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ProShares Trust II - Quarter Report: 2018 September (Form 10-Q)

10-Q
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

for the quarterly period ended September 30, 2018.

or

 

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

for the transition period from                      to                     .

Commission file number: 001-34200

 

 

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

 

 

 

Delaware   87-6284802

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240) 497-6400

(Registrant’s telephone number, including area code)

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

 

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

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

 

 

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files).    ☒  Yes     ☐  No

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

 

Large Accelerated Filer      Accelerated Filer  
Non-Accelerated Filer      Smaller Reporting Company  
Emerging Growth Company       

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

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

 

 

 


Table of Contents

PROSHARES TRUST II

Table of Contents

 

     Page  

Part I. FINANCIAL INFORMATION

  

Item 1. Financial Statements

     3  

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

     154  

Item 3. Quantitative and Qualitative Disclosures About Market Risk

     215  

Item 4. Controls and Procedures

     232  

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings

     233  

Item 1A. Risk Factors

     233  

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

     233  

Item 3. Defaults Upon Senior Securities

     238  

Item 4. Mine Safety Disclosures

     238  

Item 5. Other Information

     238  

Item 6. Exhibits

     239  

 

2


Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.

Index

 

     Page  

Documents

  

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

  

ProShares Short Euro

     4  

ProShares Short VIX Short-Term Futures ETF

     9  

ProShares Ultra Bloomberg Crude Oil

     14  

ProShares Ultra Bloomberg Natural Gas

     19  

ProShares Ultra Euro

     24  

ProShares Ultra Gold

     29  

ProShares Ultra Silver

     34  

ProShares Ultra VIX Short-Term Futures ETF

     39  

ProShares Ultra Yen

     44  

ProShares UltraPro 3x Crude Oil ETF

     49  

ProShares UltraPro 3x Short Crude Oil ETF

     54  

ProShares UltraShort Australian Dollar

     59  

ProShares UltraShort Bloomberg Crude Oil

     64  

ProShares UltraShort Bloomberg Natural Gas

     69  

ProShares UltraShort Euro

     74  

ProShares UltraShort Gold

     79  

ProShares UltraShort Silver

     84  

ProShares UltraShort Yen

     89  

ProShares VIX Mid-Term Futures ETF

     94  

ProShares VIX Short-Term Futures ETF

     99  

ProShares Trust II

     104  

Notes to Financial Statements

     108  

 

3


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 3,683,351      $ 923,063  

Segregated cash balances with brokers for futures contracts

     146,740        122,430  

Short-term U.S. government and agency obligations (Note 3)
(cost $4,489,996 and $6,996,595, respectively)

     4,489,617        6,996,235  

Receivable on open futures contracts

     103,916        —    

Interest receivable

     1,162        —    
  

 

 

    

 

 

 

Total assets

     8,424,786        8,041,728  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —          43,311  

Payable to Sponsor

     6,543        6,537  
  

 

 

    

 

 

 

Total liabilities

     6,543        49,848  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     8,418,243        7,991,880  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 8,424,786      $ 8,041,728  
  

 

 

    

 

 

 

Shares outstanding

     200,000        200,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 42.09      $ 39.96  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 42.12      $ 39.99  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

4


Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(53% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.956% due 10/11/18

   $ 1,500,000      $ 1,499,146  

1.984% due 10/25/18

     1,100,000        1,098,475  

2.030% due 11/08/18

     700,000        698,463  

2.094% due 12/06/18

     400,000        398,442  

2.055% due 12/20/18

     200,000        199,053  

2.103% due 01/03/19

     200,000        198,867  

2.143% due 01/17/19

     200,000        198,683  

2.167% due 01/31/19

     200,000        198,488  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $4,489,996)

      $ 4,489,617  
     

 

 

 

Futures Contracts Sold

 

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

Euro Fx Currency Futures - CME, expires December 2018

     58      $ 8,469,450      $ 1,881  

 

^^

Rates shown represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

5


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 31,641     $ 18,865     $ 78,667     $ 57,345  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     20,064       21,606       57,645       92,259  

Brokerage commissions

     316       330       919       1,433  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     20,380       21,936       58,564       93,692  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     11,261       (3,071     20,103       (36,347
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     173,885       (599,482     238,110       (1,334,988

Short-term U.S. government and agency obligations

     —         (107     —         (384
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     173,885       (599,589     238,110       (1,335,372
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (85,332     291,787       168,169       (26,694

Short-term U.S. government and agency obligations

     (900     326       (19     404  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (86,232     292,113       168,150       (26,290
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     87,653       (307,476     406,260       (1,361,662
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 98,914     $ (310,547   $ 426,363     $ (1,398,009
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

6


Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 7,991,880  

Net investment income (loss)

     20,103  

Net realized gain (loss)

     238,110  

Change in net unrealized appreciation/depreciation

     168,150  
  

 

 

 

Net income (loss)

     426,363  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 8,418,243  
  

 

 

 

 

See accompanying notes to financial statements.

 

7


Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 426,363     $ (1,398,009

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

     (242,622,369     (45,940,009

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

     245,200,000       53,163,769  

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

     (71,032     (57,345

Net realized gain (loss) on investments

     —         384  

Change in unrealized appreciation/depreciation on investments

     19       (404

Decrease (Increase) in receivable on futures contracts

     (103,916     —    

Decrease (Increase) in interest receivable

     (1,162     —    

Increase (Decrease) in payable to Sponsor

     6       (6,422

Increase (Decrease) in payable on futures contracts

     (43,311     (60,510
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,784,598       5,701,454  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Payment on shares redeemed

     —         (6,278,641
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     —         (6,278,641
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,784,598       (577,187

Cash, beginning of period

     1,045,493       2,694,612  
  

 

 

   

 

 

 

Cash, end of period

   $ 3,830,091     $ 2,117,425  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

8


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 172,938,296      $ 1,468,000  

Segregated cash balances with brokers for futures contracts

     142,882,866        299,200,276  

Short-term U.S. government and agency obligations (Note 3)
(cost $– and $494,962,509, respectively)

     —          494,910,644  

Receivable on open futures contracts

     76,522,321        20,758,850  

Interest receivable

     84,773        —    
  

 

 

    

 

 

 

Total assets

     392,428,256        816,337,770  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          44,817,710  

Payable on open futures contracts

     —          528,750  

Payable to Sponsor

     319,035        827,439  

Payable to Broker

     64        —    
  

 

 

    

 

 

 

Total liabilities

     319,099        46,173,899  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     392,109,157        770,163,871  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 392,428,256      $ 816,337,770  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     6,634,307        1,512,500  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 59.10      $ 509.20  
  

 

 

    

 

 

 

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

   $ 59.09      $ 512.84  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

9


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

Futures Contracts Sold

 

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

VIX Futures - CBOE, expires October 2018

     8,195      $ 114,525,125      $ 10,886,760  

VIX Futures - CBOE, expires November 2018

     5,478        82,033,050        244,844  
        

 

 

 
         $ 11,131,604  
        

 

 

 

 

See accompanying notes to financial statements.

 

10


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 1,287,659     $ 2,102,194     $ 4,369,182     $ 3,484,888  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,111,482       2,376,444       4,725,775       4,636,720  

Brokerage commissions

     272,502       1,366,561       1,988,563       2,761,371  

Brokerage fees

     4,836       —         151,758       —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,388,820       3,743,005       6,866,096       7,398,091  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (101,161     (1,640,811     (2,496,914     (3,913,203
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     38,096,229       188,300,727       (1,789,421,125     471,128,319  

Short-term U.S. government and agency obligations

     —         6,797       (259,112     (4,461
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     38,096,229       188,307,524       (1,789,680,237     471,123,858  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     33,660,002       100,033,466       (5,909,845     104,553,646  

Short-term U.S. government and agency obligations

     —         56,988       51,865       55,837  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     33,660,002       100,090,454       (5,857,980     104,609,483  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     71,756,231       288,397,978       (1,795,538,217     575,733,341  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 71,655,070     $ 286,757,167     $ (1,798,035,131   $ 571,820,138  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

11


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 770,163,871  

Addition of 17,500,000 shares (Note 1)

     2,359,283,234  

Redemption of 12,378,193 shares (Note 1)

     (939,302,817
  

 

 

 

Net addition (redemption) of 5,121,807 shares (Note 1)

     1,419,980,417  
  

 

 

 

Net investment income (loss)

     (2,496,914

Net realized gain (loss)

     (1,789,680,237

Change in net unrealized appreciation/depreciation

     (5,857,980
  

 

 

 

Net income (loss)

     (1,798,035,131
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 392,109,157  
  

 

 

 

 

See accompanying notes to financial statements.

 

12


Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (1,798,035,131   $ 571,820,138  

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

     (18,326,003,101     (3,392,906,218

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

     18,823,156,026       2,796,704,397  

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

     (2,449,528     (3,484,888

Net realized gain (loss) on investments

     259,112       4,461  

Change in unrealized appreciation/depreciation on investments

     (51,865     (55,837

Decrease (Increase) in receivable on futures contracts

     (55,763,471     (56,490,608

Decrease (Increase) in interest receivable

     (84,773     —    

Increase (Decrease) in payable to Sponsor

     (508,404     788,675  

Increase (Decrease) in payable on futures contracts

     (528,750     (325,000

Increase (Decrease) in payable to Broker

     64       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (1,360,009,821     (83,944,880
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     2,359,283,234       3,330,265,694  

Payment on shares redeemed

     (984,120,527     (2,982,562,847
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     1,375,162,707       347,702,847  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     15,152,886       263,757,967  

Cash, beginning of period

     300,668,276       57,174,744  
  

 

 

   

 

 

 

Cash, end of period

   $ 315,821,162     $ 320,932,711  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

13


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 6,480,310      $ 1,532,748  

Segregated cash balances with brokers for futures contracts

     10,308,420        8,796,755  

Segregated cash balances with brokers for swap agreements

     67,541,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $261,353,097 and $459,543,053, respectively)

     261,325,708        459,515,902  

Unrealized appreciation on swap agreements

     47,065,342        62,238,361  

Receivable on open futures contracts

     4,931,149        2,242,001  
  

 

 

    

 

 

 

Total assets

     397,651,929        534,325,767  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          9,464,420  

Payable to Sponsor

     309,308        415,821  
  

 

 

    

 

 

 

Total liabilities

     309,308        9,880,241  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     397,342,621        524,445,526  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 397,651,929      $ 534,325,767  
  

 

 

    

 

 

 

Shares outstanding

     11,111,317        22,161,317  
  

 

 

    

 

 

 

Net asset value per share

   $ 35.76      $ 23.66  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 35.96      $ 23.44  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

14


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(66% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.952% due 10/11/18

   $ 71,000,000      $ 70,959,573  

1.975% due 10/25/18

     60,000,000        59,916,798  

2.018% due 11/08/18

     42,000,000        41,907,785  

2.036% due 11/23/18

     12,000,000        11,962,636  

2.066% due 12/06/18

     24,000,000        23,906,501  

2.055% due 12/20/18

     12,000,000        11,943,200  

2.103% due 01/03/19

     15,000,000        14,915,008  

2.143% due 01/17/19

     11,000,000        10,927,565  

2.167% due 01/31/19

     15,000,000        14,886,642  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $261,353,097)

      $ 261,325,708  
     

 

 

 

Futures Contracts Purchased

 

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

WTI Crude Oil - NYMEX, expires November 2018

     2,959      $ 216,746,750      $ 20,291,426  

Total Return Swap Agreements^

 

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

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

     0.18     10/09/18      $ 158,650,102      $ 14,479,827  

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

     0.25       10/09/18        139,341,211        11,072,035  

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

     0.23       10/09/18        90,338,589        6,969,964  

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

     0.25       10/09/18        61,779,516        4,824,103  

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

     0.25       10/09/18        127,870,585        9,719,413  
          

 

 

 
         

Total Unrealized

Appreciation

 

 

   $ 47,065,342  
          

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of September 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

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.

 

15


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 1,905,336     $ 1,819,809     $ 5,027,003     $ 4,436,888  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     981,939       1,798,486       3,073,296       5,773,725  

Brokerage commissions

     15,926       40,850       61,013       147,117  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     997,865       1,839,336       3,134,309       5,920,842  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     907,471       (19,527     1,892,694       (1,483,954
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     4,256,122       21,413,080       34,484,938       (13,550,928

Swap agreements

     46,027,532       24,084,165       167,537,332       (109,960,912

Short-term U.S. government and agency obligations

     (314     (8,752     (320     (15,001
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     50,283,340       45,488,493       202,021,950       (123,526,841
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     3,002,323       13,270,788       8,345,447       8,280,488  

Swap agreements

     (35,363,528     99,552,339       (15,173,019     (14,561,671

Short-term U.S. government and agency obligations

     (53,706     6,372       (238     35,634  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (32,414,911     112,829,499       (6,827,810     (6,245,549
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     17,868,429       158,317,992       195,194,140       (129,772,390
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 18,775,900     $ 158,298,465     $ 197,086,834     $ (131,256,344
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

16


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 524,445,526  

Addition of 6,350,000 shares

     177,414,433  

Redemption of 17,400,000 shares

     (501,604,172
  

 

 

 

Net addition (redemption) of (11,050,000) shares

     (324,189,739
  

 

 

 

Net investment income (loss)

     1,892,694  

Net realized gain (loss)

     202,021,950  

Change in net unrealized appreciation/depreciation

     (6,827,810
  

 

 

 

Net income (loss)

     197,086,834  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 397,342,621  
  

 

 

 

 

See accompanying notes to financial statements.

 

17


Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 197,086,834     $ (131,256,344

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

     (10,724,218,285     (3,682,731,284

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

     10,927,288,348       4,009,879,074  

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

     (4,880,427     (4,436,887

Net realized gain (loss) on investments

     320       15,001  

Change in unrealized appreciation/depreciation on investments

     15,173,257       14,526,037  

Decrease (Increase) in receivable on futures contracts

     (2,689,148     (503,050

Increase (Decrease) in payable to Sponsor

     (106,513     (283,900

Increase (Decrease) in brokerage commissions and fees payable

     —         (2,332

Increase (Decrease) in payable on futures contracts

     —         (1,993,438
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     407,654,386       203,212,877  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     177,414,433       1,105,174,037  

Payment on shares redeemed

     (511,068,592     (1,311,385,792
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (333,654,159     (206,211,755
  

 

 

   

 

 

 

Net increase (decrease) in cash

     74,000,227       (2,998,878

Cash, beginning of period

     10,329,503       22,011,155  
  

 

 

   

 

 

 

Cash, end of period

   $ 84,329,730     $ 19,012,277  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

18


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 7,486,353      $ 4,417,324  

Segregated cash balances with brokers for futures contracts

     2,736,576        10,299,573  

Short-term U.S. government and agency obligations (Note 3)
(cost $13,366,329 and $50,963,586, respectively)

     13,365,019        50,961,356  

Receivable from capital shares sold

     —          326,440  

Receivable on open futures contracts

     38,538        1,520,156  

Interest receivable

     312        —    
  

 

 

    

 

 

 

Total assets

     23,626,798        67,524,849  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          4,211,794  

Payable to Sponsor

     18,024        44,105  
  

 

 

    

 

 

 

Total liabilities

     18,024        4,255,899  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     23,608,774        63,268,950  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 23,626,798      $ 67,524,849  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     778,150        1,938,434  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 30.34      $ 32.64  
  

 

 

    

 

 

 

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

   $ 30.27      $ 32.50  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

19


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(57% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.958% due 10/11/18

   $ 4,000,000      $ 3,997,722  

1.977% due 10/25/18

     3,000,000        2,995,840  

2.019% due 11/08/18

     2,100,000        2,095,389  

2.094% due 12/06/18

     1,200,000        1,195,325  

2.055% due 12/20/18

     700,000        696,687  

2.103% due 01/03/19

     800,000        795,467  

2.143% due 01/17/19

     700,000        695,390  

2.167% due 01/31/19

     900,000        893,199  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $13,366,329)

      $ 13,365,019  
     

 

 

 

 

Futures Contracts Purchased

 

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

Natural Gas - NYMEX, expires November 2018

     1,570      $ 47,225,600      $ 578,049  

 

^^

Rates shown represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

20


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 103,480     $ 93,039     $ 357,473     $ 199,874  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     60,687       110,894       235,797       318,839  

Brokerage commissions

     12,349       24,919       62,006       71,984  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     73,036       135,813       297,803       390,823  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     30,444       (42,774     59,670       (190,949
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     801,033       (2,014,548     5,881,807       (21,040,313

Short-term U.S. government and agency obligations

     —         (454     (31     (1,126
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     801,033       (2,015,002     5,881,776       (21,041,439
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     696,672       (1,078,511     (6,647,761     (3,508,410

Short-term U.S. government and agency obligations

     (3,297     1,692       920       1,284  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     693,375       (1,076,819     (6,646,841     (3,507,126
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     1,494,408       (3,091,821     (765,065     (24,548,565
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 1,524,852     $ (3,134,595   $ (705,395   $ (24,739,514
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

21


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 63,268,950  

Addition of 950,000 shares (Note 1)

     26,844,995  

Redemption of 2,110,284 shares (Note 1)

     (65,799,776
  

 

 

 

Net addition (redemption) of (1,160,284) shares (Note 1)

     (38,954,781
  

 

 

 

Net investment income (loss)

     59,670  

Net realized gain (loss)

     5,881,776  

Change in net unrealized appreciation/depreciation

     (6,646,841
  

 

 

 

Net income (loss)

     (705,395
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 23,608,774  
  

 

 

 

 

See accompanying notes to financial statements.

