065,216     (675,379
     

ProShares Ultra Yen

     (80,612     (25,933
        

 

 

   

 

 

 
     

Total Trust*

   $ (203,389,457   $ (32,691,831

*Amount excludes the activity of ProShares Managed Futures Strategy and ProShares Ultra Australian Dollar which liquidated in March 2016 and June 2015, respectively.

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 March 31, 2016:

 

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Fair Values of Derivative Instruments as of March 31, 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 Commodity

                

Swap agreements

   $ 58,775       $ —         $ 58,775       $ (994   $ —         $ (994

ProShares UltraShort Bloomberg Crude Oil

                

Swap agreements

     7,104,834         —           7,104,834         —          —           —     

ProShares UltraShort Gold

                

Forward agreements

     1,724,551         —           1,724,551         —          —           —     

ProShares UltraShort Silver

                

Forward agreements

     931,308         —           931,308         (383,067     —           (383,067

ProShares UltraShort Euro

                

Foreign currency forward contracts

     3,357,544         —           3,357,544         (44,270,278     —           (44,270,278

ProShares UltraShort Yen

                

Foreign currency forward contracts

     50,445         —           50,445         (5,033,729     —           (5,033,729

ProShares Ultra Bloomberg Commodity

                

Swap agreements

     —           —           —           (78,039     —           (78,039

ProShares Ultra Bloomberg Crude Oil

                

Swap agreements

     —           —           —           (50,822,915     —           (50,822,915

ProShares Ultra Gold

                

Forward agreements

     —           —           —           (5,167,647     —           (5,167,647

ProShares Ultra Silver

                

Forward agreements

     —           —           —           (11,156,389     —           (11,156,389

ProShares Ultra Euro

                

Foreign currency forward contracts

     1,001,532         —           1,001,532         (7,170     —           (7,170

ProShares Ultra Yen

                

Foreign currency forward contracts

     161,880         —           161,880         (1,678     —           (1,678

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2016. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Gross Amounts Not Offset in the Statement of Financial Condition as of March 31, 2016

 

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

ProShares UltraShort Bloomberg Commodity

        

Citibank N.A.

   $ (994   $ —        $ 994      $ —     

Deutsche Bank AG

     24,172        —          —          24,172   

Goldman Sachs International

     30,339        —          —          30,339   

UBS AG

     4,264        —          —          4,264   

ProShares UltraShort Bloomberg Crude Oil

        

Citibank N.A.

     2,056,877        —          —          2,056,877   

Deutsche Bank AG

     679,190        —          (679,190     —     

Goldman Sachs International

     2,394,738        —          —          2,394,738   

Societe Generale S.A.

     282,172        (282,172     —          —     

UBS AG

     1,691,857        (1,672,413     (19,444     —     

ProShares UltraShort Gold

        

Citibank N.A.

     156,095        —          —          156,095   

Deutsche Bank AG

     838,378        —          (838,378     —     

Goldman Sachs International

     106,635        (91,009     —          15,626   

Societe Generale S.A.

     122,750        (122,750     —          —     

UBS AG

     500,693        (496,209     (4,484     —     

ProShares UltraShort Silver

        

Citibank N.A.

     147,959        —          —          147,959   

Deutsche Bank AG

     626,482        —          (600,000     26,482   

Goldman Sachs International

     (383,067     383,067        —          —     

Societe Generale S.A.

     43,989        (43,989     —          —     

UBS AG

     112,878        —          —          112,878   

ProShares UltraShort Euro

        

Goldman Sachs International

     (19,722,589     19,722,589        —          —     

UBS AG

     (21,190,145     21,190,145        —          —     

ProShares UltraShort Yen

        

Goldman Sachs International

     (2,421,670     2,421,670        —          —     

UBS AG

     (2,561,614     2,561,614        —          —     

ProShares Ultra Bloomberg Commodity

        

Citibank N.A.

     (24,712     —          24,712        —     

Deutsche Bank AG

     (19,477     19,477        —          —     

Goldman Sachs International

     (22,064     22,064        —          —     

UBS AG

     (11,786     11,786        —          —     

ProShares Ultra Bloomberg Crude Oil

        

Citibank N.A.

     (16,292,669     16,292,669        —          —     

Deutsche Bank AG

     (10,190,997     10,190,997        —          —     

Goldman Sachs International

     (10,332,313     10,332,313        —          —     

Societe Generale S.A.

     (3,453,598     3,451,598        2,000        —     

UBS AG

     (10,553,338     10,553,338        —          —     

ProShares Ultra Gold

        

Citibank N.A.

     (889,683     889,683        —          —     

Deutsche Bank AG

     (1,916,754     1,916,754        —          —     

Goldman Sachs International

     (1,082,108     1,082,108        —          —     

Societe Generale S.A.

     (485,602     485,602        —          —     

UBS AG

     (793,500     793,500        —          —     

ProShares Ultra Silver

        

Citibank N.A.

     (2,824,664     2,575,664        249,000        —     

Deutsche Bank AG

     (2,376,471     463,471        1,913,000        —     

Goldman Sachs International

     (2,933,929     2,933,929        —          —     

Societe Generale S.A.

     (1,018,791     1,018,791        —          —     

UBS AG

     (2,002,534     2,002,534        —          —     

ProShares Ultra Euro

        

Goldman Sachs International

     483,373        (289,276     —          194,097   

UBS AG

     510,489        (352,951     (3,602     153,936   

ProShares Ultra Yen

        

Goldman Sachs International

     103,176        (103,176     —          —     

UBS AG

     57,026        (7,289     (74     49,663   

 

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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 Commodity

                 

Swap agreements

   $ 224,491       $ —         $ 224,491       $ 53,167       $ —         $ 53,167   

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 Commodity

                 

Swap agreements

     32,372         —           32,372         216,288         —           216,288   

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

ProShares UltraShort Bloomberg Commodity

        

Citibank N.A.

   $ (53,167   $ 53,167      $ —        $ —     

Deutsche Bank AG

     84,161        —          (50,000     34,161   

Goldman Sachs International

     36,878        (28,466     —          8,412   

UBS AG

     103,452        (103,452     —          —     

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 Commodity

        

Citibank N.A.

     32,372        —          —          32,372   

Deutsche Bank AG

     (82,976     82,976        —          —     

 

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

Goldman Sachs International

     (60,830     60,830        —           —     

UBS AG

     (72,482     72,482        —           —     

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   

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 and 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.

 

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The Administrator

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

The Custodian

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

The Distributor

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

 

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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 months ended March 31, 2016, which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

     Three Months Ended  

Fund

   March 31, 2016  

VIX Short-Term Futures ETF

   $ 47,405   

VIX Mid-Term Futures ETF

     4,317   

Short VIX Short-Term Futures ETF

     156,233   

Ultra VIX Short-Term Futures ETF

     543,008   

UltraShort Bloomberg Commodity

     —     

UltraShort Bloomberg Crude Oil

     174,892   

UltraShort Bloomberg Natural Gas

     2,655   

UltraShort Gold

     12,054   

UltraShort Silver

     16,729   

Short Euro

     —     

UltraShort Australian Dollar

     —     

UltraShort Euro

     —     

UltraShort Yen

     —     

Ultra Bloomberg Commodity

     273   

Ultra Bloomberg Crude Oil

     152,394   

Ultra Bloomberg Natural Gas

     1,756   

Ultra Gold

     2,032   

Ultra Silver

     8,914   

Ultra Euro

     —     

Ultra Yen

     —     
  

 

 

 

Total Trust

   $ 1,122,662   

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2016:

For the Three Months Ended March 31, 2016 (unaudited)

 

                 Short VIX     Ultra VIX     UltraShort     UltraShort  
Per Share Operating    VIX Short-Term     VIX Mid-Term     Short-Term     Short-Term     Bloomberg     Bloomberg  

Performance

   Futures ETF     Futures ETF     Futures ETF     Futures ETF     Commodity     Crude Oil  

Net asset value, at December 31, 2015

   $ 13.2422      $ 53.9626      $ 50.8150      $ 28.0841      $ 141.9077      $ 133.2019   

Net investment income (loss)

     (0.0332     (0.1114     (0.1045     (0.1007     (0.2821     (0.3317

Net realized and unrealized gain (loss)#

     (1.5762     (1.1293     (0.0774     (8.7302     (4.0228     (3.0821

Change in net asset value from operations

     (1.6094     (1.2407     (0.1819     (8.8309     (4.3049     (3.4138

Net asset value, at March 31, 2016

   $ 11.6328      $ 52.7219      $ 50.6331      $ 19.2532      $ 137.6028      $ 129.7881   

Market value per share, at December 31, 2015†

   $ 13.33      $ 53.99      $ 50.45      $ 28.35      $ 140.41      $ 133.64   

Market value per share, at March 31, 2016†

   $ 11.68      $ 52.87      $ 50.53      $ 19.33      $ 134.26      $ 130.94   

Total Return, at net asset value

     (12.2 )%      (2.3 )%      (0.4 )%      (31.4 )%      (3.0 )%      (2.6 )% 

Total Return, at market value

     (12.4 )%      (2.1 )%      0.2     (31.8 )%      (4.4 )%      (2.0 )% 

Ratios to Average Net Assets

            

Expense ratio

     (1.06 )%      (0.93 )%      (1.28 )%      (1.53 )%      (0.95 )%      (1.10 )% 

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

     (0.87 )%      (0.75 )%      (1.06 )%      (1.29 )%      (0.77 )%      (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.

 

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For the three months Ended March 31, 2016 (unaudited)

 

     UltraShort                       UltraShort              
Per Share Operating    Bloomberg     UltraShort     UltraShort           Australian     UltraShort     UltraShort  

Performance

   Natural Gas     Gold     Silver     Short Euro     Dollar     Euro     Yen  

Net asset value, at December 31, 2015

   $ 139.5941      $ 115.8799      $ 64.5783      $ 43.7767      $ 58.4582      $ 25.5406      $ 87.9389   

Net investment income (loss)

     (0.6593     (0.1751     (0.1034     (0.0882     (0.1287     (0.0442     (0.1633

Net realized and unrealized gain (loss)#

     61.2549        (33.6297     (14.8384     (1.9898     (6.8204     (2.3017     (11.2617

Change in net asset value from operations

     60.5956        (33.8048     (14.9418     (2.0780     (6.9491     (2.3459     (11.4250

Net asset value, at March 31, 2016

   $ 200.1897      $ 82.0751      $ 49.6365      $ 41.6987      $ 51.5091      $ 23.1947      $ 76.5139   

Market value per share, at December 31, 2015†

   $ 139.66      $ 115.83      $ 64.55      $ 43.74      $ 58.15      $ 25.53      $ 87.89   

Market value per share, at March 31, 2016†

   $ 197.78      $ 83.03      $ 49.42      $ 41.66      $ 51.65      $ 23.19      $ 76.50   

Total Return, at net asset value

     43.4     (29.2 )%      (23.1 )%      (4.7 )%      (11.9 )%      (9.2 )%      (13.0 )% 

Total Return, at market value

     41.6     (28.3 )%      (23.4 )%      (4.8 )%      (11.2 )%      (9.2 )%      (13.0 )% 

Ratios to Average Net Assets

              

Expense ratio

     (1.69 )%      (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 )%      (0.95 )% 

Net investment income (loss)

     (1.45 )%      (0.76 )%      (0.75 )%      (0.82 )%      (0.88 )%      (0.72 )%      (0.81 )% 

 

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

 

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For the Three Months Ended March 31, 2016 (unaudited)

 

     Ultra     Ultra     Ultra                          
Per Share Operating    Bloomberg     Bloomberg     Bloomberg                          

Performance

   Commodity     Crude Oil     Natural Gas     Ultra Gold     Ultra Silver     Ultra Euro     Ultra Yen  

Net asset value, at December 31, 2015

   $ 28.4279      $ 12.5774      $ 18.5698      $ 29.7295      $ 27.0638      $ 15.5107      $ 54.7527   

Net investment income (loss)

     (0.0567     (0.0173     (0.0389     (0.0664     (0.0577     (0.0303     (0.1111

Net realized and unrealized gain (loss)#

     (0.0385     (3.5658     (7.7017     10.2171        5.7209        1.3839        7.3171   

Change in net asset value from operations

     (0.0952     (3.5831     (7.7406     10.1507        5.6632        1.3536        7.2060   

Net asset value, at March 31, 2016

   $ 28.3327      $ 8.9943      $ 10.8292      $ 39.8802      $ 32.7270      $ 16.8643      $ 61.9587   

Market value per share, at December 31, 2015†

   $ 28.07      $ 12.54      $ 18.48      $ 29.73      $ 27.08      $ 15.51      $ 54.70   

Market value per share, at March 31, 2016†

   $ 29.78      $ 8.91      $ 10.88      $ 39.69      $ 32.82      $ 16.87      $ 61.98   

Total Return, at net asset value

     (0.3 )%      (28.5 )%      (41.7 )%      34.1     20.9     8.7     13.2

Total Return, at market value

     6.1     (28.9 )%      (41.1 )%      33.5     21.2     8.8     13.3

Ratios to Average Net Assets

              

Expense ratio

     (0.95 )%      (1.04 )%      (1.39 )%      (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 )%      (0.95 )% 

Net investment income (loss)

     (0.84 )%      (0.80 )%      (1.23 )%      (0.73 )%      (0.75 )%      (0.77 )%      (0.75 )% 

 

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

 

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

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

 

                 Short VIX     Ultra VIX Short-     UltraShort     UltraShort  
Per Share Operating    VIX Short-Term     VIX Mid-Term     Short-Term     Term Futures     Bloomberg     Bloomberg  

Performance

   Futures ETF     Futures ETF     Futures ETF     ETF*     Commodity     Crude Oil  

Net asset value, at December 31, 2014

   $ 20.9321      $ 63.6020      $ 61.4004      $ 125.4591      $ 87.7495      $ 77.9790   

Net investment income (loss)

     (0.0467     (0.1452     (0.1987     (0.4056     (0.2053     (0.2022

Net realized and unrealized gain (loss)#

     (3.8007     (2.0840     6.4726        (49.1045     9.4334        8.9543   

Change in net asset value from operations

     (3.8474     (2.2292     6.2739        (49.5101     9.2281        8.7521   

Net asset value, at March 31, 2015

   $ 17.0847      $ 61.3728      $ 67.6743      $ 75.9490      $ 96.9776      $ 86.7311   

Market value per share, at December 31, 2014†

   $ 20.99      $ 63.89      $ 61.16      $ 125.75      $ 87.44      $ 76.52   

Market value per share, at March 31, 2015†

   $ 17.01      $ 61.09      $ 68.04      $ 75.25      $ 98.25      $ 87.14   

Total Return, at net asset value

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

Total Return, at market value

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

Ratios to Average Net Assets

            

Expense ratio

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

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

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

 

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

 

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

 

     UltraShort                       UltraShort              
Per Share Operating    Bloomberg     UltraShort     UltraShort           Australian     UltraShort     UltraShort  

Performance

   Natural Gas     Gold     Silver*     Short Euro     Dollar     Euro     Yen  

Net asset value, at December 31, 2014

   $ 83.9577      $ 96.6516      $ 57.8071      $ 40.0617      $ 51.3790      $ 21.5946      $ 89.3336   

Net investment income (loss)

     (0.2743     (0.2107     (0.1152     (0.0995     (0.1346     (0.0548     (0.1983

Net realized and unrealized gain (loss)#

     3.8028        1.3794        (7.1050     4.8906        6.1975        5.4097        (0.1606

Change in net asset value from operations

     3.5285        1.1687        (7.2202     4.7911        6.0629        5.3549        (0.3589

Net asset value, at March 31, 2015

   $ 87.4862      $ 97.8203      $ 50.5869      $ 44.8528      $ 57.4419      $ 26.9495      $ 88.9747   

Market value per share, at December 31, 2014†

   $ 82.03      $ 100.22      $ 59.70      $ 40.03      $ 51.37      $ 21.61      $ 89.30   

Market value per share, at March 31, 2015†

   $ 87.54      $ 98.18      $ 50.43      $ 44.87      $ 57.34      $ 26.95      $ 88.91   

Total Return, at net asset value

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

Total Return, at market value

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

Ratios to Average Net Assets

              

Expense ratio

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

Expense ratio, excluding brokerage commissions

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

Net investment income (loss)

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

 

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

 

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

 

     Ultra     Ultra     Ultra                          
Per Share Operating    Bloomberg     Bloomberg     Bloomberg                          

Performance

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

Net asset value, at December 31, 2014

   $ 52.1342      $ 50.7400      $ 61.6491      $ 40.0011      $ 39.3657      $ 19.8744      $ 56.4747   

Net investment income (loss)

     (0.1104     (0.0920     (0.1548     (0.0903     (0.0938     (0.0375     (0.1283

Net realized and unrealized gain (loss)#

     (6.3693     (16.5231     (15.8280     (1.5312     2.2087        (4.2942     (0.3478

Change in net asset value from operations

     (6.4797     (16.6151     (15.9828     (1.6215     2.1149        (4.3317     (0.4761

Net asset value, at March 31, 2015

   $ 45.6545      $ 34.1249      $ 45.6663      $ 38.3796      $ 41.4806      $ 15.5427      $ 55.9986   

Market value per share, at December 31, 2014†

   $ 51.44      $ 51.85      $ 63.12      $ 38.41      $ 38.05      $ 19.80      $ 56.48   

Market value per share, at March 31, 2015†

   $ 46.80      $ 33.95      $ 45.56      $ 38.14      $ 41.69      $ 15.54      $ 55.96   

Total Return, at net asset value

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

Total Return, at market value

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

Ratios to Average Net Assets

              

Expense ratio

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

Net investment income (loss)

     (0.91 )%      (0.95 )%      (1.14 )%      (0.90 )%      (0.90 )%      (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.

 

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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. In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

 

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Counterparty Risk

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

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

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

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

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

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

 

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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.

 

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2016, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra 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 U.S. Securities and Exchange Commission (“SEC”) terminating the registration of ProShares Managed Futures Strategy.

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

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

 

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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-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 Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil and ProShares Ultra Bloomberg Natural Gas each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexes and the corresponding Funds will likely be very different from the daily performance of the price of the related physical commodities.