 

22


Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (705,395   $ (24,739,514

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

     (1,438,078,954     (172,712,634

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

     1,475,997,907       166,176,382  

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

     (321,727     (199,874

Net realized gain (loss) on investments

     31       1,126  

Change in unrealized appreciation/depreciation on investments

     (920     (1,284

Decrease (Increase) in receivable on futures contracts

     1,481,618       —    

Decrease (Increase) in interest receivable

     (312     —    

Increase (Decrease) in payable to Sponsor

     (26,081     1,153  

Increase (Decrease) in brokerage commissions and fees payable

     —         (433

Increase (Decrease) in payable on futures contracts

     —         (1,208,911
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     38,346,167       (32,683,989
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     27,171,435       66,608,730  

Payment on shares redeemed

     (70,011,570     (34,012,985
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (42,840,135     32,595,745  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     (4,493,968     (88,244

Cash, beginning of period

     14,716,897       8,584,212  
  

 

 

   

 

 

 

Cash, end of period

   $ 10,222,929     $ 8,495,968  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

23


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 3,179,599      $ 1,416,427  

Segregated cash balances with brokers for foreign currency forward contracts

     921,000        922,000  

Short-term U.S. government and agency obligations (Note 3)
(cost $3,791,538 and $6,996,595, respectively)

     3,791,183        6,996,235  

Unrealized appreciation on foreign currency forward contracts

     1,087        321,609  
  

 

 

    

 

 

 

Total assets

     7,892,869        9,656,271  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     6,191        7,298  

Unrealized depreciation on foreign currency forward contracts

     34,302        57,457  
  

 

 

    

 

 

 

Total liabilities

     40,493        64,755  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     7,852,376        9,591,516  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 7,892,869      $ 9,656,271  
  

 

 

    

 

 

 

Shares outstanding

     500,000        550,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 15.70      $ 17.44  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 15.70      $ 17.46  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

24


Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(48% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.955% due 10/11/18

   $ 1,200,000      $ 1,199,317  

1.982% due 10/25/18

     900,000        898,752  

2.024% due 11/08/18

     600,000        598,683  

2.036% due 11/23/18

     200,000        199,377  

2.064% due 12/06/18

     300,000        298,831  

2.055% due 12/20/18

     100,000        99,527  

2.103% due 01/03/19

     200,000        198,867  

2.143% due 01/17/19

     100,000        99,341  

2.167% due 01/31/19

     200,000        198,488  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,791,538)

      $ 3,791,183  
     

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date      Contract Amount
in Local Currency
     Contract Amount
in U.S. Dollars
     Unrealized
Appreciation
(Depreciation)/Value
 

Contracts to Purchase

           

Euro with Goldman Sachs International

     10/05/18        7,218,625      $ 8,400,323      $ (17,909

Euro with UBS AG

     10/05/18        6,640,300        7,727,245        (16,393
           

 

 

 
          
Total Unrealized
Depreciation
 
 
   $ (34,302
           

 

 

 

Contracts to Sell

           

Euro with Goldman Sachs International

     10/05/18        (51,700    $ (60,038    $ 2  

Euro with UBS AG

     10/05/18        (281,800      (328,316      1,085  
           

 

 

 
          
Total Unrealized
Appreciation
 
 
   $ 1,087  
           

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

25


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 27,379     $ 30,171     $ 77,134     $ 69,923  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     19,089       31,427       64,021       95,974  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     19,089       31,427       64,021       95,974  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     8,290       (1,256     13,113       (26,051
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (337,286     1,259,663       (646,805     2,666,172  

Short-term U.S. government and agency obligations

     —         (13     7       134  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (337,286     1,259,650       (646,798     2,666,306  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     138,839       (519,273     (297,367     364,650  

Short-term U.S. government and agency obligations

     (563     (331     5       205  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     138,276       (519,604     (297,362     364,855  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (199,010     740,046       (944,160     3,031,161  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (190,720   $ 738,790     $ (931,047   $ 3,005,110  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

26


Table of Contents

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 9,591,516  

Addition of 150,000 shares

     2,653,492  

Redemption of 200,000 shares

     (3,461,585
  

 

 

 

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

     (808,093
  

 

 

 

Net investment income (loss)

     13,113  

Net realized gain (loss)

     (646,798

Change in net unrealized appreciation/depreciation

     (297,362
  

 

 

 

Net income (loss)

     (931,047
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 7,852,376  
  

 

 

 

 

See accompanying notes to financial statements.

 

27


Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (931,047   $ 3,005,110  

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

     (379,921,345     (40,818,978

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

     383,199,612       41,785,306  

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

     (73,203     (69,923

Net realized gain (loss) on investments

     (7     (134

Change in unrealized appreciation/depreciation on investments

     297,362       (364,855

Increase (Decrease) in payable to Sponsor

     (1,107     398  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     2,570,265       3,536,924  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     2,653,492       18,469,355  

Payment on shares redeemed

     (3,461,585     (19,683,442
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (808,093     (1,214,087
  

 

 

   

 

 

 

Net increase (decrease) in cash

     1,762,172       2,322,837  

Cash, beginning of period

     2,338,427       606,393  
  

 

 

   

 

 

 

Cash, end of period

   $ 4,100,599     $ 2,929,230  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

28


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 1,626,320      $ 1,237,103  

Segregated cash balances with brokers for futures contracts

     6,956        8,800  

Segregated cash balances with brokers for forward agreements

     16,548,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $55,874,696 and $88,890,367, respectively)

     55,869,617        88,884,844  

Unrealized appreciation on forward agreements

     —          3,646,355  

Receivable on open futures contracts

     1,760        2,420  
  

 

 

    

 

 

 

Total assets

     74,052,653        93,779,522  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     58,308        70,774  

Unrealized depreciation on forward agreements

     899,357        —    
  

 

 

    

 

 

 

Total liabilities

     957,665        70,774  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     73,094,988        93,708,748  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 74,052,653      $ 93,779,522  
  

 

 

    

 

 

 

Shares outstanding

     2,250,000        2,350,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 32.49      $ 39.88  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 32.75      $ 40.67  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

29


Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(76% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.954% due 10/11/18

   $ 18,000,000      $ 17,989,751  

1.980% due 10/25/18

     13,000,000        12,981,973  

2.026% due 11/08/18

     9,000,000        8,980,240  

2.036% due 11/23/18

     2,000,000        1,993,773  

2.076% due 12/06/18

     5,000,000        4,980,521  

2.055% due 12/20/18

     2,000,000        1,990,533  

2.103% due 01/03/19

     2,000,000        1,988,668  

2.143% due 01/17/19

     2,000,000        1,986,830  

2.167% due 01/31/19

     3,000,000        2,977,328  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $55,874,696)

      $ 55,869,617  
     

 

 

 

Futures Contracts Purchased

 

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

Gold Futures - COMEX, expires December 2018

     2      $ 239,240      $ (11,020

Forward Agreements^

 

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

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

     2.60     11/07/18      $ 48,600      $ 57,851,010      $ (343,582

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

     2.78     11/07/18        37,420        44,541,774        (269,873

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

     2.77     11/07/18        3,600        4,285,116        (25,919

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

     2.72     11/07/18        33,000        39,280,230        (259,983
             

 

 

 
            
Total Unrealized
Depreciation
 
 
   $ (899,357
             

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of September 30, 2018 on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Forward Agreements payment is due at termination/maturity.

**

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.

 

30


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 371,579     $ 231,647     $ 1,076,472     $ 531,782  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     184,099       224,583       627,034       692,340  

Brokerage commissions

     8       10       36       39  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     184,107       224,593       627,070       692,379  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     187,472       7,054       449,402       (160,597
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (17,921     600       (11,742     (5,221

Forward agreements

     (15,436,697     5,462,318       (12,494,591     23,367,970  

Short-term U.S. government and agency obligations

     —         (61     (172     487  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (15,454,618     5,462,857       (12,506,505     23,363,236  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     4,100       6,520       (16,500     28,480  

Forward agreements

     6,253,539       (555,941     (4,545,712     (4,022,320

Short-term U.S. government and agency obligations

     (8,091     3,100       444       6,915  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     6,249,548       (546,321     (4,561,768     (3,986,925
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (9,205,070     4,916,536       (17,068,273     19,376,311  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (9,017,598   $ 4,923,590     $ (16,618,871   $ 19,215,714  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

31


Table of Contents

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 93,708,748  

Addition of 300,000 shares

     12,216,052  

Redemption of 400,000 shares

     (16,210,941
  

 

 

 

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

     (3,994,889
  

 

 

 

Net investment income (loss)

     449,402  

Net realized gain (loss)

     (12,506,505

Change in net unrealized appreciation/depreciation

     (4,561,768
  

 

 

 

Net income (loss)

     (16,618,871
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 73,094,988  
  

 

 

 

 

See accompanying notes to financial statements.

 

32


Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (16,618,871   $ 19,215,714  

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

     (3,606,027,964     (364,397,565

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

     3,640,119,898       358,392,755  

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

     (1,076,435     (531,747

Net realized gain (loss) on investments

     172       (487

Change in unrealized appreciation/depreciation on investments

     4,545,268       4,015,405  

Decrease (Increase) in receivable on futures contracts

     660       —    

Increase (Decrease) in payable to Sponsor

     (12,466     4,339  

Increase (Decrease) in payable on futures contracts

     —         (500
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     20,930,262       16,697,914  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     12,216,052       14,435,007  

Payment on shares redeemed

     (16,210,941     (32,209,526
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (3,994,889     (17,774,519
  

 

 

   

 

 

 

Net increase (decrease) in cash

     16,935,373       (1,076,605

Cash, beginning of period

     1,245,903       1,275,551  
  

 

 

   

 

 

 

Cash, end of period

   $ 18,181,276     $ 198,946  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

33


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31,
2017
 

Assets

     

Cash

   $ 11,970,423      $ 1,113,594  

Segregated cash balances with brokers for futures contracts

     8,078        10,340  

Segregated cash balances with brokers for forward agreements

     57,917,000        3,343,000  

Short-term U.S. government and agency obligations (Note 3)
(cost $117,657,012 and $235,605,469, respectively)

     117,643,145        235,581,716  

Unrealized appreciation on forward agreements

     —          21,735,334  

Receivable on open futures contracts

     4,220        2,220  
  

 

 

    

 

 

 

Total assets

     187,542,866        261,786,204  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          3,354,851  

Payable to Sponsor

     143,327        186,657  

Unrealized depreciation on forward agreements

     4,467,343        —    
  

 

 

    

 

 

 

Total liabilities

     4,610,670        3,541,508  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     182,932,196        258,244,696  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 187,542,866      $ 261,786,204  
  

 

 

    

 

 

 

Shares outstanding

     7,946,526        7,696,526  
  

 

 

    

 

 

 

Net asset value per share

   $ 23.02      $ 33.55  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 24.07      $ 33.85  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

34


Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(64% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.964% due 10/11/18

   $ 9,000,000      $ 8,994,876  

1.979% due 10/25/18

     36,000,000        35,950,079  

2.023% due 11/08/18

     25,000,000        24,945,110  

2.036% due 11/23/18

     6,000,000        5,981,318  

2.071% due 12/06/18

     14,000,000        13,945,459  

2.055% due 12/20/18

     6,000,000        5,971,600  

2.103% due 01/03/19

     8,000,000        7,954,671  

2.143% due 01/17/19

     6,000,000        5,960,490  

2.167% due 01/31/19

     8,000,000        7,939,542  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $117,657,012)

      $ 117,643,145  
     

 

 

 

Futures Contracts Purchased

 

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

Silver Futures - COMEX, expires December 2018

     2      $ 147,120      $ (5,630

Forward Agreements^

 

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

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

     2.70     11/07/18      $ 9,995,000      $ 143,367,281      $ (1,743,357

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

     2.85     11/07/18        6,682,800        95,852,069        (1,193,050

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

     2.88     11/07/18        1,784,000        25,588,982        (305,888

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

     2.87     11/07/18        7,038,000        100,949,553        (1,225,048
             

 

 

 
            
Total Unrealized
Depreciation
 
 
   $ (4,467,343
             

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of September 30, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Forward Agreements payment is due at termination/maturity.

**

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.

 

35


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 969,237     $ 612,838     $ 2,671,211     $ 1,497,007  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     480,028       612,285       1,581,152       1,971,071  

Brokerage commissions

     12       10       43       49  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     480,040       612,295       1,581,195       1,971,120  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     489,197       543       1,090,016       (474,113
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (18,145     2,157       (19,065     (18,669

Forward agreements

     (59,661,332     1,062,113       (52,485,906     20,345,685  

Short-term U.S. government and agency obligations

     (831     (722     (1,203     (524
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (59,680,308     1,063,548       (52,506,174     20,326,492  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     2,340       (2,560     (7,230     22,420  

Forward agreements

     9,681,368       7,162,153       (26,202,677     (7,267,613

Short-term U.S. government and agency obligations

     (25,107     4,781       9,886       11,441  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     9,658,601       7,164,374       (26,200,021     (7,233,752
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (50,021,707     8,227,922       (78,706,195     13,092,740  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (49,532,510   $ 8,228,465     $ (77,616,179   $ 12,618,627  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

36


Table of Contents

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 258,244,696  

Addition of 1,350,000 shares

     39,367,193  

Redemption of 1,100,000 shares

     (37,063,514
  

 

 

 

Net addition (redemption) of 250,000 shares

     2,303,679  
  

 

 

 

Net investment income (loss)

     1,090,016  

Net realized gain (loss)

     (52,506,174

Change in net unrealized appreciation/depreciation

     (26,200,021
  

 

 

 

Net income (loss)

     (77,616,179
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 182,932,196  
  

 

 

 

 

See accompanying notes to financial statements.

 

37


Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (77,616,179   $ 12,618,627  

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

     (6,095,031,250     (1,281,165,030

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

     6,215,649,682       1,307,344,193  

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

     (2,671,178     (1,496,972

Net realized gain (loss) on investments

     1,203       524  

Change in unrealized appreciation/depreciation on investments

     26,192,791       7,256,172  

Decrease (Increase) in receivable on futures contracts

     (2,000     —    

Increase (Decrease) in payable to Sponsor

     (43,330     (13,453

Increase (Decrease) in payable on futures contracts

     —         (220
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     66,479,739       44,543,841  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     39,367,193       31,641,699  

Payment on shares redeemed

     (40,418,365     (75,235,084
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (1,051,172     (43,593,385
  

 

 

   

 

 

 

Net increase (decrease) in cash

     65,428,567       950,456  

Cash, beginning of period

     4,466,934       1,678,901  
  

 

 

   

 

 

 

Cash, end of period

   $ 69,895,501     $ 2,629,357  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

38


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 130,239,514      $ 1,539,237  

Segregated cash balances with brokers for futures contracts

     358,867,656        87,211,683  

Segregated cash balances with brokers for swap agreements

     30,250,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $– and $287,546,397, respectively)

     —          287,533,132  

Receivable from capital shares sold

     —          516,930  

Receivable on open futures contracts

     24,545,765        17,578,451  

Interest receivable

     33,087        —    
  

 

 

    

 

 

 

Total assets

     543,936,022        394,379,433  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     10,975,245        —    

Payable to Sponsor

     445,058        344,292  

Unrealized depreciation on swap agreements

     296,663        —    

Payable to Broker

     8,275        —    
  

 

 

    

 

 

 

Total liabilities

     11,725,241        344,292  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     532,210,781        394,035,141  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 543,936,022      $ 394,379,433  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     14,580,912        7,625,448  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 36.50      $ 51.67  
  

 

 

    

 

 

 

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

   $ 36.80      $ 51.05  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

39


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

Futures Contracts Purchased

 

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

VIX Futures - CBOE, expires October 2018

     30,424      $ 425,175,400      $ (32,760,771

VIX Futures - CBOE, expires November 2018

     20,270        303,543,250        (1,288,783
        

 

 

 
         $ (34,049,554
        

 

 

 

Total Return Swap Agreements^

 

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

Swap agreement with Goldman Sachs based on iPath S&P 500 VIX Short-Term Futures

     3.23     10/29/18      $ 69,104,339      $ (296,663
          

 

 

 
         
Total Unrealized
Depreciation
 
 
   $ (296,663
          

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

*

Reflects the floating financing rate, as of September 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

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.

 

40


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 1,202,062     $ 866,857     $ 2,441,956     $ 1,833,411  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     1,338,863       1,040,567       3,185,978       2,880,339  

Brokerage commissions

     987,212       1,150,806       2,530,133       2,819,322  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     2,326,075       2,191,373       5,716,111       5,699,661  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,124,013     (1,324,516     (3,274,155     (3,866,250
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (123,370,811     (126,532,816     147,966,370       (646,036,987

Swap agreements

     (32,400,344     —         (42,944,849     —    

Short-term U.S. government and agency obligations

     —         (5,866     (7,731     (26,617
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (155,771,155     (126,538,682     105,013,790       (646,063,604
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (73,846,983     (95,515,562     416,566       (93,790,794

Swap agreements

     (561,143     —         (296,663     —    

Short-term U.S. government and agency obligations

     —         21,523       13,265       34,039  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (74,408,126     (95,494,039     133,168       (93,756,755
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (230,179,281     (222,032,721     105,146,958       (739,820,359
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (231,303,294   $ (223,357,237   $ 101,872,803     $ (743,686,609
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

41


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 394,035,141  

Addition of 31,930,000 shares (Note 1)

     1,886,334,443  

Redemption of 24,974,536 shares (Note 1)

     (1,850,031,606
  

 

 

 

Net addition (redemption) of 6,955,464 shares (Note 1)

     36,302,837  
  

 

 

 

Net investment income (loss)

     (3,274,155

Net realized gain (loss)

     105,013,790  

Change in net unrealized appreciation/depreciation

     133,168  
  

 

 

 

Net income (loss)

     101,872,803  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 532,210,781  
  

 

 

 

 

See accompanying notes to financial statements.

 

42


Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 101,872,803     $ (743,686,609

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

     (11,238,858,669     (2,355,267,451

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

     11,527,565,730       2,270,464,979  

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

     (1,168,395     (1,833,411

Net realized gain (loss) on investments

     7,731       26,617  

Change in unrealized appreciation/depreciation on investments

     283,398       (34,039

Decrease (Increase) in receivable on futures contracts

     (6,967,314     35,967,191  

Decrease (Increase) in interest receivable

     (33,087     —    

Increase (Decrease) in payable to Sponsor

     100,766       (183

Increase (Decrease) in payable on futures contracts

     10,975,245       20,456,567  

Increase (Decrease) in payable to Broker

     8,275       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     393,786,483       (773,906,339
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     1,886,851,373       2,095,312,098  

Payment on shares redeemed

     (1,850,031,606     (1,383,528,842
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     36,819,767       711,783,256  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     430,606,250       (62,123,083

Cash, beginning of period

     88,750,920       82,333,580  
  

 

 

   

 

 

 

Cash, end of period

   $ 519,357,170     $ 20,210,497  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

43


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 2,075,530      $ 903,472  

Segregated cash balances with brokers for foreign currency forward contracts

     251,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $499,413 and $1,998,216, respectively)

     499,389        1,997,933  

Unrealized appreciation on foreign currency forward contracts

     2,229        —    
  

 

 

    

 

 

 

Total assets

     2,828,148        2,901,405  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     2,188        2,312  

Unrealized depreciation on foreign currency forward contracts

     112,203        34,824  
  

 

 

    

 

 

 

Total liabilities

     114,391        37,136  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     2,713,757        2,864,269  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 2,828,148      $ 2,901,405  
  

 

 

    

 

 

 

Shares outstanding

     49,970        49,970  
  

 

 

    

 

 

 

Net asset value per share

   $ 54.31      $ 57.32  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 54.44      $ 57.45  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

44


Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(18% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.959% due 10/11/18

   $ 200,000      $ 199,886  

1.997% due 10/25/18

     200,000        199,723  

2.028% due 11/08/18

     100,000        99,780  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $499,413)

      $ 499,389  
     

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date      Contract Amount
in Local Currency
     Contract Amount
in U.S. Dollars
     Unrealized
Appreciation
(Depreciation)/Value
 

Contracts to Purchase

           

Yen with Goldman Sachs International

     10/05/18        314,885,800      $ 2,827,586      $ (55,349

Yen with UBS AG

     10/05/18        322,117,300        2,892,758        (56,854
           

 

 

 
          
Total Unrealized
Depreciation
 
 
   $ (112,203
           

 

 

 

Contracts to Sell

           

Yen with Goldman Sachs International

     10/05/18        (4,751,100    $ (42,518    $ 689  

Yen with UBS AG

     10/05/18        (14,328,300      (127,685      1,540  
           

 

 

 
          
Total Unrealized
Appreciation
 
 
   $ 2,229  
           

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^

Rates shown represents discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

45


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 5,433     $ 10,221     $ 14,169     $ 21,407  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     6,797       14,387       21,129       42,356  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     6,797       14,387       21,129       42,356  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     (1,364     (4,166     (6,960     (20,949
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     (91,507     (4,492     (68,661     338,091  

Short-term U.S. government and agency obligations

     —         (53     —         (85
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (91,507     (4,545     (68,661     338,006  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (85,715     (52,440     (75,150     (53,233

Short-term U.S. government and agency obligations

     (125     (332     259       139  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (85,840     (52,772     (74,891     (53,094
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (177,347     (57,317     (143,552     284,912  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (178,711   $ (61,483   $ (150,512   $ 263,963  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

46


Table of Contents

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 2,864,269  

Net investment income (loss)

     (6,960

Net realized gain (loss)

     (68,661

Change in net unrealized appreciation/depreciation

     (74,891
  

 

 

 

Net income (loss)

     (150,512
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 2,713,757  
  

 

 

 

 

See accompanying notes to financial statements.

 

47


Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (150,512   $ 263,963  

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

     (35,287,312     (16,968,160

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

     36,800,000       17,610,089  

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

     (13,885     (21,407

Net realized gain (loss) on investments

     —         85  

Change in unrealized appreciation/depreciation on investments

     74,891       53,094  

Increase (Decrease) in payable to Sponsor

     (124     161  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,423,058       937,825  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Net increase (decrease) in cash

     1,423,058       937,825  

Cash, beginning of period

     903,472       604,691  
  

 

 

   

 

 

 

Cash, end of period

   $ 2,326,530     $ 1,542,516  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

48


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 28,079,523      $ 9,683,852  

Segregated cash balances with brokers for futures contracts

     5,110,434        1,285,048  

Receivable on open futures contracts

     2,661,141        289,395  

Offering costs (Note 5)

     —          52,846  

Limitation by Sponsor

     —          24,342  

Interest receivable

     5,419        —    
  

 

 

    

 

 

 

Total assets

     35,856,517        11,335,483  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     29,886        —    
  

 

 

    

 

 

 

Total liabilities

     29,886        —    
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     35,826,631        11,335,483  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 35,856,517      $ 11,335,483  
  

 

 

    

 

 

 

Shares outstanding

     550,000        300,008  
  

 

 

    

 

 

 

Net asset value per share

   $ 65.14      $ 37.78  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 65.68      $ 37.23  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

49


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

Futures Contracts Purchased

 

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

WTI Crude Oil - NYMEX, expires November 2018

     1,467      $ 107,457,750      $ 10,246,895  

 

See accompanying notes to financial statements.

 

50


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

    Three Months Ended September 30,     Nine Months Ended
September 30, 2018
    January 13, 2017
(Inception) through
September 30, 2017
 
  2018     2017  

Investment Income

       

Interest

  $ 110,355     $ —       $ 115,343     $ —    
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

       

Management fee

    92,674       —         148,366       —    

Brokerage commissions

    13,783       13,100       33,256       24,374  

Offering costs

    —         37,405       52,846       77,250  

Limitation by Sponsor

    —         —         (26,957     (2,484

Reduction in Limitation by Sponsor

    —         5,818       —         —    
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    106,457       56,323       207,511       99,140  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    3,898       (56,323     (92,168     (99,140
 

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

       

Net realized gain (loss) on

       

Futures contracts

    4,185,376       4,971,742       7,547,152       3,137,907  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    4,185,376       4,971,742       7,547,152       3,137,907  
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

       

Futures contracts

    341,411       694,326       8,828,897       1,272,779  
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

    341,411       694,326       8,828,897       1,272,779  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    4,526,787       5,666,068       16,376,049       4,410,686  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

  $ 4,530,685     $ 5,609,745     $ 16,283,881     $ 4,311,546  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

51


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 11,335,483  

Addition of 1,050,000 shares

     51,851,095  

Redemption of 800,008 shares

     (43,643,828
  

 

 

 

Net addition (redemption) of 249,992 shares

     8,207,267  
  

 

 

 

Net investment income (loss)

     (92,168

Net realized gain (loss)

     7,547,152  

Change in net unrealized appreciation/depreciation

     8,828,897  
  

 

 

 

Net income (loss)

     16,283,881  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 35,826,631  
  

 

 

 

 

See accompanying notes to financial statements.

 

52


Table of Contents

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30, 2018
    January 13, 2017
(Inception) through
September 30, 2017
 

Cash flow from operating activities

    

Net income (loss)

   $ 16,283,881     $ 4,311,546  

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

     (1,341,902,799     —    

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

     1,342,000,000       —    

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

     (97,201     —    

Decrease (Increase) in receivable on futures contracts

     (2,371,746     (42,870

Decrease (Increase) in Limitation by Sponsor

     24,342       (2,484

Decrease (Increase) in interest receivable

     (5,419     —    

Amortization of offering cost

     52,846       77,250  

Increase (Decrease) in payable to Sponsor

     29,886       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     14,013,790       4,343,442  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     51,851,095       29,606,619  

Payment on shares redeemed

     (43,643,828     (26,336,701
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     8,207,267       3,269,918  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     22,221,057       7,613,360  

Cash, beginning of period

     10,968,900       —    
  

 

 

   

 

 

 

Cash, end of period

   $ 33,189,957     $ 7,613,360  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

53


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 24,687,429      $ 19,203,543  

Segregated cash balances with brokers for futures contracts

     3,919,487        2,396,625  

Offering costs (Note 5)

     —          52,797  

Limitation by Sponsor

     —          35,309  

Interest receivable

     5,419        —    
  

 

 

    

 

 

 

Total assets

     28,612,335        21,688,274  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     1,101,616        527,098  

Payable to Sponsor

     17,973        —    
  

 

 

    

 

 

 

Total liabilities

     1,119,589        527,098  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     27,492,746        21,161,176  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 28,612,335      $ 21,688,274  
  

 

 

    

 

 

 

Shares outstanding (Note 1)

     1,674,906        500,002  
  

 

 

    

 

 

 

Net asset value per share (Note 1)

   $ 16.41      $ 42.32  
  

 

 

    

 

 

 

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

   $ 16.27      $ 42.88  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

54


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

Futures Contracts Sold

 

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

WTI Crude Oil - NYMEX, expires November 2018

     1,126      $ 82,479,500      $ (5,282,566

 

See accompanying notes to financial statements.

 

55


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

    Three Months Ended September 30,     Nine Months Ended
September 30, 2018
    January 13, 2017
(Inception) through
September 30, 2017
 
  2018     2017  

Investment Income

       

Interest

  $ 56,224     $ —       $ 62,491     $ —    
 

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

       

Management fee

    54,403       —         110,213       —    

Brokerage commissions

    9,856       9,395       40,361       17,296  

Offering costs

    —         37,405       52,797       77,250  

Limitation by Sponsor

    —         (12,787     (176     (34,903
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    64,259       34,013       203,195       59,643  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    (8,035     (34,013     (140,704     (59,643
 

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

       

Net realized gain (loss) on

       

Futures contracts

    (3,065,880     (1,540,337     (14,534,995     232,006  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

    (3,065,880     (1,540,337     (14,534,995     232,006  
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

       

Futures contracts

    159,888       (2,178,096     (2,294,411     (2,423,370
 

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

    159,888       (2,178,096     (2,294,411     (2,423,370
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (2,905,992     (3,718,433     (16,829,406     (2,191,364
 

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

  $ (2,914,027   $ (3,752,446   $ (16,970,110   $ (2,251,007
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

56


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 21,161,176  

Addition of 2,287,500 shares (Note 1)

     56,680,459  

Redemption of 1,112,596 shares (Note 1)

     (33,378,779
  

 

 

 

Net addition (redemption) of 1,174,904 shares (Note 1)

     23,301,680  
  

 

 

 

Net investment income (loss)

     (140,704

Net realized gain (loss)

     (14,534,995

Change in net unrealized appreciation/depreciation

     (2,294,411
  

 

 

 

Net income (loss)

     (16,970,110
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 27,492,746  
  

 

 

 

 

See accompanying notes to financial statements.