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

 

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from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2016 and 2015 each of the Funds earned interest income as follows:

 

     Interest Income      Interest Income  
     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

ProShares VIX Short-Term Futures ETF

   $ 46,149       $ 9,907   

ProShares VIX Mid-Term Futures ETF

     12,259         2,714   

ProShares Short VIX Short-Term Futures ETF

     317,712         29,929   

ProShares Ultra VIX Short-Term Futures ETF

     298,805         32,459   

ProShares UltraShort Bloomberg Commodity

     3,900         528   

ProShares UltraShort Bloomberg Crude Oil

     89,112         20,512   

ProShares UltraShort Bloomberg Natural Gas

     9,568         985   

ProShares UltraShort Gold

     29,189         8,196   

ProShares UltraShort Silver

     19,684         6,143   

ProShares Short Euro

     6,138         1,380   

ProShares UltraShort Australian Dollar

     7,785         1,107   

ProShares UltraShort Euro

     261,439         67,590   

ProShares UltraShort Yen

     68,348         45,048   

ProShares Ultra Bloomberg Commodity

     1,500         254   

ProShares Ultra Bloomberg Crude Oil

     451,064         76,242   

ProShares Ultra Bloomberg Natural Gas

     11,732         5,642   

ProShares Ultra Gold

     46,386         12,738   

ProShares Ultra Silver

     121,610         38,246   

ProShares Ultra Euro

     4,963         534   

ProShares Ultra Yen

     2,894         291   

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.

 

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

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

Market Risk

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

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

Credit Risk

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

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

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

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an uncleared swap agreement defaults, the Fund’s risk of loss typically consists of the net amount 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.

 

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

 

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

 

    limiting the outstanding amounts due from counterparties to the Funds;

 

    not posting margin directly with a counterparty;

 

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

 

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

 

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 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.

Critical Accounting Policies

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

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

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

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

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

 

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last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

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

The prices used by the Leveraged or the VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

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

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

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

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. 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.

Results of Operations for the Three Months Ended March 31, 2016 Compared to the Three Months Ended March 31, 2015

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 105,272,823      $ 111,459,325   

NAV end of period

   $ 159,076,994      $ 149,487,509   

Percentage change in NAV

     51.1     34.1

Shares outstanding beginning of period

     7,949,812        5,324,812   

Shares outstanding end of period

     13,674,811        8,749,812   

Percentage change in shares outstanding

     72.0     64.3

Shares created

     8,575,000        4,575,000   

Shares redeemed

     2,850,001        1,150,000   

 

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     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

Per share NAV beginning of period

   $ 13.24      $ 20.93   

Per share NAV end of period

   $ 11.63      $ 17.08   

Percentage change in per share NAV

     (12.2 )%      (18.4 )% 

Percentage change in benchmark

     (11.7 )%      (18.2 )% 

Benchmark annualized volatility

     72.0     64.4

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from an increase from 7,949,812 outstanding Shares at December 31, 2015 to 13,674,811 outstanding Shares at March 31, 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 March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 5,324,812 outstanding Shares at December 31, 2014 to 8,749,812 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2016 and 2015, 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 12.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $19.59 per Share and reached its low for the period on March 30, 2016 at $11.56 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $24.15 per Share and reached its low for the period on March 30, 2015 at $16.61 per Share.

The benchmark’s decline of 11.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 18.2% for the three months ended March 31, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (221,289   $ (274,472

Management fee

    215,103        243,400   

Brokerage commission

    52,335        40,979   

Net realized gain (loss)

    7,703,607        (8,976,176

Change in net unrealized appreciation/depreciation

    (16,289,777     (11,371,875

Net income (loss)

  $ (8,807,459   $ (20,622,523

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

 

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ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 27,650,638      $ 21,459,575   

NAV end of period

   $ 29,650,967      $ 28,379,030   

Percentage change in NAV

     7.2     32.2

Shares outstanding beginning of period

     512,404        337,404   

Shares outstanding end of period

     562,403        462,404   

Percentage change in shares outstanding

     9.8     37.0

Shares created

     150,000        200,000   

Shares redeemed

     100,001        75,000   

Per share NAV beginning of period

   $ 53.96      $ 63.60   

Per share NAV end of period

   $ 52.72      $ 61.37   

Percentage change in per share NAV

     (2.3 )%      (3.5 )% 

Percentage change in benchmark

     (2.0 )%      (3.3 )% 

Benchmark annualized volatility

     39.7     34.5

During the three months ended March 31, 2016 and 2015, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 562,403 outstanding Shares at March 31, 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 March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 337,404 outstanding Shares at December 31, 2014 to 462,404 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended March 31, 2016 and 2015, 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 2.3% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 3.5% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, 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 March 30, 2016 at $52.65 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $68.56 per Share and reached its low for the period on March 5, 2015 at $59.47 per Share.

The benchmark’s decline of 2.0% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 3.3% for the three months ended March 31, 2015, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (51,495   $ (63,559

Management fee

    57,998        58,236   

Brokerage commission

    5,756        8,037   

Net realized gain (loss)

    2,594,509        127,909   

Change in net unrealized appreciation/depreciation

    (2,811,348     (761,622

Net income (loss)

  $ (268,334   $ (697,272

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2016.

 

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ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 642,811,361      $ 506,556,124   

NAV end of period

   $ 508,862,366      $ 280,850,972   

Percentage change in NAV

     (20.8 )%      (44.6 )% 

Shares outstanding beginning of period

     12,650,040        8,250,040   

Shares outstanding end of period

     10,050,000        4,150,040   

Percentage change in shares outstanding

     (20.6 )%      (49.7 )% 

Shares created

     14,900,000        2,150,000   

Shares redeemed

     17,500,040        6,250,000   

Per share NAV beginning of period

   $ 50.81      $ 61.40   

Per share NAV end of period

   $ 50.63      $ 67.67   

Percentage change in per share NAV

     (0.4 )%      10.2

Percentage change in benchmark

     (11.7 )%      (18.2 )% 

Benchmark annualized volatility

     72.0     64.4

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,650,040 outstanding Shares at December 31, 2015 to 10,050,000 outstanding Shares at March 31, 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 S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 8,250,040 outstanding Shares at December 31, 2014 to 4,150,040 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2016 and 2015, 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 0.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 10.2% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on March 30, 2016 at $50.96 per Share and reached its low for the period on February 11, 2016 at $31.50 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 30, 2015 at $69.69 per Share and reached its low for the period on January 30, 2015 at $50.15 per Share.

The benchmark’s decline of 11.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 18.2% for the three months ended March 31, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended March 31, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (1,554,854   $ (1,492,492

Management fee

    1,391,819        1,039,580   

Brokerage commission

    480,747        482,841   

Net realized gain (loss)

    (92,210,387     23,834,554   

Change in net unrealized appreciation/depreciation

    54,047,449        23,344,651   

Net income (loss)

  $ (39,717,792   $ 45,686,713   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 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 March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 547,708,740      $ 351,789,953   

NAV end of period

   $ 892,431,755      $ 693,720,084   

Percentage change in NAV

     62.9     97.2

Shares outstanding beginning of period

     19,502,448        2,804,020   

Shares outstanding end of period

     46,352,448        9,134,020   

Percentage change in shares outstanding

     137.7     225.7

Shares created

     47,700,000        9,630,000   

Shares redeemed

     20,850,000        3,300,000   

Per share NAV beginning of period

   $ 28.08      $ 125.46   

Per share NAV end of period

   $ 19.25      $ 75.95   

Percentage change in per share NAV

     (31.4 )%      (39.5 )% 

Percentage change in benchmark

     (11.7 )%      (18.2 )% 

Benchmark annualized volatility

     72.0     64.4

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from an increase from 19,502,448 outstanding Shares at December 31, 2015 to 46,352,448 outstanding Shares at March 31, 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 three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 2,804,020 outstanding Shares at December 31, 2014 to 9,134,020 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2016 and 2015, 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 31.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 39.5% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $57.15 per Share and reached its low for the period on March 30, 2016 at $19.01 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $164.30 per Share and reached its low for the period on March 30, 2015 at $71.80 per Share.

 

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The benchmark’s decline of 11.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 18.2% for the three months ended March 31, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (1,649,007   $ (2,049,613

Management fee

    1,211,901        1,178,762   

Brokerage commission

    735,911        903,310   

Net realized gain (loss)

    11,178,650        (135,089,154

Change in net unrealized appreciation/depreciation

    (223,205,102     (88,510,934

Net income (loss)

  $ (213,675,459   $ (225,649,701

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

 

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

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 8,514,039      $ 5,264,706   

NAV end of period

   $ 8,255,478      $ 5,818,363   

Percentage change in NAV

     (3.0 )%      10.5

Shares outstanding beginning of period

     59,997        59,997   

Shares outstanding end of period

     59,995        59,997   

Percentage change in shares outstanding

     0.0     0.0

Shares created

     —          —     

Shares redeemed

     2        —     

Per share NAV beginning of period

   $ 141.91      $ 87.75   

Per share NAV end of period

   $ 137.60      $ 96.98   

Percentage change in per share NAV

     (3.0 )%      10.5

Percentage change in benchmark

     0.3     (5.9 )% 

Benchmark annualized volatility

     16.9     16.2

During the three months ended March 31, 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 Bloomberg Commodity Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 59,997 outstanding Shares at December 31, 2015 to 59,995 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to March 31, 2015.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 10.5% for the three months ended March 31, 2015, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

 

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During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $164.22 per Share and reached its low for the period on March 17, 2016 at $129.64 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 17, 2015 at $99.65 per Share and reached its low for the period on February 13, 2015 at $86.25 per Share.

The benchmark’s rise of 0.3% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 5.9% for the three months ended March 31, 2015, can be attributed to appreciation of the underlying components of the index during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (16,925   $ (12,318

Management fee

    20,825        12,846   

Net realized gain (loss)

    (127,591     856,549   

Change in net unrealized appreciation/depreciation

    (113,724     (290,574

Net income (loss)

  $ (258,240   $ 553,657   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the Fund’s benchmark index during the three months ended March 31, 2016.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 95,897,894      $ 169,210,110   

NAV end of period

   $ 223,228,004      $ 370,337,005   

Percentage change in NAV

     132.8     118.9

Shares outstanding beginning of period

     719,944        2,169,944   

Shares outstanding end of period

     1,719,942        4,269,944   

Percentage change in shares outstanding

     138.9     96.8

Shares created

     2,700,000        4,600,000   

Shares redeemed

     1,700,002        2,500,000   

Per share NAV beginning of period

   $ 133.20      $ 77.98   

Per share NAV end of period

   $ 129.79      $ 86.73   

Percentage change in per share NAV

     (2.6 )%      11.2

Percentage change in benchmark

     (11.6 )%      (14.9 )% 

Benchmark annualized volatility

     60.8     54.4

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from an increase from 719,944 outstanding Shares at December 31, 2015 to 1,719,942 outstanding Shares at March 31, 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 three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 2,169,944 outstanding Shares at December 31, 2014 to 4,269,944 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

 

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For the three months ended March 31, 2016 and 2015, 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 2.6% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 11.2% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 March 17, 2016 at $110.84 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $106.79 per Share and reached its low for the period on February 17, 2015 at $67.86 per Share.

The benchmark’s decline of 11.6% for the three months ended March 31, 2016, as compared to the decline of 14.9% for the three months ended March 31, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (337,002   $ (627,608

Management fee

    368,250        603,835   

Brokerage commission

    57,864        44,285   

Net realized gain (loss)

    22,306,952        44,657,756   

Change in net unrealized appreciation/depreciation

    (16,737,146     1,432,787   

Net income (loss)

  $ 5,232,804      $ 45,462,935   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 10,462,856      $ 14,688,564   

NAV end of period

   $ 4,993,531      $ 10,931,570   

Percentage change in NAV

     (52.3 )%      (25.6 )% 

Shares outstanding beginning of period

     74,952        174,952   

Shares outstanding end of period

     24,944        124,952   

Percentage change in shares outstanding

     (66.7 )%      (28.6 )% 

Shares created

     50,000        150,000   

Shares redeemed

     100,008        200,000   

Per share NAV beginning of period

   $ 139.59      $ 83.96   

Per share NAV end of period

   $ 200.19      $ 87.49   

Percentage change in per share NAV

     43.4     4.2

Percentage change in benchmark

     (21.8 )%      (11.0 )% 

Benchmark annualized volatility

     41.6     51.0

 

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During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted from a decrease from 74,952 outstanding Shares at December 31, 2015 to 24,944 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 174,952 outstanding Shares at December 31, 2014 to 124,952 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 43.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 4.2% for the three months ended March 31, 2015, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $252.60 per Share and reached its low for the period on January 8, 2016 at $126.15 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on February 6, 2015 at $93.69 per Share and reached its low for the period on January 14, 2015 at $64.60 per Share.

The benchmark’s decline of 21.8% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.0% for the three months ended March 31, 2015, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

Net investment income (loss)

   $ (56,298    $ (41,587

Management fee

     36,919         28,373   

Brokerage commission

     28,947         14,199   

Net realized gain (loss)

     4,115,459         5,179,716   

Change in net unrealized appreciation/depreciation

     2,104,875         (3,081,900

Net income (loss)

   $ 6,164,036       $ 2,056,229   

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2016.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 74,971,764      $ 81,861,762   

NAV end of period

   $ 69,515,807      $ 77,960,614   

Percentage change in NAV

     (7.3 )%      (4.8 )% 

Shares outstanding beginning of period

     646,978        846,978   

Shares outstanding end of period

     846,978        796,978   

 

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     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

Percentage change in shares outstanding

     30.9     (5.9 )% 

Shares created

     600,000        100,000   

Shares redeemed

     400,000        150,000   

Per share NAV beginning of period

   $ 115.88      $ 96.65   

Per share NAV end of period

   $ 82.08      $ 97.82   

Percentage change in per share NAV

     (29.2 )%      1.2

Percentage change in benchmark

     16.7     (1.6 )% 

Benchmark annualized volatility

     21.1     14.9

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The decrease in the Fund’s NAV was offset by an increase from 646,978 outstanding Shares at December 31, 2015 to 846,978 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 846,978 outstanding Shares at December 31, 2014 to 796,978 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended March 31, 2016 and 2015, 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 29.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 March 4, 2016 at $77.66 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 18, 2015 at $104.99 per Share and reached its low for the period on January 22, 2015 at $83.07 per Share.

The benchmark’s rise of 16.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 1.6% for the three months ended March 31, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (116,940   $ (185,696

Management fee

    146,112        193,876   

Brokerage commission

    17        16   

Net realized gain (loss)

    (19,413,156     1,917,930   

Change in net unrealized appreciation/depreciation

    (68,067     697,941   

Net income (loss)

  $ (19,598,163   $ 2,430,175   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

 

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ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 55,987,938      $ 53,007,867   

NAV end of period

   $ 50,479,106      $ 56,504,499   

Percentage change in NAV

     (9.8 )%      6.6

Shares outstanding beginning of period

     866,976        916,978   

Shares outstanding end of period

     1,016,976        1,116,978   

Percentage change in shares outstanding

     17.3     21.8

Shares created

     750,000        500,000   

Shares redeemed

     600,002        300,000   

Per share NAV beginning of period

   $ 64.58      $ 57.81   

Per share NAV end of period

   $ 49.64      $ 50.59   

Percentage change in per share NAV

     (23.1 )%      (12.5 )% 

Percentage change in benchmark

     11.3     3.9

Benchmark annualized volatility

     26.1     27.5

During the three months ended March 31, 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 866,976 outstanding Shares at December 31, 2015 to 1,016,976 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 916,978 outstanding Shares at December 31, 2014 to 1,116,978 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended March 31, 2016 and 2015, 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 23.1% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended March 31, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 March 18, 2016 at $46.41 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $59.69 per Share and reached its low for the period on January 23, 2015 at $43.40 per Share.

The benchmark’s rise of 11.3% for the three months ended March 31, 2016, as compared to the benchmark’s rise of 3.9% for the three months ended March 31, 2015, can be attributed to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (75,735   $ (118,220

Management fee

    95,411        124,355   

Brokerage commission

    8        8   

Net realized gain (loss)

    (5,351,465     (1,361,863

Change in net unrealized appreciation/depreciation

    (4,228,328     (4,329,334

Net income (loss)

  $ (9,655,528   $ (5,809,417

 

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The Fund’s net income decrease for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 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 ProShares UltraShort Silver.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 17,510,898      $ 14,021,804   

NAV end of period

   $ 14,594,528      $ 20,184,003   

Percentage change in NAV

     (16.7 )%      43.9

Shares outstanding beginning of period

     400,005        350,005   

Shares outstanding end of period

     350,000        450,005   

Percentage change in shares outstanding

     (12.5 )%      28.6

Shares created

     —          100,000   

Shares redeemed

     50,005        —     

Per share NAV beginning of period

   $ 43.78      $ 40.06   

Per share NAV end of period

   $ 41.70      $ 44.85   

Percentage change in per share NAV

     (4.8 )%      12.0

Percentage change in benchmark

     4.7     (11.2 )% 

Benchmark annualized volatility

     9.5     13.6

During the three months ended March 31, 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 March 31, 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 March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 350,005 outstanding Shares at December 31, 2014 to 450,005 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2016 and 2015, 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 4.8% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 12.0% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 March 31, 2016 at $41.70 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $46.07 per Share and reached its low for the period on January 2, 2015 at $40.37 per Share.

The benchmark’s rise of 4.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.2% for the three months ended March 31, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (35,145   $ (38,347

Management fee

    40,533        38,859   

Brokerage commission

    750        868   

Net realized gain (loss)

    (54,161     2,057,094   

Change in net unrealized appreciation/depreciation

    (707,033     (275,379

Net income (loss)

  $ (796,339   $ 1,743,368   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 20,460,679      $ 23,120,790   

NAV end of period

   $ 18,028,199      $ 20,104,935   

Percentage change in NAV

     (11.9 )%      (13.0 )% 

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

   $ 51.51      $ 57.44   

Percentage change in per share NAV

     (11.9 )%      11.8

Percentage change in benchmark

     5.2     (6.7 )% 

Benchmark annualized volatility

     13.2     13.0

During the three months ended March 31, 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 in part from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 450,005 outstanding Shares at December 31, 2014 to 350,005 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the three months ended March 31, 2016 and 2015, 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 11.9% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 11.8% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 March 31, 2016 at $51.51 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 11, 2015 at $58.71 per Share and reached its low for the period on January 16, 2015 at $50.32 per Share.