 

57


Table of Contents

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended
September 30, 2018
    January 13, 2017
(Inception) through
September 30, 2017
 

Cash flow from operating activities

    

Net income (loss)

   $ (16,970,110   $ (2,251,007

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

     (596,956,970     —    

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

     597,000,000       —    

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

     (43,030     —    

Decrease (Increase) in Limitation by Sponsor

     35,309       (34,903

Decrease (Increase) in interest receivable

     (5,419     —    

Amortization of offering cost

     52,797       77,250  

Increase (Decrease) in payable to Sponsor

     17,973       —    

Increase (Decrease) in payable on futures contracts

     574,518       83,153  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     (16,294,932     (2,125,507
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     56,680,459       22,510,278  

Payment on shares redeemed

     (33,378,779     (4,490,543
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     23,301,680       18,019,735  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     7,006,748       15,894,228  

Cash, beginning of period

     21,600,168       —    
  

 

 

   

 

 

 

Cash, end of period

   $ 28,606,916     $ 15,894,228  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

58


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 3,609,270      $ 1,297,022  

Segregated cash balances with brokers for futures contracts

     301,125        485,375  

Short-term U.S. government and agency obligations (Note 3)
(cost $3,892,287 and $11,984,898, respectively)

     3,891,985        11,983,904  

Receivable on open futures contracts

     107,573        —    

Interest receivable

     2,050        —    
  

 

 

    

 

 

 

Total assets

     7,912,003        13,766,301  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —          52,950  

Payable to Sponsor

     6,225        11,249  
  

 

 

    

 

 

 

Total liabilities

     6,225        64,199  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     7,905,778        13,702,102  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 7,912,003      $ 13,766,301  
  

 

 

    

 

 

 

Shares outstanding

     150,000        300,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 52.71      $ 45.67  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 52.78      $ 45.72  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

59


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(49% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.951% due 10/11/18

   $ 1,300,000      $ 1,299,260  

1.986% due 10/25/18

     1,000,000        998,613  

2.038% due 11/08/18

     700,000        698,463  

2.036% due 11/23/18

     200,000        199,377  

2.071% due 12/06/18

     400,000        398,442  

2.143% due 01/17/19

     100,000        99,341  

2.167% due 01/31/19

     200,000        198,489  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,892,287)

      $ 3,891,985  
     

 

 

 

Futures Contracts Sold

 

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

Australian Dollar Fx Currency Futures - CME, expires December 2018

     219      $ 15,827,130      $ (232,700

 

^^

Rates shown represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

60


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 29,472     $ 23,090     $ 73,735     $ 58,614  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     18,194       24,991       54,862       94,837  

Brokerage commissions

     1,777       1,555       4,487       6,088  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     19,971       26,546       59,349       100,925  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     9,501       (3,456     14,386       (42,311
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     997,012       (1,453,355     292,391       (1,920,606

Short-term U.S. government and agency obligations

     —         (22     (247     (177
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     997,012       (1,453,377     292,144       (1,920,783
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (624,470     837,800       660,520       (802,850

Short-term U.S. government and agency obligations

     (596     (14     692       843  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (625,066     837,786       661,212       (802,007
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     371,946       (615,591     953,356       (2,722,790
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 381,447     $ (619,047   $ 967,742     $ (2,765,101
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

61


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 13,702,102  

Addition of 50,000 shares

     2,477,186  

Redemption of 200,000 shares

     (9,241,252
  

 

 

 

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

     (6,764,066
  

 

 

 

Net investment income (loss)

     14,386  

Net realized gain (loss)

     292,144  

Change in net unrealized appreciation/depreciation

     661,212  
  

 

 

 

Net income (loss)

     967,742  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 7,905,778  
  

 

 

 

 

See accompanying notes to financial statements.

 

62


Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 967,742     $ (2,765,101

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

     (161,240,617     (57,937,852

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

     169,398,003       62,908,840  

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

     (65,022     (58,614

Net realized gain (loss) on investments

     247       177  

Change in unrealized appreciation/depreciation on investments

     (692     (843

Decrease (Increase) in receivable on futures contracts

     (107,573     (34,800

Decrease (Increase) in interest receivable

     (2,050     —    

Increase (Decrease) in payable to Sponsor

     (5,024     (6,053

Increase (Decrease) in payable on futures contracts

     (52,950     (32,340
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     8,892,064       2,073,414  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     2,477,186       —    

Payment on shares redeemed

     (9,241,252     (4,723,167
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (6,764,066     (4,723,167
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,127,998       (2,649,753

Cash, beginning of period

     1,782,397       3,749,149  
  

 

 

   

 

 

 

Cash, end of period

   $ 3,910,395     $ 1,099,396  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

63


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 16,532,333      $ 1,120,278  

Segregated cash balances with brokers for futures contracts

     1,945,736        2,567,813  

Segregated cash balances with brokers for swap agreements

     45,176,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $106,754,836 and $253,669,155, respectively)

     106,744,688        253,646,823  

Receivable from capital shares sold

     2,719,001        —    

Interest receivable

     9,629        —    
  

 

 

    

 

 

 

Total assets

     173,127,387        257,334,914  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     668,540        693,787  

Payable to Sponsor

     121,286        190,701  

Unrealized depreciation on swap agreements

     22,294,092        30,607,142  
  

 

 

    

 

 

 

Total liabilities

     23,083,918        31,491,630  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     150,043,469        225,843,284  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 173,127,387      $ 257,334,914  
  

 

 

    

 

 

 

Shares outstanding

     11,039,884        9,289,884  
  

 

 

    

 

 

 

Net asset value per share

   $ 13.59      $ 24.31  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 13.50      $ 24.56  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

64


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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(71% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.951% due 10/11/18

   $ 33,000,000      $ 32,981,210  

1.981% due 10/25/18

     24,000,000        23,966,719  

2.026% due 11/08/18

     17,000,000        16,962,675  

2.036% due 11/23/18

     5,000,000        4,984,432  

2.067% due 12/06/18

     10,000,000        9,961,042  

2.055% due 12/20/18

     4,000,000        3,981,067  

2.103% due 01/03/19

     5,000,000        4,971,669  

2.143% due 01/17/19

     4,000,000        3,973,660  

2.167% due 01/31/19

     5,000,000        4,962,214  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $106,754,836)

      $ 106,744,688  
     

 

 

 

Futures Contracts Sold

 

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

WTI Crude Oil - NYMEX, expires November 2018

     559      $ 40,946,750      $ (3,044,668

Total Return Swap Agreements^

 

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

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

     0.18     10/09/18      $ (79,186,535   $ (7,353,578

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

     0.25     10/09/18        (59,054,009     (4,624,796

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

     0.23     10/09/18        (46,878,869     (3,733,214

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

     0.25       10/09/18        (22,503,021     (1,763,418

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

     0.25     10/09/18        (51,524,744     (4,819,086
         

 

 

 
         
Total Unrealized
Depreciation
 
 
  $ (22,294,092
         

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of September 30, 2018, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

**

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.

 

65


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 756,932     $ 458,896     $ 2,275,948     $ 998,438  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     398,102       456,582       1,355,636       1,374,438  

Brokerage commissions

     8,555       17,992       37,057       50,772  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     406,657       474,574       1,392,693       1,425,210  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     350,275       (15,678     883,255       (426,772
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (4,789,930     (6,020,543     (12,919,916     12,625,049  

Swap agreements

     (20,100,329     (3,398,264     (87,730,014     37,182,481  

Short-term U.S. government and agency obligations

     6       (107     364       (1,590
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (24,890,253     (9,418,914     (100,649,566     49,805,940  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     4,117,281       (4,525,726     917,980       (3,940,674

Swap agreements

     11,474,108       (25,931,072     8,313,050       (1,471,496

Short-term U.S. government and agency obligations

     (16,865     10,122       12,184       13,678  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     15,574,524       (30,446,676     9,243,214       (5,398,492
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (9,315,729     (39,865,590     (91,406,352     44,407,448  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (8,965,454   $ (39,881,268   $ (90,523,097   $ 43,980,676  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

66


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 225,843,284  

Addition of 11,000,000 shares

     200,705,962  

Redemption of 9,250,000 shares

     (185,982,680
  

 

 

 

Net addition (redemption) of 1,750,000 shares

     14,723,282  
  

 

 

 

Net investment income (loss)

     883,255  

Net realized gain (loss)

     (100,649,566

Change in net unrealized appreciation/depreciation

     9,243,214  
  

 

 

 

Net income (loss)

     (90,523,097
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 150,043,469  
  

 

 

 

 

See accompanying notes to financial statements.

 

67


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ (90,523,097   $ 43,980,676  

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

     (5,785,942,457     (866,640,949

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

     5,934,983,255       826,679,554  

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

     (2,126,115     (998,438

Net realized gain (loss) on investments

     (364     1,590  

Change in unrealized appreciation/depreciation on investments

     (8,325,234     1,457,818  

Decrease (Increase) in receivable on futures contracts

     —         (123,680

Decrease (Increase) in interest receivable

     (9,629     —    

Increase (Decrease) in payable to Sponsor

     (69,415     (374

Increase (Decrease) in payable on futures contracts

     (25,247     (13,602
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     47,961,697       4,342,595  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     197,986,961       398,064,737  

Payment on shares redeemed

     (185,982,680     (401,417,518
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     12,004,281       (3,352,781
  

 

 

   

 

 

 

Net increase (decrease) in cash

     59,965,978       989,814  

Cash, beginning of period

     3,688,091       7,647,292  
  

 

 

   

 

 

 

Cash, end of period

   $ 63,654,069     $ 8,637,106  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

68


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 3,901,391      $ 1,886,831  

Segregated cash balances with brokers for futures contracts

     1,134,531        1,123,375  

Short-term U.S. government and agency obligations (Note 3)
(cost $3,093,782 and $3,999,667, respectively)

     3,093,544        3,999,751  

Receivable from capital shares sold

     1,780,332        —    

Interest receivable

     1,400        —    
  

 

 

    

 

 

 

Total assets

     9,911,198        7,009,957  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     121,799        104,104  

Payable to Sponsor

     5,147        3,110  
  

 

 

    

 

 

 

Total liabilities

     126,946        107,214  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     9,784,252        6,902,743  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 9,911,198      $ 7,009,957  
  

 

 

    

 

 

 

Shares outstanding

     274,832        174,832  
  

 

 

    

 

 

 

Net asset value per share

   $ 35.60      $ 39.48  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 35.65      $ 39.65  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

69


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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(32% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.955% due 10/11/18

   $ 1,100,000      $ 1,099,374  

1.985% due 10/25/18

     800,000        798,891  

2.037% due 11/08/18

     500,000        498,902  

2.079% due 12/06/18

     300,000        298,831  

2.055% due 12/20/18

     100,000        99,527  

2.103% due 01/03/19

     100,000        99,433  

2.143% due 01/17/19

     100,000        99,342  

2.167% due 01/31/19

     100,000        99,244  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $3,093,782)

      $ 3,093,544  
     

 

 

 

Futures Contracts Sold

 

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

Natural Gas - NYMEX, expires November 2018

     651      $ 19,582,080      $ (6,673

 

^^

Rates shown represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

70


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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 23,953     $ 11,436     $ 55,020     $ 25,909  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     17,108       18,019       46,555       51,110  

Brokerage commissions

     5,183       7,316       18,954       19,673  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     22,291       25,335       65,509       70,783  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     1,662       (13,899     (10,489     (44,874
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (265,373     (151,368     (277,886     1,756,252  

Short-term U.S. government and agency obligations

     —         (75     —         (334
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (265,373     (151,443     (277,886     1,755,918  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (12,945     615,201       1,090,376       830,552  

Short-term U.S. government and agency obligations

     (511     555       (322     249  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (13,456     615,756       1,090,054       830,801  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (278,829     464,313       812,168       2,586,719  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (277,167   $ 450,414     $ 801,679     $ 2,541,845  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

71


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 6,902,743  

Addition of 550,000 shares

     20,267,487  

Redemption of 450,000 shares

     (18,187,657
  

 

 

 

Net addition (redemption) of 100,000 shares

     2,079,830  
  

 

 

 

Net investment income (loss)

     (10,489

Net realized gain (loss)

     (277,886

Change in net unrealized appreciation/depreciation

     1,090,054  
  

 

 

 

Net income (loss)

     801,679  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 9,784,252  
  

 

 

 

 

See accompanying notes to financial statements.

 

72


Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 801,679     $ 2,541,845  

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

     (405,049,035     (17,971,116

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

     406,000,000       17,897,394  

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

     (45,080     (25,909

Net realized gain (loss) on investments

     —         334  

Change in unrealized appreciation/depreciation on investments

     322       (249

Decrease (Increase) in receivable on futures contracts

     —         74,855  

Decrease (Increase) in interest receivable

     (1,400     —    

Increase (Decrease) in payable to Sponsor

     2,037       1,874  

Increase (Decrease) in brokerage commissions and fees payable

     —         (144

Increase (Decrease) in payable on futures contracts

     17,695       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     1,726,218       2,518,884  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     18,487,155       9,317,576  

Payment on shares redeemed

     (18,187,657     (9,976,781
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     299,498       (659,205
  

 

 

   

 

 

 

Net increase (decrease) in cash

     2,025,716       1,859,679  

Cash, beginning of period

     3,010,206       1,037,286  
  

 

 

   

 

 

 

Cash, end of period

   $ 5,035,922     $ 2,896,965  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

73


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 34,543,833      $ 1,255,895  

Segregated cash balances with brokers for foreign currency forward contracts

     21,481,000        3,038,000  

Short-term U.S. government and agency obligations (Note 3)
(cost $113,742,850 and $204,788,208, respectively)

     113,732,344        204,770,166  

Unrealized appreciation on foreign currency forward contracts

     715,615        449,302  

Interest receivable

     24,967        —    
  

 

 

    

 

 

 

Total assets

     170,497,759        209,513,363  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable to Sponsor

     131,961        171,595  

Unrealized depreciation on foreign currency forward contracts

     278,349        6,793,571  
  

 

 

    

 

 

 

Total liabilities

     410,310        6,965,166  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     170,087,449        202,548,197  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 170,497,759      $ 209,513,363  
  

 

 

    

 

 

 

Shares outstanding

     7,300,000        9,550,000  
  

 

 

    

 

 

 

Net asset value per share

   $ 23.30      $ 21.21  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 23.31      $ 21.20  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

74


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PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(67% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.952% due 10/11/18

   $ 36,000,000      $ 35,979,502  

1.981% due 10/25/18

     26,000,000        25,963,946  

2.037% due 11/08/18

     18,000,000        17,960,479  

2.036% due 11/23/18

     5,000,000        4,984,431  

2.063% due 12/06/18

     10,000,000        9,961,042  

2.055% due 12/20/18

     4,000,000        3,981,067  

2.103% due 01/03/19

     6,000,000        5,966,003  

2.143% due 01/17/19

     4,000,000        3,973,660  

2.167% due 01/31/19

     5,000,000        4,962,214  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $113,742,850)

      $ 113,732,344  
     

 

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date      Contract Amount
in Local Currency
     Contract Amount
in U.S. Dollars
     Unrealized
Appreciation
(Depreciation)/
Value
 

Contracts to Purchase

           

Euro with Goldman Sachs International

     10/05/18        13,592,000      $ 15,859,195      $ (75,888

Euro with UBS AG

     10/05/18        17,145,000        20,111,584        (202,461
           

 

 

 
          
Total Unrealized
Depreciation
 
 
   $ (278,349
           

 

 

 

Contracts to Sell

           

Euro with Goldman Sachs International

     10/05/18        (161,515,225    $ (187,945,109    $ 390,343  

Euro with UBS AG

     10/05/18        (162,214,000      (188,691,470      325,272  
           

 

 

 
          

Total Unrealized

Appreciation

 

 

   $ 715,615  
           

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

75


Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 787,334     $ 559,862     $ 2,188,547     $ 1,452,945  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     410,731       537,193       1,321,368       1,914,770  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     410,731       537,193       1,321,368       1,914,770  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     376,603       22,669       867,179       (461,825
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     6,358,881       (24,505,520     10,370,332       (45,334,575

Short-term U.S. government and agency obligations

     9       (1,394     (219     (3,856
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     6,358,890       (24,506,914     10,370,113       (45,338,431
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     (2,962,684     10,103,133       6,781,535       (12,263,238

Short-term U.S. government and agency obligations

     (20,359     4,959       7,536       8,176  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (2,983,043     10,108,092       6,789,071       (12,255,062
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     3,375,847       (14,398,822     17,159,184       (57,593,493
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 3,752,450     $ (14,376,153   $ 18,026,363     $ (58,055,318
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

76


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PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 202,548,197  

Addition of 1,500,000 shares

     32,439,081  

Redemption of 3,750,000 shares

     (82,926,192
  

 

 

 

Net addition (redemption) of (2,250,000) shares

     (50,487,111
  

 

 

 

Net investment income (loss)

     867,179  

Net realized gain (loss)

     10,370,113  

Change in net unrealized appreciation/depreciation

     6,789,071  
  

 

 

 

Net income (loss)

     18,026,363  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 170,087,449  
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 18,026,363     $ (58,055,318

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

     (3,523,724,795     (1,194,312,964

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

     3,616,785,001       1,313,461,466  

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

     (2,015,067     (1,452,945

Net realized gain (loss) on investments

     219       3,856  

Change in unrealized appreciation/depreciation on investments

     (6,789,071     12,255,062  

Decrease (Increase) in interest receivable

     (24,967     —    

Increase (Decrease) in payable to Sponsor

     (39,634     (115,455
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     102,218,049       71,783,702  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     32,439,081       39,971,085  

Payment on shares redeemed

     (82,926,192     (112,550,546
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (50,487,111     (72,579,461
  

 

 

   

 

 

 

Net increase (decrease) in cash

     51,730,938       (795,759

Cash, beginning of period

     4,293,895       2,916,502  
  

 

 

   

 

 

 

Cash, end of period

   $ 56,024,833     $ 2,120,743  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 9,270,596      $ 1,026,645  

Segregated cash balances with brokers for futures contracts

     6,956        8,800  

Segregated cash balances with brokers for forward agreements

     4,712,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $14,973,984 and $31,979,626, respectively)

     14,972,997        31,977,900  

Unrealized appreciation on forward agreements

     345,905        —    

Receivable on open futures contracts

     580        —    
  

 

 

    

 

 

 

Total assets

     29,309,034        33,013,345  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable on open futures contracts

     —          2,420  

Payable to Sponsor

     22,414        25,256  

Unrealized depreciation on forward agreements

     —          1,488,259  
  

 

 

    

 

 

 

Total liabilities

     22,414        1,515,935  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     29,286,620        31,497,410  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 29,309,034      $ 33,013,345  
  

 

 

    

 

 

 

Shares outstanding

     346,978        446,978  
  

 

 

    

 

 

 

Net asset value per share

   $ 84.40      $ 70.47  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 83.75      $ 69.11  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(51% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.956% due 10/11/18

   $ 6,000,000      $ 5,996,584  

1.983% due 10/25/18

     4,000,000        3,994,453  

2.031% due 11/08/18

     3,000,000        2,993,413  

2.094% due 12/06/18

     1,000,000        996,104  

2.167% due 01/31/19

     1,000,000        992,443  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $14,973,984)

      $ 14,972,997  
     

 

 

 

Futures Contracts Sold

 

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

Gold Futures - COMEX, expires December 2018

     2      $ 239,240      $ 11,020  

Forward Agreements^

 

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

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

     (2.10 )%      11/07/18      $ (16,600   $ (19,759,810   $ 109,930  

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

     (1.93     11/07/18        (11,998     (14,281,459     87,713  

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

     (1.87     11/07/18        (3,600     (4,285,116     25,704  

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

     (1.92     11/07/18        (16,850     (20,056,724     122,558  
           

 

 

 
           
Total Unrealized
Appreciation
 
 
  $ 345,905  
           

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of September 30, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Forward Agreements payment is due at termination/maturity.

**

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.

 

80


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018      2017  

Investment Income

         

Interest

   $ 118,392     $ 85,802     $ 323,515      $ 202,149  
  

 

 

   

 

 

   

 

 

    

 

 

 

Expenses

         

Management fee

     67,024       86,766       201,913        268,125  

Brokerage commissions

     8       10       36        39  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total expenses

     67,032       86,776       201,949        268,164  
  

 

 

   

 

 

   

 

 

    

 

 

 

Net investment income (loss)

     51,360       (974     121,566        (66,015
  

 

 

   

 

 

   

 

 

    

 

 

 

Realized and unrealized gain (loss) on investment activity

         

Net realized gain (loss) on

         

Futures contracts

     17,879       (640     11,739        5,119  

Forward agreements

     4,907,434       (2,643,515     3,216,619        (10,944,071

Short-term U.S. government and agency obligations

     —         (96     152        (1,168
  

 

 

   

 

 

   

 

 

    

 

 

 

Net realized gain (loss)

     4,925,313       (2,644,251     3,228,510        (10,940,120
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation on

         

Futures contracts

     (4,060     (6,520     16,480        (28,520

Forward agreements

     (1,930,705     305,626       1,834,164        (71,961

Short-term U.S. government and agency obligations

     (3,289     1,228       739        493  
  

 

 

   

 

 

   

 

 

    

 

 

 

Change in net unrealized appreciation/depreciation

     (1,938,054     300,334       1,851,383        (99,988
  

 

 

   

 

 

   

 

 

    

 

 

 

Net realized and unrealized gain (loss)

     2,987,259       (2,343,917     5,079,893        (11,040,108
  

 

 

   

 

 

   

 

 

    

 

 

 

Net income (loss)

   $ 3,038,619     $ (2,344,891   $ 5,201,459      $ (11,106,123
  

 

 

   

 

 

   

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 31,497,410  

Addition of 250,000 shares

     16,527,151  

Redemption of 350,000 shares

     (23,939,400
  

 

 

 

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

     (7,412,249
  

 

 

 

Net investment income (loss)

     121,566  

Net realized gain (loss)

     3,228,510  

Change in net unrealized appreciation/depreciation

     1,851,383  
  

 

 

 

Net income (loss)

     5,201,459  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 29,286,620  
  

 

 

 

 

See accompanying notes to financial statements.

 

82


Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 5,201,459     $ (11,106,123

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

     (1,219,069,079     (136,758,217

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

     1,236,398,357       162,560,129  

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

     (323,484     (202,119

Net realized gain (loss) on investments

     (152     1,168  

Change in unrealized appreciation/depreciation on investments

     (1,834,903     71,468  

Decrease (Increase) in receivable on futures contracts

     (580     680  

Increase (Decrease) in payable to Sponsor

     (2,842     (28,652

Increase (Decrease) in payable on futures contracts

     (2,420     —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     20,366,356       14,538,334  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     16,527,151       22,375,636  

Payment on shares redeemed

     (23,939,400     (35,933,118
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (7,412,249     (13,557,482
  

 

 

   

 

 

 

Net increase (decrease) in cash

     12,954,107       980,852  

Cash, beginning of period

     1,035,445       134,040  
  

 

 

   

 

 

 

Cash, end of period

   $ 13,989,552     $ 1,114,892  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

83


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 2,080,557      $ 614,804  

Segregated cash balances with brokers for futures contracts

     8,078        10,340  

Segregated cash balances with brokers for forward agreements

     6,458,000        738,500  

Short-term U.S. government and agency obligations (Note 3)
(cost $13,467,022 and $18,352,808, respectively)

     13,465,807        18,349,861  

Unrealized appreciation on forward agreements

     526,111        —    
  

 

 

    

 

 

 

Total assets

     22,538,553        19,713,505  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          3,171,777  

Payable on open futures contracts

     3,110        2,220  

Payable to Sponsor

     17,568        17,086  

Unrealized depreciation on forward agreements

     —          1,716,163  
  

 

 

    

 

 

 

Total liabilities

     20,678        4,907,246  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     22,517,875        14,806,259  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 22,538,553      $ 19,713,505  
  

 

 

    

 

 

 

Shares outstanding

     516,976        466,976  
  

 

 

    

 

 

 

Net asset value per share

   $ 43.56      $ 31.71  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 41.58      $ 31.40  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

84


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PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

  

(60% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

     

1.957% due 10/11/18

   $ 4,200,000      $ 4,197,609  

1.996% due 10/25/18

     3,100,000        3,095,701  

2.031% due 11/08/18

     2,100,000        2,095,389  

2.094% due 12/06/18

     1,200,000        1,195,325  

2.055% due 12/20/18

     600,000        597,160  

2.103% due 01/03/19

     700,000        696,034  

2.143% due 01/17/19

     700,000        695,390  

2.167% due 01/31/19

     900,000        893,199  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $13,467,022)

      $ 13,465,807  
     

 

 

 

Futures Contracts Sold

 

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

Silver Futures - COMEX, expires December 2018

     2      $ 147,120      $ 5,630  

Forward Agreements^

 

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

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

     (2.20 )%      11/07/18      $ (1,151,000   $ (16,509,829   $ 197,066  

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

     (2.00     11/07/18        (856,500     (12,284,865     134,792  

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

     (1.98     11/07/18        (156,000     (2,237,602     26,635  

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

     (1.97     11/07/18        (967,000     (13,870,165     167,618  
           

 

 

 
           

Total Unrealized

Appreciation

 

 

  $ 526,111  
           

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

*

Reflects the floating financing rate, as of September 30, 2018, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions. Forward Agreements payment is due at termination/maturity.

**

For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

 

See accompanying notes to financial statements.

 

85


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 99,348     $ 44,411     $ 242,765     $ 103,317  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     58,074       46,737       155,203       143,542  

Brokerage commissions

     8       10       34       39  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     58,082       46,747       155,237       143,581  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     41,266       (2,336     87,528       (40,264
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     18,150       (2,193     20,132       18,357  

Forward agreements

     6,395,607       (464,978     5,131,269       (2,711,677

Short-term U.S. government and agency obligations

     —         (46     (2,032     (190
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     6,413,757       (467,217     5,149,369       (2,693,510
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (2,340     2,560       7,280       (22,370

Forward agreements

     (926,674     (396,316     2,242,274       768,187  

Short-term U.S. government and agency obligations

     (2,540     29       1,732       (33
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (931,554     (393,727     2,251,286       745,784  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     5,482,203       (860,944     7,400,655       (1,947,726
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 5,523,469     $ (863,280   $ 7,488,183     $ (1,987,990
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

86


Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 14,806,259  

Addition of 650,000 shares

     21,143,589  

Redemption of 600,000 shares

     (20,920,156
  

 

 

 

Net addition (redemption) of 50,000 shares

     223,433  
  

 

 

 

Net investment income (loss)

     87,528  

Net realized gain (loss)

     5,149,369  

Change in net unrealized appreciation/depreciation

     2,251,286  
  

 

 

 

Net income (loss)

     7,488,183  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 22,517,875  
  

 

 

 

 

See accompanying notes to financial statements.

 

87


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PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 7,488,183     $ (1,987,990

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

     (786,945,031     (91,865,007

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

     792,071,519       95,552,158  

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

     (242,734     (103,284

Net realized gain (loss) on investments

     2,032       190  

Change in unrealized appreciation/depreciation on investments

     (2,244,006     (768,154

Decrease (Increase) in receivable on futures contracts

     —         780  

Increase (Decrease) in payable to Sponsor

     482       (4,379

Increase (Decrease) in payable on futures contracts

     890       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     10,131,335       824,314  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     21,143,589       22,025,198  

Payment on shares redeemed

     (24,091,933     (20,121,187
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (2,948,344     1,904,011  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     7,182,991       2,728,325  

Cash, beginning of period

     1,363,644       100,351  
  

 

 

   

 

 

 

Cash, end of period

   $ 8,546,635     $ 2,828,676  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

88


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PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 19,502,078      $ 1,582,684  

Segregated cash balances with brokers for foreign currency forward contracts

     7,846,000        —    

Short-term U.S. government and agency obligations (Note 3)
(cost $47,892,172 and $131,844,652, respectively)

     47,887,747        131,834,352  

Unrealized appreciation on foreign currency forward contracts

     3,106,062        1,568,997  

Interest receivable

     2,703        —    
  

 

 

    

 

 

 

Total assets

     78,344,590        134,986,033  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          3,759,983  

Payable to Sponsor

     59,137        106,863  

Unrealized depreciation on foreign currency forward contracts

     128,409        41,734  
  

 

 

    

 

 

 

Total liabilities

     187,546        3,908,580  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     78,157,044        131,077,453  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 78,344,590      $ 134,986,033  
  

 

 

    

 

 

 

Shares outstanding

     999,290        1,749,290  
  

 

 

    

 

 

 

Net asset value per share

   $ 78.21      $ 74.93  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 78.18      $ 74.98  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

89


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PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

     Principal Amount      Value  

Short-term U.S. government and agency obligations

 

(61% of shareholders’ equity)

 

U.S. Treasury Bills^^:

 

1.953% due 10/11/18

   $ 15,000,000      $ 14,991,459  

1.976% due 10/25/18

     11,000,000        10,984,746  

2.027% due 11/08/18

     8,000,000        7,982,435  

2.036% due 11/23/18

     2,000,000        1,993,773  

2.071% due 12/06/18

     4,000,000        3,984,417  

2.055% due 12/20/18

     2,000,000        1,990,533  

2.103% due 01/03/19

     2,000,000        1,988,668  

2.143% due 01/17/19

     2,000,000        1,986,830  

2.167% due 01/31/19

     2,000,000        1,984,886  
     

 

 

 

Total short-term U.S. government and agency obligations
(cost $47,892,172)

 

   $ 47,887,747  
  

 

 

 

Foreign Currency Forward Contracts^

 

     Settlement Date      Contract Amount
in Local Currency
    Contract Amount
in U.S. Dollars
    Unrealized
Appreciation
(Depreciation)/ Value
 

Contracts to Purchase

         

Yen with Goldman Sachs International

     10/05/18        318,769,700     $ 2,853,933     $ (47,503

Yen with UBS AG

     10/05/18        349,211,500       3,155,345       (80,906
         

 

 

 
         

Total Unrealized

Depreciation

 

 

  $ (128,409
         

 

 

 

Contracts to Sell

         

Yen with Goldman Sachs International

     10/05/18        (9,071,378,900   $ (81,409,108   $ 1,545,187  

Yen with UBS AG

     10/05/18        (9,347,285,100     (83,853,858     1,560,875  
         

 

 

 
         

Total Unrealized

Appreciation

 

 

  $ 3,106,062  
         

 

 

 

 

^

The positions and counterparties herein are as of September 30, 2018. 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 represent discount rate at the time of purchase.

 

See accompanying notes to financial statements.

 

90


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 369,683     $ 389,160     $ 1,041,106     $ 1,072,691  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     190,805       376,339       629,165       1,468,775  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     190,805       376,339       629,165       1,468,775  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     178,878       12,821       411,941       (396,084
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Foreign currency forward contracts

     2,520,679       (1,067,853     (398,300     (17,529,013

Short-term U.S. government and agency obligations

     —         (1,081     3       (3,903
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     2,520,679       (1,068,934     (398,297     (17,532,916
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Foreign currency forward contracts

     2,284,335       (83,509     1,450,390       (7,498,058

Short-term U.S. government and agency obligations

     (9,361     3,577       5,875       7,076  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     2,274,974       (79,932     1,456,265       (7,490,982
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     4,795,653       (1,148,866     1,057,968       (25,023,898
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ 4,974,531     $ (1,136,045   $ 1,469,909     $ (25,419,982
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

91


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 131,077,453  

Addition of 100,000 shares

     7,078,646  

Redemption of 850,000 shares

     (61,468,964
  

 

 

 

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

     (54,390,318
  

 

 

 

Net investment income (loss)

     411,941  

Net realized gain (loss)

     (398,297

Change in net unrealized appreciation/depreciation

     1,456,265  
  

 

 

 

Net income (loss)

     1,469,909  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 78,157,044  
  

 

 

 

 

See accompanying notes to financial statements.

 

92


Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 1,469,909     $ (25,419,982

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

     (2,653,216,466     (919,771,798

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

     2,738,199,781       1,040,131,058  

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

     (1,030,832     (1,072,691

Net realized gain (loss) on investments

     (3     3,903  

Change in unrealized appreciation/depreciation on investments

     (1,456,265     7,490,982  

Decrease (Increase) in interest receivable

     (2,703     —    

Increase (Decrease) in payable to Sponsor

     (47,726     (119,571
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     83,915,695       101,241,901  
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     7,078,646       69,116,080  

Payment on shares redeemed

     (65,228,947     (172,018,744
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (58,150,301     (102,902,664
  

 

 

   

 

 

 

Net increase (decrease) in cash

     25,765,394       (1,660,763

Cash, beginning of period

     1,582,684       3,166,988  
  

 

 

   

 

 

 

Cash, end of period

   $ 27,348,078     $ 1,506,225  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

93


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 15,065,059      $ 1,639,958  

Segregated cash balances with brokers for futures contracts

     3,807,600        4,626,400  

Short-term U.S. government and agency obligations (Note 3)
(cost $– and $20,993,328, respectively)

     —          20,993,515  

Receivable on open futures contracts

     —          170,015  

Interest receivable

     4,289        —    
  

 

 

    

 

 

 

Total assets

     18,876,948        27,429,888  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          1,058,309  

Payable on open futures contracts

     95,114        —    

Payable to Sponsor

     11,178        23,631  
  

 

 

    

 

 

 

Total liabilities

     106,292        1,081,940  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     18,770,656        26,347,948  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 18,876,948      $ 27,429,888  
  

 

 

    

 

 

 

Shares outstanding

     912,403        1,237,403  
  

 

 

    

 

 

 

Net asset value per share

   $ 20.57      $ 21.29  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 20.68      $ 21.15  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

94


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

Futures Contracts Purchased

 

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

VIX Futures - CBOE, expires January 2019

     234      $ 3,679,650      $ (222,575

VIX Futures - CBOE, expires February 2019

     389        6,194,825        (233,800

VIX Futures - CBOE, expires March 2019

     389        6,330,975        (163,530

VIX Futures - CBOE, expires April 2019

     156        2,562,300        (11,600
        

 

 

 
         $ (631,505
        

 

 

 

 

 

See accompanying notes to financial statements.