 

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The benchmark’s rise of 5.2% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 6.7% for the three months ended March 31, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

Net investment income (loss)

   $ (45,029    $ (55,714

Management fee

     48,844         52,824   

Brokerage commission

     3,970         3,997   

Net realized gain (loss)

     (1,688,439      2,979,889   

Change in net unrealized appreciation/depreciation

     (698,698      (323,522

Net income (loss)

   $ (2,432,166    $ 2,600,653   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 522,306,518      $ 517,191,349   

NAV end of period

   $ 398,948,519      $ 619,839,556   

Percentage change in NAV

     (23.6 )%      19.8

Shares outstanding beginning of period

     20,450,014        23,950,014   

Shares outstanding end of period

     17,200,000        23,000,014   

Percentage change in shares outstanding

     (15.9 )%      (4.0 )% 

Shares created

     250,000        5,500,000   

Shares redeemed

     3,500,014        6,450,000   

Per share NAV beginning of period

   $ 25.54      $ 21.59   

Per share NAV end of period

   $ 23.19      $ 26.95   

Percentage change in per share NAV

     (9.2 )%      24.8

Percentage change in benchmark

     4.7     (11.2 )% 

Benchmark annualized volatility

     9.5     13.6

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 17,200,000 outstanding Shares at March 31, 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 March 31, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 23,950,014 outstanding Shares at December 31, 2014 to 23,000,014 outstanding Shares at March 31, 2015.

For the three months ended March 31, 2016 and 2015, 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 9.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 24.8% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

 

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During the three months ended March 31, 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 March 31, 2016 at $23.19 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $28.50 per Share and reached its low for the period on January 2, 2015 at $21.94 per Share.

The benchmark’s rise of 4.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.2% for the three months ended March 31, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

Net investment income (loss)

   $ (804,953    $ (1,189,555

Management fee

     1,066,392         1,257,145   

Net realized gain (loss)

     (28,922,044      107,528,339   

Change in net unrealized appreciation/depreciation

     (12,109,124      6,631,469   

Net income (loss)

   $ (41,836,121    $ 112,970,253   

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 237,372,900      $ 531,471,873   

NAV end of period

   $ 175,927,655      $ 440,362,007   

Percentage change in NAV

     (25.9 )%      (17.1 )% 

Shares outstanding beginning of period

     2,699,294        5,949,294   

Shares outstanding end of period

     2,299,290        4,949,294   

Percentage change in shares outstanding

     (14.8 )%      (16.8 )% 

Shares created

     50,000        650,000   

Shares redeemed

     450,004        1,650,000   

Per share NAV beginning of period

   $ 87.94      $ 89.33   

Per share NAV end of period

   $ 76.51      $ 88.97   

Percentage change in per share NAV

     (13.0 )%      (0.4 )% 

Percentage change in benchmark

     6.8     (0.1 )% 

Benchmark annualized volatility

     10.7     8.6

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from decrease from 2,699,294 outstanding Shares at December 31, 2015 to 2,299,290 outstanding Shares at March 31, 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 Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at December 31, 2014 to 4,949,294 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

 

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For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.0% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 0.4% for the three months ended March 31, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 March 17, 2016 at $74.93 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $91.29 per Share and reached its low for the period on January 15, 2015 at $84.11 per Share.

The benchmark’s rise of 6.8% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 0.1% for the three months ended March 31, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (400,797   $ (1,116,544

Management fee

    469,145        1,161,592   

Net realized gain (loss)

    (37,622,811     (5,105,291

Change in net unrealized appreciation/depreciation

    8,945,356        2,237,926   

Net income (loss)

  $ (29,078,252   $ (3,983,909

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

ProShares Ultra Bloomberg Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 7,105,984      $ 2,606,920   

NAV end of period

   $ 5,665,434      $ 2,282,908   

Percentage change in NAV

     (20.3 )%      (12.4 )% 

Shares outstanding beginning of period

     249,965        50,004   

Shares outstanding end of period

     199,961        50,004   

Percentage change in shares outstanding

     (20.0 )%      0.0

Shares created

     —          —     

Shares redeemed

     50,004        —     

Per share NAV beginning of period

   $ 28.43      $ 52.13   

Per share NAV end of period

   $ 28.33      $ 45.65   

Percentage change in per share NAV

     (0.4 )%      (12.4 )% 

Percentage change in benchmark

     0.3     (5.9 )% 

Benchmark annualized volatility

     16.9     16.2

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 249,965 outstanding Shares at December 31, 2015 to 199,961 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results

 

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

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 12.4% for the three months ended March 31, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 17, 2016 at $30.15 per Share and reached its low for the period on January 20, 2016 at $24.42 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on February 13, 2015 at $51.96 per Share and reached its low for the period on March 17, 2015 at $44.64 per Share.

The benchmark’s rise of 0.3% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 5.9% for the three months ended March 31, 2015, can be attributed to appreciation of the underlying components of the index during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (11,938   $ (5,519

Management fee

    13,438        5,773   

Net realized gain (loss)

    (290,262     (520,445

Change in net unrealized appreciation/depreciation

    107,354        201,952   

Net income (loss)

  $ (194,846   $ (324,012

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the Fund’s benchmark index during the three months ended March 31, 2016.

 

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 783,922,475      $ 450,562,988   

NAV end of period

   $ 807,934,402      $ 1,004,631,028   

Percentage change in NAV

     3.1     123.0

Shares outstanding beginning of period

     62,327,867        8,879,834   

Shares outstanding end of period

     89,827,866        29,439,834   

Percentage change in shares outstanding

     44.1     231.5

Shares created

     53,400,000        27,250,000   

Shares redeemed

     25,900,001        6,690,000   

Per share NAV beginning of period

   $ 12.58      $ 50.74   

Per share NAV end of period

   $ 8.99      $ 34.12   

Percentage change in per share NAV

     (28.5 )%      (32.8 )% 

 

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     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

Percentage change in benchmark

     (11.6 )%      (14.9 )% 

Benchmark annualized volatility

     60.8     54.4

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 62,327,867 outstanding Shares at December 31, 2015 to 89,827,866 outstanding Shares at March 31, 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 March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 8,879,834 outstanding Shares at December 31, 2014 to 29,439,834 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended March 31, 2016 and 2015, 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 28.5% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 32.8% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 4, 2016 at $12.43 per Share and reached its low for the period on February 11, 2016 at $6.01 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $49.60 per Share and reached its low for the period on March 17, 2015 at $31.05 per Share.

The benchmark’s decline of 11.6% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 14.9% for the three months ended March 31, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (1,525,927   $ (1,844,712

Management fee

    1,812,678        1,843,701   

Brokerage commission

    164,313        77,253   

Net realized gain (loss)

    (253,364,659     (173,638,923

Change in net unrealized appreciation/depreciation

    95,262,555        (19,680,648

Net income (loss)

  $ (159,628,031   $ (195,164,283

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

 

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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 March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 38,851,184      $ 70,433,207   

NAV end of period

   $ 28,612,516      $ 61,306,293   

Percentage change in NAV

     (26.4 )%      (13.0 )% 

Shares outstanding beginning of period

     2,092,170        1,142,485   

Shares outstanding end of period

     2,642,169        1,342,485   

Percentage change in shares outstanding

     26.3     17.5

Shares created

     1,100,000        512,500   

Shares redeemed

     550,001        312,500   

Per share NAV beginning of period

   $ 18.57      $ 61.65   

Per share NAV end of period

   $ 10.83      $ 45.67   

Percentage change in per share NAV

     (41.7 )%      (25.9 )% 

Percentage change in benchmark

     (21.8 )%      (11.0 )% 

Benchmark annualized volatility

     41.6     51.0

During the three months ended March 31, 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 2,642,169 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 1,142,485 outstanding Shares at December 31, 2014 to 1,342,485 outstanding Shares at March 31, 2015.

For the three months ended March 31, 2016 and 2015, 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 41.7% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 25.9% for the three months ended March 31, 2015, was due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 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 three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 14, 2015 at $74.32 per Share and reached its low for the period on March 27, 2015 at $45.64 per Share.

The benchmark’s decline of 21.8% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.0% for the three months ended March 31, 2015, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (88,761   $ (206,884

Management fee

    68,744        172,808   

Brokerage commission

    31,749        39,718   

Net realized gain (loss)

    (5,858,719     (45,832,509

Change in net unrealized appreciation/depreciation

    (7,194,946     27,450,969   

Net income (loss)

  $ (13,142,426   $ (18,588,424

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a decrease in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the three months ended March 31, 2016, as compared to the three months ended March 31, 2015.

 

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.

 

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ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 69,864,815      $ 102,003,345   

NAV end of period

   $ 91,724,555      $ 95,949,460   

Percentage change in NAV

     31.3     (5.9 )% 

Shares outstanding beginning of period

     2,350,014        2,550,014   

Shares outstanding end of period

     2,300,000        2,500,014   

Percentage change in shares outstanding

     (2.1 )%      (2.0 )% 

Shares created

     100,000        50,000   

Shares redeemed

     150,014        100,000   

Per share NAV beginning of period

   $ 29.73      $ 40.00   

Per share NAV end of period

   $ 39.88      $ 38.38   

Percentage change in per share NAV

     34.1     (4.1 )% 

Percentage change in benchmark

     16.7     (1.6 )% 

Benchmark annualized volatility

     21.1     14.9

During the three months ended March 31, 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 2,300,000 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,550,014 outstanding Shares at December 31, 2014 to 2,500,014 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended March 31, 2016 and 2015, 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 34.1% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 4.1% for the three months ended March 31, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 4, 2016 at $42.73 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 22, 2015 at $46.03 per Share and reached its low for the period on March 18, 2015 at $35.90 per Share.