 

95


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 61,731     $ 71,551     $ 171,777     $ 164,138  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     39,915       80,574       137,319       235,818  

Brokerage commissions

     1,277       6,764       15,635       11,815  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     41,192       87,338       152,954       247,633  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     20,539       (15,787     18,823       (83,495
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (1,922,746     (3,965,084     2,044,708       (19,180,135

Short-term U.S. government and agency obligations

     —         —         —         (527
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (1,922,746     (3,965,084     2,044,708       (19,180,662
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (253,265     364,615       1,583,775       (653,395

Short-term U.S. government and agency obligations

     —         1,342       (187     2,167  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (253,265     365,957       1,583,588       (651,228
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (2,176,011     (3,599,127     3,628,296       (19,831,890
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (2,155,472   $ (3,614,914   $ 3,647,119     $ (19,915,385
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

96


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

Shareholders’ equity, at December 31, 2017

   $ 26,347,948  

Addition of 700,000 shares

     15,131,247  

Redemption of 1,025,000 shares

     (26,355,658
  

 

 

 

Net addition (redemption) of (325,000) shares

     (11,224,411
  

 

 

 

Net investment income (loss)

     18,823  

Net realized gain (loss)

     2,044,708  

Change in net unrealized appreciation/depreciation

     1,583,588  
  

 

 

 

Net income (loss)

     3,647,119  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 18,770,656  
  

 

 

 

 

See accompanying notes to financial statements.

 

97


Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 3,647,119     $ (19,915,385

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

     (1,112,899,672     (149,796,234

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

     1,134,000,000       159,492,969  

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

     (107,000     (164,138

Net realized gain (loss) on investments

     —         527  

Change in unrealized appreciation/depreciation on investments

     187       (2,167

Decrease (Increase) in receivable on futures contracts

     170,015       242,541  

Decrease (Increase) in interest receivable

     (4,289     —    

Increase (Decrease) in payable to Sponsor

     (12,453     (3,988

Increase (Decrease) in payable on futures contracts

     95,114       539,598  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     24,889,021       (9,606,277
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     15,131,247       22,086,339  

Payment on shares redeemed

     (27,413,967     (6,918,150
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (12,282,720     15,168,189  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     12,606,301       5,561,912  

Cash, beginning of period

     6,266,358       2,207,730  
  

 

 

   

 

 

 

Cash, end of period

   $ 18,872,659     $ 7,769,642  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

98


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31,
2017
 

Assets

     

Cash

   $ 77,114,447      $ 1,850,632  

Segregated cash balances with brokers for futures contracts

     76,022,714        1,864,500  

Short-term U.S. government and agency obligations (Note 3)
(cost $– and $134,855,770, respectively)

     —          134,845,604  

Receivable on open futures contracts

     4,844,422        2,667,474  

Interest receivable

     37,100        —    
  

 

 

    

 

 

 

Total assets

     158,018,683        141,228,210  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          3,431,713  

Payable on open futures contracts

     3,331,846        —    

Payable to Sponsor

     55,451        54,937  
  

 

 

    

 

 

 

Total liabilities

     3,387,297        3,486,650  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     154,631,386        137,741,560  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 158,018,683      $ 141,228,210  
  

 

 

    

 

 

 

Shares outstanding

     7,076,317        5,901,317  
  

 

 

    

 

 

 

Net asset value per share

   $ 21.85      $ 23.34  
  

 

 

    

 

 

 

Market value per share (Note 2)

   $ 21.94      $ 23.15  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

99


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2018

(unaudited)

 

Futures Contracts Purchased

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

VIX Futures - CBOE, expires October 2018

     6,448      $ 90,110,800      $ (6,857,893

VIX Futures - CBOE, expires November 2018

     4,305        64,467,375        (255,585
        

 

 

 
         $ (7,113,478
        

 

 

 

 

 

See accompanying notes to financial statements.

 

100


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017  

Investment Income

        

Interest

   $ 366,829     $ 379,082     $ 878,858     $ 786,305  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     284,856       381,123       759,563       1,004,091  

Brokerage commissions

     31,960       59,243       133,431       138,487  

Brokerage fees

     —         —         268       —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     316,816       440,366       893,262       1,142,578  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     50,013       (61,284     (14,404     (356,273
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (24,690,361     (27,447,205     29,057,091       (126,202,705

Short-term U.S. government and agency obligations

     —         419       (1,993     (943
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (24,690,361     (27,446,786     29,055,098       (126,203,648
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (16,539,938     (17,219,461     (2,351,601     (17,860,669

Short-term U.S. government and agency obligations

     —         3,094       10,166       6,384  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (16,539,938     (17,216,367     (2,341,435     (17,854,285
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (41,230,299     (44,663,153     26,713,663       (144,057,933
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (41,180,286   $ (44,724,437   $ 26,699,259     $ (144,414,206
  

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

101


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 137,741,560  

Addition of 7,300,000 shares

     206,106,237  

Redemption of 6,125,000 shares

     (215,915,670
  

 

 

 

Net addition (redemption) of 1,175,000 shares

     (9,809,433
  

 

 

 

Net investment income (loss)

     (14,404

Net realized gain (loss)

     29,055,098  

Change in net unrealized appreciation/depreciation

     (2,341,435
  

 

 

 

Net income (loss)

     26,699,259  
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 154,631,386  
  

 

 

 

 

See accompanying notes to financial statements.

 

102


Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017  

Cash flow from operating activities

    

Net income (loss)

   $ 26,699,259     $ (144,414,206

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

     (4,972,527,143     (634,948,674

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

     5,107,914,327       597,015,224  

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

     (533,407     (786,305

Net realized gain (loss) on investments

     1,993       943  

Change in unrealized appreciation/depreciation on investments

     (10,166     (6,384

Decrease (Increase) in receivable on futures contracts

     (2,176,948     4,484,270  

Decrease (Increase) in interest receivable

     (37,100     —    

Increase (Decrease) in payable to Sponsor

     514       (10,310

Increase (Decrease) in payable on futures contracts

     3,331,846       3,913,679  
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     162,663,175       (174,751,763
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     206,106,237       274,586,934  

Payment on shares redeemed

     (219,347,383     (112,968,055
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     (13,241,146     161,618,879  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     149,422,029       (13,132,884

Cash, beginning of period

     3,715,132       21,772,280  
  

 

 

   

 

 

 

Cash, end of period

   $ 153,137,161     $ 8,639,396  
  

 

 

   

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

 

     September 30, 2018
(unaudited)
     December 31, 2017  

Assets

     

Cash

   $ 574,066,212      $ 55,713,112  

Segregated cash balances with brokers for futures contracts

     607,213,953        420,018,133  

Segregated cash balances with brokers for swap agreements

     142,967,000        —    

Segregated cash balances with brokers for forward agreements

     85,635,000        4,081,500  

Segregated cash balances with brokers for foreign currency forward contracts

     30,499,000        3,960,000  

Short-term U.S. government and agency obligations (Note 3)
(cost $760,849,014 and $2,445,970,899, respectively)

     760,772,790        2,445,779,873  

Unrealized appreciation on swap agreements

     47,065,342        62,238,361  

Unrealized appreciation on forward agreements

     872,016        25,381,689  

Unrealized appreciation on foreign currency forward contracts

     3,824,993        2,339,908  

Receivable from capital shares sold

     4,499,333        843,370  

Receivable on open futures contracts

     113,761,385        45,230,982  

Offering costs (Note 5)

     —          105,643  

Limitation by Sponsor

     —          59,651  

Interest receivable

     212,310        —    
  

 

 

    

 

 

 

Total assets

     2,371,389,334        3,065,752,222  
  

 

 

    

 

 

 

Liabilities and shareholders’ equity

     

Liabilities

     

Payable for capital shares redeemed

     —          73,270,557  

Payable on open futures contracts

     16,297,270        1,954,640  

Payable to Sponsor

     1,786,208        2,509,663  

Unrealized depreciation on swap agreements

     22,590,755        30,607,142  

Unrealized depreciation on forward agreements

     5,366,700        3,204,422  

Unrealized depreciation on foreign currency forward contracts

     553,263        6,927,586  

Payable to Broker

     8,339        —    
  

 

 

    

 

 

 

Total liabilities

     46,602,535        118,474,010  
  

 

 

    

 

 

 

Commitments and Contingencies (Note 2)

     

Shareholders’ equity

     

Shareholders’ equity

     2,324,786,799        2,947,278,212  
  

 

 

    

 

 

 

Total liabilities and shareholders’ equity

   $ 2,371,389,334      $ 3,065,752,222  
  

 

 

    

 

 

 

Shares outstanding

     74,892,768        74,000,885  
  

 

 

    

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

 

     Three Months Ended September 30,     Nine Months Ended September 30,  
   2018     2017     2018     2017*  

Investment Income

        

Interest

   $ 8,684,059     $ 7,808,931     $ 23,542,372     $ 16,997,031  
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Management fee

     5,834,934       8,239,003       18,491,990       23,059,129  

Brokerage commissions

     1,360,732       2,698,871       4,925,964       6,069,898  

Brokerage fees

     4,836       —         152,026       —    

Offering costs

     —         74,810       105,643       154,500  

Limitation by Sponsor

     —         (12,787     (27,133     (37,387

Reduction in Limitation by Sponsor

     —         5,818       —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     7,200,502       11,005,715       23,648,490       29,246,140  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     1,483,557       (3,196,784     (106,118     (12,249,109
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investment activity

        

Net realized gain (loss) on

        

Futures contracts

     (109,595,481     44,960,735       (1,589,640,291     (340,387,543

Swap agreements

     (6,473,141     20,685,901       36,862,469       (72,778,431

Forward agreements

     (63,794,988     3,415,938       (56,632,609     30,057,907  

Foreign currency forward contracts

     8,450,767       (24,318,202     9,256,566       (59,859,325

Short-term U.S. government and agency obligations

     (1,130     (11,633     (272,534     (60,265
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss)

     (171,413,973     44,732,739       (1,600,426,399     (443,027,657
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation on

        

Futures contracts

     (49,385,316     (4,409,373     4,808,142       (8,069,381

Swap agreements

     (24,450,563     73,621,267       (7,156,632     (16,033,167

Forward agreements

     13,077,528       6,515,522       (26,671,951     (10,593,707

Foreign currency forward contracts

     (625,225     9,447,911       7,859,408       (19,449,879

Short-term U.S. government and agency obligations

     (145,310     119,011       114,802       184,931  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in net unrealized appreciation/depreciation

     (61,528,886     85,294,338       (21,046,231     (53,961,203
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

     (232,942,859     130,027,077       (1,621,472,630     (496,988,860
  

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

   $ (231,459,302   $ 126,830,293     $ (1,621,578,748   $ (509,237,969
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date).

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2018

(unaudited)

 

Shareholders’ equity, at December 31, 2017

   $ 2,947,278,212  

Addition of 83,967,500 shares

     5,134,521,982  

Redemption of 83,075,617 shares

     (4,135,434,647
  

 

 

 

Net addition (redemption) of 891,883 shares

     999,087,335  
  

 

 

 

Net investment income (loss)

     (106,118

Net realized gain (loss)

     (1,600,426,399

Change in net unrealized appreciation/depreciation

     (21,046,231
  

 

 

 

Net income (loss)

     (1,621,578,748
  

 

 

 

Shareholders’ equity, at September 30, 2018

   $ 2,324,786,799  
  

 

 

 

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

 

     Nine Months Ended September 30,  
   2018     2017*  

Cash flow from operating activities

    

Net income (loss)

   $ (1,621,578,748   $ (509,237,969

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

     (74,645,523,313     (15,422,910,140

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

     76,349,727,446       15,297,219,736  

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

     (19,354,782     (16,996,897

Net realized gain (loss) on investments

     272,534       60,265  

Change in unrealized appreciation/depreciation on investments

     25,854,373       45,891,822  

Decrease (Increase) in receivable on futures contracts

     (68,530,403     (16,424,691

Decrease (Increase) in Limitation by Sponsor

     59,651       (37,387

Decrease (Increase) in interest receivable

     (212,310     —    

Amortization of offering cost

     105,643       154,500  

Increase (Decrease) in payable to Sponsor

     (723,455     203,860  

Increase (Decrease) in brokerage commissions and fees payable

     —         (2,909

Increase (Decrease) in payable on futures contracts

     14,342,630       21,358,476  

Increase (Decrease) in payable to Broker

     8,339       —    
  

 

 

   

 

 

 

Net cash provided by (used in) operating activities

     34,447,605       (600,721,334
  

 

 

   

 

 

 

Cash flow from financing activities

    

Proceeds from addition of shares

     5,130,866,019       7,571,567,102  

Payment on shares redeemed

     (4,208,705,204     (6,752,351,669
  

 

 

   

 

 

 

Net cash provided by (used in) financing activities

     922,160,815       819,215,433  
  

 

 

   

 

 

 

Net increase (decrease) in cash

     956,608,420       218,494,099  

Cash, beginning of period

     483,772,745       219,695,457  
  

 

 

   

 

 

 

Cash, end of period

   $ 1,440,381,165     $ 438,189,556  
  

 

 

   

 

 

 

 

*

The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF since January 13, 2017 (inception date).

 

See accompanying notes to financial statements.

 

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2018

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2018, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

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

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,” “Ultra Funds,” or “UltraPro 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.

Effective as of close of business on February 27, 2018, the investment objective of ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF changed.

ProShares Ultra VIX Short-Term Futures ETF changed its investment objective to seek daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) of the performance of the S&P 500 VIX Short-Term Futures Index for a single day. Prior to the close of business on February 27, 2018, the Fund’s investment objective was to seek results, before fees and expenses, that correspond to two times (2x) the performance of the Index for a single day.

ProShares Short VIX Short-Term Futures ETF changed its investment objective to seek daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the performance of the S&P 500 VIX Short-Term Futures Index for a single day. Prior to the close of business on February 27, 2018, the Fund’s investment objective was to seek results, before fees and expenses, that correspond to the inverse (-1x) of the Index for a single day.

 

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Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or 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 “UltraPro Short” Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each “UltraPro” Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.

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., -0.5x, -1x, -2x, -3x, 1.5x, 2x, or 3x) of the period return of the corresponding benchmark and will likely differ significantly.

As described in the prospectus for each Fund, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark, 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 the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. 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, 2017 and during

nine months ended September 30, 2018. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.