The benchmark’s rise of 16.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 1.6% for the three months ended March 31, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

Net investment income (loss)

   $ (152,453    $ (227,743

Management fee

     198,822         240,465   

 

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    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Brokerage commission

    17        16   

Net realized gain (loss)

    25,983,542        (2,985,848

Change in net unrealized appreciation/depreciation

    (2,907,406     (388,373

Net income (loss)

  $ 22,923,683      $ (3,601,964

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 216,416,642      $ 291,169,743   

NAV end of period

   $ 263,338,473      $ 317,182,857   

Percentage change in NAV

     21.7     8.9

Shares outstanding beginning of period

     7,996,533        7,396,533   

Shares outstanding end of period

     8,046,526        7,646,533   

Percentage change in shares outstanding

     0.6     3.4

Shares created

     650,000        700,000   

Shares redeemed

     600,007        450,000   

Per share NAV beginning of period

   $ 27.06      $ 39.37   

Per share NAV end of period

   $ 32.73      $ 41.48   

Percentage change in per share NAV

     20.9     5.4

Percentage change in benchmark

     11.3     3.9

Benchmark annualized volatility

     26.1     27.5

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted primarily from an increase 7,996,533 outstanding Shares at December 31, 2015 to 8,046,526 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 7,396,533 outstanding Shares at December 31, 2014 to 7,646,533 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 20.9% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 5.4% for the three months ended March 31, 2015, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 18, 2016 at $35.24 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 23, 2015 at $50.86 per Share and reached its low for the period on March 18, 2015 at $36.18 per Share.

The benchmark’s rise of 11.3% for the three months ended March 31, 2016, as compared to the benchmark’s rise of 3.9% for the three months ended March 31, 2015, can be attributed to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2016.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

    Three Months Ended     Three Months Ended  
    March 31, 2016     March 31, 2015  

Net investment income (loss)

  $ (458,870   $ (699,839

Management fee

    580,470        738,077   

Brokerage commission

    10        8   

Net realized gain (loss)

    34,113,864        (17,764,350

Change in net unrealized appreciation/depreciation

    11,464,138        35,015,135   

Net income (loss)

  $ 45,119,132      $ 16,550,946   

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2016.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 10,857,730      $ 2,981,441   

NAV end of period

   $ 10,961,778      $ 14,765,776   

Percentage change in NAV

     1.0     395.3

Shares outstanding beginning of period

     700,014        150,014   

Shares outstanding end of period

     650,000        950,014   

Percentage change in shares outstanding

     (7.1 )%      533.3

Shares created

     —          800,000   

Shares redeemed

     50,014        —     

Per share NAV beginning of period

   $ 15.51      $ 19.87   

Per share NAV end of period

   $ 16.86      $ 15.54   

Percentage change in per share NAV

     8.7     (21.8 )% 

Percentage change in benchmark

     4.7     (11.2 )% 

Benchmark annualized volatility

     9.5     13.6

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 700,014 outstanding Shares at December 31, 2015 to 650,000 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 950,014 outstanding Shares at March 31, 2015. The increase of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2016 and 2015, 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 8.7% for the three months ended March 31, 2016, as compared to Fund’s per Share NAV decrease of 21.8% for the three months ended March 31, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 31, 2016 at $16.86 per Share and reached its low for the period on January 5, 2016 at $15.17 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $19.55 per Share and reached its low for the period on March 13, 2015 at $14.80 per Share.

 

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The benchmark’s rise of 4.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.2% for the three months ended March 31, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

Net investment income (loss)

   $ (20,743    $ (15,698

Management fee

     25,706         16,232   

Net realized gain (loss)

     504,600         (1,065,202

Change in net unrealized appreciation/depreciation

     391,950         (675,335

Net income (loss)

   $ 875,807       $ (1,756,235

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

ProShares Ultra Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended     Three Months Ended  
     March 31, 2016     March 31, 2015  

NAV beginning of period

   $ 5,473,848      $ 2,118,028   

NAV end of period

   $ 6,194,007      $ 5,600,081   

Percentage change in NAV

     13.2     164.4

Shares outstanding beginning of period

     99,974        37,504   

Shares outstanding end of period

     99,970        100,004   

Percentage change in shares outstanding

     0.0     166.6

Shares created

     —          75,000   

Shares redeemed

     4        12,500   

Per share NAV beginning of period

   $ 54.75      $ 56.47   

Per share NAV end of period

   $ 61.96      $ 56.00   

Percentage change in per share NAV

     13.2     (0.8 )% 

Percentage change in benchmark

     6.8     (0.1 )% 

Benchmark annualized volatility

     10.7     8.6

During the three months ended March 31, 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 of the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 37,504 outstanding Shares at December 31, 2014 to 100,004 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

 

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For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended March 31, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 17, 2016 at $63.32 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $59.84 per Share and reached its low for the period on March 13, 2015 at $54.72 per Share.

The benchmark’s rise of 6.8% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 0.1% for the three months ended March 31, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2016 and 2015:

 

     Three Months Ended      Three Months Ended  
     March 31, 2016      March 31, 2015  

Net investment income (loss)

   $ (11,106    $ (9,090

Management fee

     14,000         9,381   

Net realized gain (loss)

     832,221         (80,626

Change in net unrealized appreciation/depreciation

     (100,757      (26,127

Net income (loss)

   $ 720,358       $ (115,843

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

 

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

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 March 31, 2016 and 2015, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Long    April 2016      5,157       $ 15.93         1,000       $ 82,125,225   

VIX Futures (CBOE)

   Long    May 2016      4,373         17.63         1,000         77,074,125   

 

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Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Long    April 2015      4,166       $ 16.28         1,000       $ 67,801,650   

VIX Futures (CBOE)

   Long    May 2015      4,594         17.83         1,000         81,888,050   

The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Long    July 2016      274       $ 19.08         1,000       $ 5,226,550   

VIX Futures (CBOE)

   Long    August 2016      506         19.28         1,000         9,753,150   

VIX Futures (CBOE)

   Long    September 2016      506         19.83         1,000         10,031,450   

VIX Futures (CBOE)

   Long    October 2016      231         20.08         1,000         4,637,325   

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Long    July 2015      235       $ 18.68         1,000       $ 4,388,625   

VIX Futures (CBOE)

   Long    August 2015      497         18.88         1,000         9,380,875   

VIX Futures (CBOE)

   Long    September 2015      497         19.18         1,000         9,529,975   

VIX Futures (CBOE)

   Long    October 2015      261         19.48         1,000         5,082,975   

The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

 

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Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Short    April 2016      16,500       $ 15.93         1,000       $ (262,762,500

VIX Futures (CBOE)

   Short    May 2016      13,930         17.63         1,000         (245,516,250

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Short    April 2015      7,729       $ 16.28         1,000       $ (125,789,475

VIX Futures (CBOE)

   Short    May 2015      8,675         17.83         1,000         (154,631,875

The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Long    April 2016      57,867       $ 15.93         1,000       $ 921,531,975   

VIX Futures (CBOE)

   Long    May 2016      49,020         17.63         1,000         863,977,500   

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

VIX Futures (CBOE)

   Long    April 2015      38,547       $ 16.28         1,000       $ 627,352,425   

VIX Futures (CBOE)

   Long    May 2015      42,693         17.83         1,000         761,002,725   

The March 31, 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.

 

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Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of March 31, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of March 31, 2016 and 2015, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2016

 

          Long or    Index      Notional Amount  

Reference Index

   Counterparty    Short    Close      at Value  

Bloomberg Commodity Index

   Citibank N.A.    Short    $ 78.8272       $ (4,811,471

Bloomberg Commodity Index

   Deutsche Bank AG    Short      78.8272         (4,180,637

Bloomberg Commodity Index

   Goldman Sachs International    Short      78.8272         (5,228,697

Bloomberg Commodity Index

   UBS AG    Short      78.8272         (2,282,668

Swap Agreements as of March 31, 2015

 

          Long or    Index      Notional Amount  

Reference Index

   Counterparty    Short    Close      at Value  

Bloomberg Commodity Index

   Deutsche Bank AG    Short    $ 98.1230       $ (4,602,773

Bloomberg Commodity Index

   Goldman Sachs International    Short      98.1230         (4,537,347

Bloomberg Commodity Index

   UBS AG    Short      98.1230         (2,475,856

The March 31, 2016 and 2015 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K, for additional information regarding performance for periods longer than a single day.

Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

     Short         May 2016         3,538       $ 38.34         1,000       $ (135,646,920

 

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Swap Agreements as of March 31, 2016

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Short    $ 70.0734       $ (98,080,126

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short      70.0734         (17,672,671

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      70.0734         (94,336,118

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      70.0734         (7,342,178

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      70.0734         (93,281,947

Futures Positions as of March 31, 2015

 

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    May 2015      6,624       $ 47.60         1,000       $ (315,302,400

Swap Agreements as of March 31, 2015

 

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Short    $ 121.3015       $ (137,750,775

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      121.3015         (126,651,917

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      121.3015         (35,138,342

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      121.3015         (125,826,188

The March 31, 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 March 31, 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 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short         May 2016         510       $ 1.96         10,000       $ (9,990,900

 

Futures Positions as of March 31, 2015

 

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

     Short         May 2015         828       $ 2.64         10,000       $ (21,859,200

 

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The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Gold Futures (COMEX)

   Short    June 2016      2       $ 1,235.60         100       $ (247,120

Forward Agreements as of March 31, 2016

 

          Long or    Valuation      Notional
Amount at
 

Reference Index

   Counterparty    Short    Price      Value  

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Short    $ 1,237.11       $ (20,412,315

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short      1,237.18         (65,694,258

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,237.11         (27,585,079

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,237.12         (4,948,480

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,237.11         (20,103,038

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Gold Futures (COMEX)

   Short    June 2015      2       $ 1,183.20         100       $ (236,640

Forward Agreements as of March 31, 2015

 

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at
Value
 

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Short    $ 1,187.04       $ (75,851,856

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,187.03         (34,302,793

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,187.02         (15,549,962

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,187.03         (29,972,508

The March 31, 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 March 31, 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.