 

Fund   

Execution Date

(Prior to Opening

of Trading)

   Type of Split   

Date Trading

Resumed at Post-

Split Price

ProShares UltraShort Bloomberg Crude Oil

  

January 11, 2017

  

2-for-1 Share split

  

January 12, 2017

ProShares Ultra Bloomberg Crude Oil

  

January 11, 2017

  

1-for-2 reverse Share split

  

January 12, 2017

ProShares Ultra VIX Short-Term Futures ETF

  

January 11, 2017

  

1-for-5 reverse Share split

  

January 12, 2017

ProShares Short VIX Short-Term Futures ETF

  

July 12, 2017

  

2-for-1 Share split

  

July 17, 2017

ProShares VIX Short-Term Futures ETF

  

July 14, 2017

  

1-for-4 reverse Share split

  

July 17, 2017

ProShares Ultra VIX Short-Term Futures ETF

  

July 14, 2017

  

1-for-4 reverse Share split

  

July 17, 2017

ProShares Ultra Bloomberg Natural Gas

  

March 19, 2018

  

1-for-5 reverse Share split

  

March 20, 2018

ProShares UltraPro 3x Short Crude Oil ETF

  

March 19, 2018

  

1-for-4 reverse Share split

  

March 20, 2018

ProShares Short VIX Short-Term Futures ETF

  

August 29, 2018

  

1-for-4 reverse Share split

  

September 18, 2018

ProShares Ultra VIX Short-Term Futures ETF

  

August 29, 2018

  

1-for-5 reverse Share split

  

September 18, 2018

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

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

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

 

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The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“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/A for the year ended December 31, 2017, as filed with the SEC on March 26, 2018.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

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

Basis of Presentation

Pursuant to rules and regulations of the 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 September 30, 2018, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements, segregated cash with brokers for forward agreements, and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2018 were typically as follows. All times are Eastern Standard Time:

 

    

Create/Redeem

Cut-off*

  

NAV Calculation
Time

  

NAV
Calculation Date

UltraShort Silver, Ultra Silver

   6:30 a.m.    7:00 a.m.    September 28, 2018

UltraShort Gold, Ultra Gold

   9:30 a.m.    10:00 a.m.    September 28, 2018

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

   2:00 p.m.    2:30 p.m.    September 28, 2018

UltraPro 3x Short Crude Oil ETF

   2:00 p.m.    2:30 p.m.    September 28, 2018

UltraPro 3x Crude Oil ETF

        

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

        

UltraShort Australian Dollar

   3:00 p.m.    4:00 p.m.    September 28, 2018

Short Euro

   3:00 p.m.    4:00 p.m.    September 28, 2018

 

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UltraShort Euro,

Ultra Euro

        

UltraShort Yen,

Ultra Yen

   3:00 p.m.    4:00 p.m.    September 28, 2018

VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

Short VIX Short-Term Futures ETF

   2:00 p.m.    4:15 p.m.    September 28, 2018

VIX Mid-Term Futures ETF

   2:00 p.m.    4:15 p.m.    September 28, 2018

 

*

Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2018.

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2018.

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 typically 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 typically 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 typically 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 typically 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. 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. 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. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

Fair Value of Financial Instruments

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

 

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

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

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

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

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

 

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The following table summarizes the valuation of investments at September 30, 2018 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  

Short Euro

   $ 4,489,617      $ 1,881     $ —       $ —       $ —       $ 4,491,498  

Short VIX Short-Term Futures ETF

     —          11,131,604       —         —         —         11,131,604  

Ultra Bloomberg Crude Oil

     261,325,708        20,291,426       —         —         47,065,342       328,682,476  

Ultra Bloomberg Natural Gas

     13,365,019        578,049       —         —         —         13,943,068  

Ultra Euro

     3,791,183        —         —         (33,215     —         3,757,968  

Ultra Gold

     55,869,617        (11,020     (899,357     —         —         54,959,240  

Ultra Silver

     117,643,145        (5,630     (4,467,343     —         —         113,170,172  

Ultra VIX Short-Term Futures ETF

     —          (34,049,554     —         —         (296,663     (34,346,217

Ultra Yen

     499,389        —         —         (109,974     —         389,415  

UltraPro 3x Crude Oil ETF

     —          10,246,895       —         —         —         10,246,895  

UltraPro 3x Short Crude Oil ETF

     —          (5,282,566     —         —         —         (5,282,566

UltraShort Australian Dollar

     3,891,985        (232,700     —         —         —         3,659,285  

UltraShort Bloomberg Crude Oil

     106,744,688        (3,044,668     —         —         (22,294,092     81,405,928  

UltraShort Bloomberg Natural Gas

     3,093,544        (6,673     —         —         —         3,086,871  

UltraShort Euro

     113,732,344        —         —         437,266       —         114,169,610  

UltraShort Gold

     14,972,997        11,020       345,905       —         —         15,329,922  

UltraShort Silver

     13,465,807        5,630       526,111       —         —         13,997,548  

UltraShort Yen

     47,887,747        —         —         2,977,653       —         50,865,400  

VIX Mid-Term Futures ETF

     —          (631,505     —         —         —         (631,505

VIX Short-Term Futures ETF

     —          (7,113,478     —         —         —         (7,113,478
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 760,772,790      $ (8,111,289   $ (4,494,684   $ 3,271,730     $ 24,474,587     $ 775,913,134  

 

*

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

At September 30, 2018, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

Each Fund’s policy is to recognize transfers between valuation levels at the end of the reporting period.

At September 30, 2018, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

 

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The following table summarizes the valuation of investments at December 31, 2017 using the fair value hierarchy:

 

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

Short Euro

   $ 6,996,235      $ (166,288   $ —       $ —       $ —       $ 6,829,947  

Short VIX Short-Term Futures ETF

     494,910,644        17,041,449       —         —         —         511,952,093  

Ultra Bloomberg Crude Oil

     459,515,902        11,945,979       —         —         62,238,361       533,700,242  

Ultra Bloomberg Natural Gas

     50,961,356        7,225,810       —         —         —         58,187,166  

Ultra Euro

     6,996,235        —         —         264,152       —         7,260,387  

Ultra Gold

     88,884,844        5,480       3,646,355       —         —         92,536,679  

Ultra Silver

     235,581,716        1,600       21,735,334       —         —         257,318,650  

Ultra VIX Short-Term Futures ETF

     287,533,132        (34,466,120     —         —         —         253,067,012  

Ultra Yen

     1,997,933        —         —         (34,824     —         1,963,109  

UltraPro 3x Crude Oil ETF

     —          1,417,998       —         —         —         1,417,998  

UltraPro 3x Short Crude Oil ETF

     —          (2,988,155     —         —         —         (2,988,155

UltraShort Australian Dollar

     11,983,904        (893,220     —         —         —         11,090,684  

UltraShort Bloomberg Crude Oil

     253,646,823        (3,962,648     —         —         (30,607,142     219,077,033  

UltraShort Bloomberg Natural Gas

     3,999,751        (1,097,049     —         —         —         2,902,702  

UltraShort Euro

     204,770,166        —         —         (6,344,269     —         198,425,897  

UltraShort Gold

     31,977,900        (5,460     (1,488,259     —         —         30,484,181  

UltraShort Silver

     18,349,861        (1,650     (1,716,163     —         —         16,632,048  

UltraShort Yen

     131,834,352        —         —         1,527,263       —         133,361,615  

VIX Mid-Term Futures ETF

     20,993,515        (2,215,280     —         —         —         18,778,235  

VIX Short-Term Futures ETF

     134,845,604        (4,761,877     —         —         —         130,083,727  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Trust

   $ 2,445,779,873      $ (12,919,431   $ 22,177,267     $ (4,587,678   $ 31,631,219     $ 2,482,081,250  

 

*

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, 2017, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

Each Fund’s policy is to recognize transfers between valuation levels at the end of the reporting period.

At December 31, 2017, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

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.

Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

 

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Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

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

New Accounting Pronouncements

In November 2016, the FASB issued Accounting Standards Update No. 2016-18, “Statement of Cash Flows (Topic 230): Restricted Cash” (“ASU 2016-18”), which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted cash and restricted cash equivalents on the statement of cash flows. The ASU has been adopted for the current reporting period under the retrospective transition method. The adoption had no significant impact to the Statement of Cash Flows.

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, futures, and/or 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 objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.

 

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As discussed in Note 1, the Short VIX Short-Term Futures ETF and the Ultra VIX Short-Term Futures ETF changed their investment objectives and target exposures as of the close of business on February 27, 2018. From this time through the effective end of the reporting period, the volume of the derivative exposure relative to the net assets was generally representative to their current investment objectives. From the beginning of the reporting period until the close of business on February 27, 2018, the volume of the derivative exposure relative to the net assets was generally representative to their previous investment objectives.

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

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

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

Swap Agreements

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

 

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

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

Swap 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 to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter in to a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2018 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. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty

 

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owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2018, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

Certain of the Funds enter into forward contracts for purposes of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts 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. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2018, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

 

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

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

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

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

 

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Fair Value of Derivative Instruments

as of September 30, 2018

 

    

Assets Derivatives

   

Liability Derivatives

 

Derivatives Not

Accounted for

as Hedging

Instruments

  

Statements of

Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of
Financial Condition
Location

  

Fund

   Unrealized
Depreciation
 

VIX Futures
Contracts

   Receivables on open
futures contracts, unrealized appreciation on swap agreements
   ProShares Short VIX Short-Term Futures ETF    $ 11,131,604   Payable on open
futures contracts,
unrealized
depreciation on swap
agreements
   ProShares Ultra VIX Short-Term Futures ETF    $ 34,346,217
         ProShares VIX Mid-Term Futures ETF      631,505
         ProShares VIX Short-Term Futures ETF      7,113,478

Commodities
Contracts

   Receivables on open
futures contracts,
unrealized
appreciation on
swap and/or forward agreements
   ProShares Ultra Bloomberg Crude Oil      67,356,768   Payable on open
futures contracts,
unrealized
depreciation on
swap and/or forward agreements
   ProShares Ultra Gold      910,377
   ProShares Ultra Bloomberg Natural Gas      578,049    ProShares Ultra Silver      4,472,973
   ProShares UltraPro 3x Crude Oil ETF      10,246,895    ProShares UltraPro 3x Short Crude Oil ETF      5,282,566
   ProShares UltraShort Gold      356,925    ProShares UltraShort Bloomberg Crude Oil      25,338,760
   ProShares UltraShort Silver      531,741    ProShares UltraShort Bloomberg Natural Gas      6,673

Foreign Exchange
Contracts

   Unrealized
appreciation on
foreign currency
forward contracts
and receivables on
open futures
contracts
   ProShares Short Euro      1,881   Unrealized
depreciation
on foreign currency
forward contracts
and payable on
open futures
contracts
   ProShares Ultra Euro      34,302  
   ProShares Ultra Euro      1,087      ProShares Ultra Yen      112,203  
   ProShares Ultra Yen      2,229      ProShares UltraShort Australian Dollar      232,700
   ProShares UltraShort Euro      715,615      ProShares UltraShort Euro      278,349  
   ProShares UltraShort Yen      3,106,062      ProShares UltraShort Yen      128,409  
     

 

 

       

 

 

 
      Total Trust    $ 94,028,856      Total Trust    $ 78,888,512

 

*

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.

 

120


Table of Contents

Fair Value of Derivative Instruments

as of December 31, 2017

 

    

Assets Derivatives

   

Liability Derivatives

 

Derivatives Not

Accounted for

as Hedging

Instruments

  

Statements of
Financial

Condition

Location

  

Fund

   Unrealized
Appreciation
   

Statements of
Financial Condition
Location

  

Fund

   Unrealized
Depreciation
 

VIX Futures
Contracts

   Receivables on open
futures contracts
   ProShares Short VIX Short-Term Futures ETF    $ 21,493,549   Payable on open
futures contracts
   ProShares Short VIX Short-Term Futures ETF    $ 4,452,100
      ProShares Ultra VIX Short-Term Futures ETF      3,974,642      ProShares Ultra VIX Short-Term Futures ETF      38,440,762
      ProShares VIX Short-Term Futures ETF      709,708     

ProShares VIX

Mid-Term Futures ETF

     2,215,280
              ProShares VIX Short-Term Futures ETF      5,471,585

Commodities
Contracts

   Receivables on open
futures contracts,
unrealized
appreciation on
swap and/or
forward agreements
   ProShares Ultra Bloomberg Crude Oil      74,184,340   Payable on open
futures contracts,
unrealized
depreciation on
swap and/or
forward agreements
   ProShares UltraPro 3x Short Crude Oil ETF      2,988,155
   ProShares Ultra Bloomberg Natural Gas      7,225,810    ProShares UltraShort Bloomberg Crude Oil      34,569,790
   ProShares Ultra Gold      3,651,835    ProShares UltraShort Bloomberg Natural Gas      1,097,049
      ProShares Ultra Silver      21,736,934      ProShares UltraShort Gold      1,493,719
      ProShares UltraPro 3x Crude Oil ETF      1,417,998      ProShares UltraShort Silver      1,717,813

Foreign Exchange
Contracts

   Unrealized
appreciation on
foreign currency
forward contracts
and receivables on open futures
contracts
   ProShares Ultra Euro      321,609     Unrealized
depreciation on
foreign currency
forward contracts
and payable on
open futures
contracts
   ProShares Short Euro      166,288
   ProShares UltraShort
Euro
     449,302      ProShares Ultra Euro      57,457  
   ProShares UltraShort Yen      1,568,997      ProShares Ultra Yen      34,824  
         ProShares UltraShort Australian Dollar      893,220
         ProShares UltraShort Euro      6,793,571  
           ProShares UltraShort Yen      41,734  
     

 

 

         

 

 

 
      Total Trust    $ 136,734,724      Total Trust    $ 100,433,347

 

*

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

 

121


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2018

 

Derivatives Not Accounted
for as Hedging Instruments

  

Location of Gain

(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

VIX Futures Contracts

   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and/or swap agreements    ProShares Short VIX
Short-Term Futures ETF
   $ 38,096,229     $ 33,660,002  
   ProShares Ultra VIX
Short-Term Futures ETF
     (155,771,155     (74,408,126
   ProShares VIX Mid-Term Futures ETF      (1,922,746     (253,265
   ProShares VIX Short-Term Futures ETF      (24,690,361     (16,539,938

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 Ultra Bloomberg Crude Oil      50,283,654       (32,361,205
   ProShares Ultra Bloomberg Natural Gas      801,033       696,672  
   ProShares Ultra Gold      (15,454,618     6,257,639  
   ProShares Ultra Silver      (59,679,477     9,683,708  
   ProShares UltraPro 3x Crude Oil ETF      4,185,376       341,411  
   ProShares UltraPro 3x Short Crude Oil ETF      (3,065,880     159,888  
   ProShares UltraShort Bloomberg Crude Oil      (24,890,259     15,591,389  
   ProShares UltraShort Bloomberg Natural Gas      (265,373     (12,945
   ProShares UltraShort Gold      4,925,313       (1,934,765
   ProShares UltraShort Silver      6,413,757       (929,014

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      173,885       (85,332
   ProShares Ultra Euro      (337,286     138,839  
   ProShares Ultra Yen      (91,507     (85,715
   ProShares UltraShort Australian Dollar      997,012       (624,470
   ProShares UltraShort Euro      6,358,881       (2,962,684
   ProShares UltraShort Yen      2,520,679       2,284,335  
        

 

 

   

 

 

 
      Total Trust    $ (171,412,843   $ (61,383,576

 

122


Table of Contents
The Effect of Derivative Instruments on the Statements of Operations  
For the three months ended September 30, 2017  

Derivatives Not Accounted
for as Hedging Instruments

  

Location of Gain

(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

VIX Futures Contracts

   Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts    ProShares Short VIX Short-Term Futures ETF    $ 188,300,727     $ 100,033,466  
   ProShares Ultra VIX Short-Term Futures ETF      (126,532,816     (95,515,562
   ProShares VIX Mid-Term Futures ETF      (3,965,084     364,615  
   ProShares VIX Short-Term Futures ETF      (27,447,205     (17,219,461

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 Ultra Bloomberg Crude Oil      45,497,245       112,823,127  
   ProShares Ultra Bloomberg Natural Gas      (2,014,548     (1,078,511
   ProShares Ultra Gold      5,462,918       (549,421
   ProShares Ultra Silver      1,064,270       7,159,593  
   ProShares UltraPro 3x Crude Oil ETF      4,971,742       694,326  
   ProShares UltraPro 3x Short Crude Oil ETF      (1,540,337     (2,178,096
   ProShares UltraShort Bloomberg Crude Oil      (9,418,807     (30,456,798
   ProShares UltraShort Bloomberg Natural Gas      (151,368     615,201  
   ProShares UltraShort Gold      (2,644,155     299,106  
   ProShares UltraShort Silver      (467,171     (393,756