 

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ProShares UltraShort Silver:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Silver Futures (COMEX)

   Short    May 2016      2       $ 15.46         5,000       $ (154,640

Forward Agreements as of March 31, 2016

 

          Long or    Valuation      Notional Amount  

Reference Index

   Counterparty    Short    Price      at Value  

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Short    $ 15.3821       $ (27,303,228

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short      15.3825         (46,916,625

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      15.3818         (18,035,161

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      15.3818         (2,399,561

0.999 Fine Troy Ounce Silver

   UBS AG    Short      15.3819         (6,137,378

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Silver Futures (COMEX)

   Short    May 2015      2       $ 16.60         5,000       $ (165,980

Forward Agreements as of March 31, 2015

 

          Long or    Valuation      Notional Amount  

Reference Index

   Counterparty    Short    Price      at Value  

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Short    $ 16.6018       $ (50,784,906

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      16.6013         (26,487,374

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      16.6016         (9,081,075

0.999 Fine Troy Ounce Silver

   UBS AG    Short      16.6016         (26,479,552

The March 31, 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 March 31, 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 March 31, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Euro Fx Currency Futures (CME)

   Short    June 2016      102       $ 1.1412         125,000       $ (14,550,300

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Euro Fx Currency Futures (CME)

   Short    June 2015      150       $ 1.08         125,000       $ (20,163,750

The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Australian Dollar Fx Currency Futures (CME)

   Short    June 2016      473       $ 76.50         1,000       $ (36,184,500

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional Amount  

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Australian Dollar Fx Currency Futures (CME)

   Short    June 2015      530       $ 75.81         1,000       $ (40,179,300

The March 31, 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.

 

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ProShares UltraShort Euro:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2016

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

  

Counterparty

   Short    Date      Euro     Rate      USD  

Euro

   Goldman Sachs International    Long      04/08/16         89,144,000        1.1380       $ 101,449,638   

Euro

   UBS AG    Long      04/08/16         77,106,900        1.1380         87,750,910   

Euro

   Goldman Sachs International    Short      04/08/16         (431,465,225     1.1380         (491,025,655

Euro

   UBS AG    Short      04/08/16         (435,284,100     1.1380         (495,371,696

Foreign Currency Forward Contracts as of March 31, 2015

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

  

Counterparty

   Short    Date      Euro     Rate      USD  

Euro

   Goldman Sachs International    Long      04/10/15         81,791,800        1.0749       $ 87,926,805   

Euro

   UBS AG    Long      04/10/15         110,930,600        1.0749         119,251,236   

Euro

   Goldman Sachs International    Short      04/10/15         (617,582,525     1.0749         (663,905,895

Euro

   UBS AG    Short      04/10/15         (728,286,800     1.0749         (782,913,830

The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

 

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Foreign Currency Forward Contracts as of March 31, 2016

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

  

Counterparty

   Short    Date      Yen     Rate      USD  

Yen

  

Goldman Sachs International

   Long      04/08/16         2,385,377,000        0.008887       $ 21,199,635   

Yen

   UBS AG    Long
    
04/08/16
  
    
3,131,185,600
  
   
0.008887
  
    
27,827,883
  

Yen

  

Goldman Sachs International

   Short      04/08/16         (21,973,527,200     0.008887         (195,286,011

Yen

   UBS AG    Short      04/08/16         (23,150,283,500     0.008887         (205,744,233

Foreign Currency Forward Contracts as of March 31, 2015

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

   Counterparty    Short    Date      Yen     Rate      USD  

Yen

   Goldman Sachs International    Long      04/10/15         20,565,620,300        0.008338       $ 171,495,639   

Yen

   UBS AG    Long      04/10/15         5,923,386,600        0.008338         49,394,813   

Yen

   Goldman Sachs International    Short      04/10/15         (68,851,569,600     0.008338         (574,149,660

Yen

   UBS AG    Short      04/10/15         (63,324,691,700     0.008338         (528,061,312

The March 31, 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. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of March 31, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Commodity:

As of March 31, 2016 and 2015, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2016

 

                      Notional  
          Long or           Amount at  

Reference Index

   Counterparty    Short    Index Close      Value  

Bloomberg Commodity Index

   Citibank N.A.    Long    $ 78.8272       $ 2,970,943   

Bloomberg Commodity Index

   Deutsche Bank AG    Long      78.8272         3,186,346   

Bloomberg Commodity Index

   Goldman Sachs International    Long      78.8272         3,655,071   

Bloomberg Commodity Index

   UBS AG    Long      78.8272         1,528,768   

 

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Swap Agreements as of March 31, 2015

 

                      Notional  
          Long or           Amount at  

Reference Index

   Counterparty    Short    Index Close      Value  

Bloomberg Commodity Index    

   Deutsche Bank AG    Long    $ 98.1230       $ 1,972,023   

Bloomberg Commodity Index

   Goldman Sachs International    Long      98.1230         1,999,276   

Bloomberg Commodity Index

   UBS AG    Long      98.1230         603,138   

The March 31, 2016 and 2015 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

                                    Notional  
     Long or                Valuation      Contract      Amount at  

Contract

   Short    Expiration    Contracts      Price      Multiplier      Value  

WTI Crude Oil (NYMEX)

   Long    May 2016      10,702       $ 38.34         1,000       $ 410,314,680   

Swap Agreements as of March 31, 2016

 

                      Notional  
          Long or           Amount at  

Reference Index

   Counterparty    Short    Index Close      Value  

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Long    $ 70.0734       $ 317,395,142   

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long      70.0734         262,836,687   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      70.0734         258,118,575   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      70.0734         89,071,976   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      70.0734         277,873,304   

Futures Positions as of March 31, 2015

 

                                    Notional  
     Long or                Valuation      Contract      Amount at  

Contract

   Short    Expiration    Contracts      Price      Multiplier      Value  

WTI Crude Oil (NYMEX)

   Long    May 2015      13,821       $ 47.60         1,000       $ 657,879,600   

Swap Agreements as of March 31, 2015

 

                      Notional  
          Long or           Amount at  

Reference Index

   Counterparty    Short    Index Close      Value  

Bloomberg WTI Crude Oil Subindex

   Deutsche Bank AG    Long    $ 121.3015       $ 406,797,888   

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      121.3015         417,976,514   

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      121.3015         123,097,457   

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      121.3015         403,481,056   

 

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The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Natural Gas (NYMEX)

   Long    May 2016      2,921       $ 1.96         10,000       $ 57,222,390   
Futures Positions as of March 31, 2015   
     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Natural Gas (NYMEX)

   Long    May 2015      4,644       $ 2.64         10,000       $ 122,601,600   

The March 31, 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. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Gold Futures (COMEX)

   Long    June 2016      2       $ 1,235.60         100       $ 247,120   

 

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Forward Agreements as of March 31, 2016

 

          Long or    Valuation      Notional
Amount
 

Reference Index

   Counterparty    Short    Price      at Value  

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,237.11       $ 35,752,479   

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long      1,237.18         60,250,666   

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,237.11         36,890,620   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,237.12         19,051,648   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,237.11         31,175,172   

Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Gold Futures (COMEX)

   Long    June 2015      2       $ 1,183.20         100       $ 236,640   

Forward Agreements as of March 31, 2015

 

          Long or    Valuation      Notional
Amount
 

Reference Index

   Counterparty    Short    Price      at Value  

0.995 Fine Troy Ounce Gold

   Deutsche Bank AG    Long    $ 1,187.04       $ 97,693,392   

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,187.03         39,551,840   

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,187.02         18,873,618   

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,187.03         35,492,197   

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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. 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 March 31, 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 March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Silver Futures (COMEX)

   Long    May 2016      2       $ 15.46         5,000       $ 154,640   

Forward Agreements as of March 31, 2016

 

          Long or    Valuation      Notional
Amount
 

Reference Index

   Counterparty    Short    Price      at Value  

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 15.3821       $ 130,793,996   

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long      15.3825         104,059,536   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      15.3818         132,588,040   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      15.3818         53,590,191   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      15.3819         105,381,397   

 

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Futures Positions as of March 31, 2015

 

     Long or                Valuation      Contract      Notional
Amount
 

Contract

   Short    Expiration    Contracts      Price      Multiplier      at Value  

Silver Futures (COMEX)

   Long    May 2015      2       $ 16.60         5,000       $ 165,980   

Forward Agreements as of March 31, 2015

 

          Long or    Valuation      Notional
Amount
 

Reference Index

   Counterparty    Short    Price      at Value  

0.999 Fine Troy Ounce Silver

   Deutsche Bank AG    Long    $ 16.6018       $ 320,198,917   

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      16.6013         121,235,974   

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      16.6016         70,639,808   

0.999 Fine Troy Ounce Silver

   UBS AG    Long      16.6016         122,104,768   

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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.

Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of March 31, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2016

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

   Counterparty    Short    Date      Euro     Rate      USD  

Euro

   Goldman Sachs International    Long      04/08/16         9,584,125        1.1380       $ 10,907,140   

Euro

   UBS AG    Long      04/08/16         10,055,900        1.1380         11,444,039   

Euro

   Goldman Sachs International    Short      04/08/16         (208,900     1.1380         (237,737

Euro

   UBS AG    Short      04/08/16         (166,300     1.1380         (189,256

 

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Foreign Currency Forward Contracts as of March 31, 2015

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

   Counterparty    Short    Date      Euro     Rate      USD  

Euro

   Goldman Sachs International    Long      04/10/15         15,842,925        1.0749       $ 17,031,264   

Euro

   UBS AG    Long      04/10/15         14,064,800        1.0749         15,119,767   

Euro

   Goldman Sachs International    Short      04/10/15         (1,344,700     1.0749         (1,445,563

Euro

   UBS AG    Short      04/10/15         (1,092,000     1.0749         (1,173,908

The March 31, 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.

ProShares Ultra Yen:

As of March 31, 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 March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2016

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

   Counterparty    Short    Date      Yen     Rate      USD  

Yen

   Goldman Sachs International    Long      04/08/16         899,107,100        0.008887       $ 7,990,662   

Yen

   UBS AG    Long      04/08/16         536,458,900        0.008887         4,767,688   

Yen

   Goldman Sachs International    Short      04/08/16         (13,926,600     0.008887         (123,770

Yen

   UBS AG    Short      04/08/16         (29,031,300     0.008887         (258,011

Foreign Currency Forward Contracts as of March 31, 2015

 

          Long                           
          or    Settlement            Forward      Market Value  

Reference Currency

   Counterparty    Short    Date      Yen     Rate      USD  

Yen

   Goldman Sachs International    Long      04/10/15         898,339,400        0.008338       $ 7,491,206   

Yen

   UBS AG    Long      04/10/15         645,732,000        0.008338         5,384,726   

Yen

   Goldman Sachs International    Short      04/10/15         (17,456,500     0.008338         (145,569

Yen

   UBS AG    Short      04/10/15         (185,698,000     0.008338         (1,548,526

The March 31, 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

 

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the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Qualitative Disclosure

As described above in Item 2 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.

 

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Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9) -1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8) -1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9) -1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8) -1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

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

 

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should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds or UltraShort Funds will generally decrease when the index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds 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 March 31, 2016, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 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 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

 

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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. 333-202725) 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

 

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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 March 31, 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.

 

                   Sale Price of  
            Shares Sold      Shares Sold For  
     Amount      For the      the  
     Registered      Three Months      Three Months  
Title of    As of      Ended      Ended  

Securities Registered

   March 31, 2016      March 31, 2016      March 31, 2016  

ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest

   $ 1,718,627,430         8,575,000       $ 109,580,353   

ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest

   $ 619,302,925         150,000       $ 8,345,497   

ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest

   $ 3,523,329,093         14,900,000       $ 601,501,561   

ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest

   $ 5,743,979,340         47,700,000       $ 1,394,232,078   

ProShares UltraShort Bloomberg Commodity
Common Units of Beneficial Interest

   $ 172,839,931         —         $ —     

ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest

   $ 1,732,812,198         2,700,000       $ 462,946,925   

ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest

   $ 412,030,981         50,000       $ 7,446,378   

ProShares UltraShort Gold
Common Units of Beneficial Interest

   $ 227,743,198         600,000       $ 49,855,817   

ProShares UltraShort Silver
Common Units of Beneficial Interest

   $ 2,083,528,399         750,000       $ 39,832,736   

ProShares Short Euro
Common Units of Beneficial Interest

   $ 174,672,977         —         $ —     

ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest

   $ 172,771,084         —         $ —     

ProShares UltraShort Euro
Common Units of Beneficial Interest

   $ 1,964,652,656         250,000       $ 5,936,565   

ProShares UltraShort Yen
Common Units of Beneficial Interest

   $ 917,447,489         50,000       $ 3,910,497   

ProShares Ultra Bloomberg Commodity
Common Units of Beneficial Interest

   $ 129,604,130         —         $ —     

 

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ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest

   $ 4,855,091,956         53,400,000       $ 422,801,911   

ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest

   $ 540,275,387         1,100,000       $ 10,168,033   

ProShares Ultra Gold
Common Units of Beneficial Interest

   $ 279,990,487         100,000       $ 4,103,970   

ProShares Ultra Silver
Common Units of Beneficial Interest

   $ 1,401,481,664         650,000       $ 21,276,467   

ProShares Ultra Euro
Common Units of Beneficial Interest

   $ 126,652,323         —         $ —     

ProShares Ultra Yen
Common Units of Beneficial Interest

   $ 138,726,333         —         $ —     

Total:

   $ 26,935,559,981         130,975,000       $ 3,141,938,788   

 

  (b) From January 1, 2016 to March 31, 2016, the number of Shares redeemed and average price per Share for each Fund were as follows:

 

     Total Number of      Average Price  

Fund

   Shares Redeemed      Per Share  

ProShares VIX Short-Term Futures ETF

     

01/01/16 to 01/31/16

     2,600,001       $ 16.25   

02/01/16 to 02/29/16

     250,000       $ 18.86   

03/01/16 to 03/31/16

     —         $ —     

ProShares VIX Mid-Term Futures ETF

     

01/01/16 to 01/31/16

     1       $ 64.00   

02/01/16 to 02/29/16

     100,000       $ 60.77   

03/01/16 to 03/31/16

     —         $ —     

ProShares Short VIX Short-Term Futures ETF

     

01/01/16 to 01/31/16

     7,450,040       $ 37.71   

02/01/16 to 02/29/16

     5,200,000       $ 36.65   

03/01/16 to 03/31/16

     4,850,000       $ 46.24   

ProShares Ultra VIX Short-Term Futures ETF

     

01/01/16 to 01/31/16

     14,500,000       $ 38.99   

02/01/16 to 02/29/16

     5,100,000       $ 46.98   

03/01/16 to 03/31/16

     1,250,000       $ 24.66   

ProShares UltraShort Bloomberg Commodity

     

01/01/16 to 01/31/16

     2       $ 160.50   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     —         $ —     

ProShares UltraShort Bloomberg Crude Oil

     

01/01/16 to 01/31/16

     1,000,002       $ 207.27   

02/01/16 to 02/29/16

     700,000       $ 190.83   

03/01/16 to 03/31/16

     —         $ —     

ProShares UltraShort Bloomberg Natural Gas

     

01/01/16 to 01/31/16

     7       $ 164.71   

02/01/16 to 02/29/16

     50,000       $ 175.78   

03/01/16 to 03/31/16

     50,001       $ 205.79   

ProShares UltraShort Gold

     

01/01/16 to 01/31/16

     50,000       $ 103.86   

02/01/16 to 02/29/16

     350,000       $ 87.20   

03/01/16 to 03/31/16

     —         $ —     

ProShares UltraShort Silver

     

01/01/16 to 01/31/16

     450,000       $ 62.75   

02/01/16 to 02/29/16

     50,000       $ 51.94   

03/01/16 to 03/31/16

     100,002       $ 48.51   

ProShares Short Euro

     

01/01/16 to 01/31/16

     5       $ 43.60   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     50,000       $ 42.40   

ProShares UltraShort Australian Dollar

     

01/01/16 to 01/31/16

     5       $ 62.80   

02/01/16 to 02/29/16

     —         $ —     

 

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03/01/16 to 03/31/16

     —         $ —     

ProShares UltraShort Euro

     

01/01/16 to 01/31/16

     1,850,014       $ 25.47   

02/01/16 to 02/29/16

     1,250,000       $ 24.31   

03/01/16 to 03/31/16

     400,000       $ 24.88   

ProShares UltraShort Yen

     

01/01/16 to 01/31/16

     200,004       $ 85.38   

02/01/16 to 02/29/16

     250,000       $ 76.80   

03/01/16 to 03/31/16

     —         $ —     

ProShares Ultra Bloomberg Commodity

     

01/01/16 to 01/31/16

     50,004       $ 24.91   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     —         $ —     

ProShares Ultra Bloomberg Crude Oil

     

01/01/16 to 01/31/16

     4,800,001       $ 9.38   

02/01/16 to 02/29/16

     5,850,000       $ 7.72   

03/01/16 to 03/31/16

     15,250,000       $ 9.77   

ProShares Ultra Bloomberg Natural Gas

     

01/01/16 to 01/31/16

     150,001       $ 20.23   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     400,000       $ 10.58   

ProShares Ultra Gold

     

01/01/16 to 01/31/16

     100,014       $ 32.24   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     50,000       $ 38.86   

ProShares Ultra Silver

     

01/01/16 to 01/31/16

     100,007       $ 27.90   

02/01/16 to 02/29/16

     300,000       $ 33.62   

03/01/16 to 03/31/16

     200,000       $ 32.98   

ProShares Ultra Euro

     

01/01/16 to 01/31/16

     14       $ 15.57   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     50,000       $ 15.43   

ProShares Ultra Yen

     

01/01/16 to 01/31/16

     4       $ 49.75   

02/01/16 to 02/29/16

     —         $ —     

03/01/16 to 03/31/16

     —         $ —     

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: May 9, 2016

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial Officer
Date: May 9, 2016

 

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