Foreign Exchange Contracts

   Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts    ProShares Short Euro      (599,482     291,787  
   ProShares Ultra Euro      1,259,663       (519,273
   ProShares Ultra Yen      (4,492     (52,440
   ProShares UltraShort Australian Dollar      (1,453,355     837,800  
   ProShares UltraShort Euro      (24,505,520     10,103,133  
   ProShares UltraShort Yen      (1,067,853     (83,509
     

 

 

   

 

 

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

 

 

   

 

 

 

 

123


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2018

 

Derivatives Not Accounted
for as Hedging Instruments

  

Location of Gain

(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

VIX Futures Contracts

   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and/or swap agreements    ProShares Short VIX
Short-Term Futures ETF
   $ (1,789,421,125   $ (5,909,845
   ProShares Ultra VIX
Short-Term Futures ETF
     105,021,521       119,903  
   ProShares VIX Mid-Term Futures ETF      2,044,708       1,583,775  
   ProShares VIX Short-Term Futures ETF      29,057,091       (2,351,601

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 Ultra Bloomberg Crude Oil      202,022,270       (6,827,572
   ProShares Ultra Bloomberg Natural Gas      5,881,807       (6,647,761
   ProShares Ultra Gold      (12,506,333     (4,562,212
   ProShares Ultra Silver      (52,504,971     (26,209,907
   ProShares UltraPro 3x Crude Oil ETF      7,547,152       8,828,897  
   ProShares UltraPro 3x Short Crude Oil ETF      (14,534,995     (2,294,411
   ProShares UltraShort Bloomberg Crude Oil      (100,649,930     9,231,030  
   ProShares UltraShort Bloomberg Natural Gas      (277,886     1,090,376  
   ProShares UltraShort Gold      3,228,358       1,850,644  
   ProShares UltraShort Silver      5,151,401       2,249,554  

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      238,110       168,169  
   ProShares Ultra Euro      (646,805     (297,367
   ProShares Ultra Yen      (68,661     (75,150
   ProShares UltraShort
Australian Dollar
     292,391       660,520  
   ProShares UltraShort Euro      10,370,332       6,781,535  
   ProShares UltraShort Yen      (398,300     1,450,390  
        

 

 

   

 

 

 
      Total Trust    $ (1,600,153,865   $ (21,161,033

 

124


Table of Contents

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2017

 

Derivatives Not Accounted
for as Hedging Instruments

  

Location of Gain

(Loss) on Derivatives
Recognized in Income

  

Fund

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

Recognized in
Income
 

VIX Futures Contracts

   Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts    ProShares Short VIX
Short-Term Futures ETF
   $ 471,128,319     $ 104,553,646  
   ProShares Ultra VIX
Short-Term Futures ETF
     (646,036,987     (93,790,794
   ProShares VIX Mid-Term Futures ETF      (19,180,135     (653,395
   ProShares VIX Short-Term Futures ETF      (126,202,705     (17,860,669

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 Ultra Bloomberg Crude Oil      (123,511,840     (6,281,183
   ProShares Ultra Bloomberg Natural Gas      (21,040,313     (3,508,410
   ProShares Ultra Gold      23,362,749       (3,993,840
   ProShares Ultra Silver      20,327,016       (7,245,193
   ProShares UltraPro 3x Crude Oil ETF      3,137,907       1,272,779  
   ProShares UltraPro 3x Short Crude Oil ETF      232,006       (2,423,370
   ProShares UltraShort Bloomberg Crude Oil      49,807,530       (5,412,170
   ProShares UltraShort Bloomberg Natural Gas      1,756,252       830,552  
   ProShares UltraShort Gold      (10,938,952     (100,481
   ProShares UltraShort Silver      (2,693,320     745,817  

Foreign Exchange Contracts

   Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts    ProShares Short Euro      (1,334,988     (26,694
   ProShares Ultra Euro      2,666,172       364,650  
   ProShares Ultra Yen      338,091       (53,233
   ProShares UltraShort
Australian Dollar
     (1,920,606     (802,850
   ProShares UltraShort Euro      (45,334,575     (12,263,238
   ProShares UltraShort Yen      (17,529,013     (7,498,058
        

 

 

   

 

 

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

 

125


Table of Contents

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2018.

 

Fair Values of Derivative Instruments as of September 30, 2018

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

ProShares Ultra Bloomberg Crude Oil

                 

Swap agreements

   $ 47,065,342      $ —        $ 47,065,342      $ —        $ —        $ —    

ProShares Ultra Euro

                 

Foreign currency forward contracts

     1,087        —          1,087        34,302        —          34,302  

ProShares Ultra Gold

                 

Forward agreements

     —          —          —          899,357        —          899,357  

ProShares Ultra Silver

                 

Forward agreements

     —          —          —          4,467,343        —          4,467,343  

ProShares Ultra VIX Short-Term Futures ETF

                 

Swap agreements

     —          —          —          296,663        —          296,663  

ProShares Ultra Yen

                 

Foreign currency forward contracts

     2,229        —          2,229        112,203        —          112,203  

ProShares UltraShort Bloomberg Crude Oil

                 

Swap agreements

     —          —          —          22,294,092        —          22,294,092  

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     715,615        —          715,615        278,349        —          278,349  

ProShares UltraShort Gold

                 

Forward agreements

     345,905        —          345,905        —          —          —    

ProShares UltraShort Silver

                 

Forward agreements

     526,111        —          526,111        —          —          —    

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     3,106,062        —          3,106,062        128,409        —          128,409  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2018. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

126


Table of Contents

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2018

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

ProShares Ultra Bloomberg Crude Oil

           

Citibank N.A.

   $ 14,479,827      $ (7,921,019    $ —        $ 6,558,808  

Goldman Sachs International

     11,072,035        (8,111,198      —          2,960,837  

RBC N.A.

     6,969,964        —          (4,890,000      2,079,964  

Societe Generale S.A.

     4,824,103        —          (3,410,000      1,414,103  

UBS AG

     9,719,413        (7,589,053      —          2,130,360  

ProShares Ultra Euro

           

Goldman Sachs International

     (17,907      —          17,907        —    

UBS AG

     (15,308      —          15,308        —    

ProShares Ultra Gold

        —          

Citibank N.A.

     (343,582      —          343,582        —    

Goldman Sachs International

     (269,873      —          269,873        —    

Societe Generale S.A.

     (25,919      —          25,919        —    

UBS AG

     (259,983         259,983        —    

ProShares Ultra Silver

           

Citibank N.A.

     (1,743,357      —          1,743,357        —    

Goldman Sachs International

     (1,193,050      —          1,193,050        —    

Societe Generale S.A.

     (305,888      —          305,888        —    

UBS AG

     (1,225,048      —          1,225,048        —    

ProShares Ultra VIX Short-Term Futures ETF

           

Goldman Sachs International

     (296,663      —          296,663        —    

ProShares Ultra Yen

           

Goldman Sachs International

     (54,660      —          54,660        —    

UBS AG

     (55,314      —          28,000        (27,314

ProShares UltraShort Bloomberg Crude Oil

           

Citibank N.A.

     (7,353,578      —          7,353,578        —    

Goldman Sachs International

     (4,624,796      —          4,624,796        —    

RBC N.A.

     (3,733,214      —          640,000        (3,093,214

Societe Generale S.A.

     (1,763,418      —          1,763,418        —    

UBS AG

     (4,819,086      —          4,819,086        —    

ProShares UltraShort Euro

           

Goldman Sachs International

     314,455        —          —          314,455  

UBS AG

     122,811        —          —          122,811  

ProShares UltraShort Gold

           

Citibank N.A.

     109,930        (109,930      —          —    

Goldman Sachs International

     87,713        —          —          87,713  

Societe Generale S.A.

     25,704        —          —          25,704  

UBS AG

     122,558        —          —          122,558  

ProShares UltraShort Silver

           

Citibank N.A.

     197,066        —          —          197,066  

Goldman Sachs International

     134,792        (23,551      —          111,241  

Societe Generale S.A.

     26,635        —          —          26,635  

UBS AG

     167,618        —          —          167,618  

ProShares UltraShort Yen

           

Goldman Sachs International

     1,497,684        (1,008,410      —          489,274  

UBS AG

     1,479,969        (1,009,517      —          470,452  

 

127


Table of Contents

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2017:

 

Fair Values of Derivative Instruments as of December 31, 2017

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

ProShares Ultra Bloomberg
Crude Oil

                 

Swap agreements

   $ 62,238,361      $ —        $ 62,238,361      $ —        $ —        $ —    

ProShares Ultra Euro

                 

Foreign currency forward contracts

     321,609        —          321,609        57,457        —          57,457  

ProShares Ultra Gold

                 

Forward agreements

     3,646,355        —          3,646,355        —          —          —    

ProShares Ultra Silver

                 

Forward agreements

     21,735,334        —          21,735,334        —          —          —    

ProShares Ultra Yen

                 

Foreign currency forward contracts

     —          —          —          34,824        —          34,824  

ProShares UltraShort Bloomberg Crude Oil

                 

Swap agreements

     —          —          —          30,607,142        —          30,607,142  

ProShares UltraShort Euro

                 

Foreign currency forward contracts

     449,302        —          449,302        6,793,571        —          6,793,571  

ProShares UltraShort Gold

                 

Forward agreements

     —          —          —          1,488,259        —          1,488,259  

ProShares UltraShort Silver

                 

Forward agreements

     —          —          —          1,716,163        —          1,716,163  

ProShares UltraShort Yen

                 

Foreign currency forward contracts

     1,568,997        —          1,568,997        41,734        —          41,734  

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2017. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

 

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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2017

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

ProShares Ultra Bloomberg Crude Oil

           

Citibank N.A.

   $ 19,815,892      $ —        $ —      $ 19,815,892

Goldman Sachs International

     16,654,031        (14,861,090      —          1,792,941  

Societe Generale S.A.

     9,003,519        (8,525,505      —          478,014  

UBS AG

     16,764,919        (15,477,566      —          1,287,353  

ProShares Ultra Euro

           

Goldman Sachs International

     102,424        —          —          102,424  

UBS AG

     161,728        —          —          161,728  

ProShares Ultra Gold

           

Citibank N.A.

     1,513,310        —          —          1,513,310  

Goldman Sachs International

     969,501        (967,678      (1,823      —    

Societe Generale S.A.

     218,319        —          —          218,319  

UBS AG

     945,225        (945,225      —          —    

ProShares Ultra Silver

           

Citibank N.A.

     7,201,744      —          —          7,201,744  

Goldman Sachs International

     5,873,080      (4,903,696      —          969,384  

Societe Generale S.A.

     2,761,817      (2,516,153      —          245,664  

UBS AG

     5,898,693      (4,930,596      —          968,097

ProShares Ultra Yen

           

Goldman Sachs International

     (17,410      17,410        —          —    

UBS AG

     (17,414      17,414        —          —    

ProShares UltraShort Bloomberg Crude Oil

           

Citibank N.A.

     (10,173,164      10,173,164        —          —    

Goldman Sachs International

     (9,242,398      9,242,398        —          —    

Societe Generale S.A.

     (1,904,113      1,904,113        —          —    

UBS AG

     (9,287,467      9,287,467        —          —    

ProShares UltraShort Euro

           

Goldman Sachs International

     (3,297,612      259,612        3,038,000      —    

UBS AG

     (3,046,657      3,046,657        —          —    

ProShares UltraShort Gold

           

Citibank N.A.

     (554,559      554,559        —          —    

Goldman Sachs International

     (428,358      428,358        —          —    

Societe Generale S.A.

     (126,928      126,928        —          —    

UBS AG

     (378,414      378,414        —          —    

ProShares UltraShort Silver

           

Citibank N.A.

     (632,593      632,593      —          —    

Goldman Sachs International

     (486,240      —          486,240      —    

Societe Generale S.A.

     (115,305      115,305        —          —    

UBS AG

     (482,025      482,025        —          —    

ProShares UltraShort Yen

           

Goldman Sachs International

     821,317      (810,030      —          11,287  

UBS AG

     705,946      —          (705,946      —    

 

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NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Sponsor has not and will not charge a Management Fee in each of the Fund’s first year of operations in an amount equal to the offering costs. The Sponsor has reimbursed and will reimburse each Fund, to the extent that its offering costs exceed the Management Fee, for the first year of operations.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, any Index licensors for the Funds, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator

Brown Brothers Harriman & Co. (“BBH&Co.”) serves as the Administrator of the Funds. 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.

 

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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. The Sponsor has reimbursed ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF to the extent that their respective offering costs exceeded 0.95% of their average daily NAV during their first year of operations.

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 governed 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 with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $250 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

 

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Transaction fees for the three and nine months ended September 30, 2018 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

 

Fund    Three Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2018
 

Short Euro

   $ —        $ —    

Short VIX Short-Term Futures ETF

     103,371        661,104  

Ultra Bloomberg Crude Oil

     43,377        148,940  

Ultra Bloomberg Natural Gas

     1,421        9,264  

Ultra Euro

     —          —    

Ultra Gold

     —          6,263  

Ultra Silver

     5,269        16,841  

Ultra VIX Short-Term Futures ETF

     483,901        1,545,651  

Ultra Yen

     —          —    

UltraPro 3x Crude Oil ETF

     18,225        31,924  

UltraPro 3x Short Crude Oil ETF

     9,434        29,977  

UltraShort Australian Dollar

     —          —    

UltraShort Bloomberg Crude Oil

     19,104        84,917  

UltraShort Bloomberg Natural Gas

     1,117        3,849  

UltraShort Euro

     —          —    

UltraShort Gold

     —          8,911  

UltraShort Silver

     —          —    

UltraShort Yen

     —          —    

VIX Mid-Term Futures ETF

     317        12,366  

VIX Short-Term Futures ETF

     29,131        121,292  
  

 

 

    

 

 

 

Total Trust

   $ 714,667      $ 2,681,299  

 

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2018:

For the Three Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   Short
Euro
    Short VIX
Short-Term
Futures ETF*
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas*
    Ultra
Euro
    Ultra
Gold
 

Net asset value, at June 30, 2018

   $ 41.60     $ 51.10     $ 34.33     $ 29.28     $ 16.09     $ 36.49  

Net investment income (loss)

     0.06       (0.01     0.07       0.03       0.02       0.08  

Net realized and unrealized gain (loss)#

     0.43       8.01       1.36       1.03       (0.41     (4.08

Change in net asset value from operations

     0.49       8.00       1.43       1.06       (0.39     (4.00

Net asset value, at September 30, 2018

   $ 42.09     $ 59.10     $ 35.76     $ 30.34     $ 15.70     $ 32.49  

Market value per share, at June 30, 2018†

   $ 41.53     $ 50.88     $ 34.38     $ 29.27     $ 16.06     $ 36.56  

Market value per share, at September 30, 2018†

   $ 42.12     $ 59.09     $ 35.96     $ 30.27     $ 15.70     $ 32.75  

Total Return, at net asset value^

     1.2     15.7     4.2     3.6     (2.4 )%      (11.0 )% 

Total Return, at market value^

     1.4     16.1     4.6     3.4     (2.2 )%      (10.4 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.97     1.18     0.96     1.15     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.53     (0.09 )%      0.88     0.48     0.41     0.97

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

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For the Three Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   Ultra
Silver
    Ultra VIX
Short-Term
Futures ETF*
    Ultra
Yen
    UltraPro 3x
Crude Oil ETF
    UltraPro
3x Short Crude
Oil ETF*
    UltraShort
Australian
Dollar
 

Net asset value, at June 30, 2018

   $ 29.38     $ 61.26     $ 57.88     $ 62.78     $ 19.31     $ 50.52  

Net investment income (loss)

     0.06       (0.09     (0.03     0.01       (0.01     0.06  

Net realized and unrealized gain (loss)#

     (6.42     (24.67     (3.54     2.35       (2.89     2.13  

Change in net asset value from operations

     (6.36     (24.76     (3.57     2.36       (2.90     2.19  

Net asset value, at September 30, 2018

   $ 23.02     $ 36.50     $ 54.31     $ 65.14     $ 16.41     $ 52.71  

Market value per share, at June 30, 2018†

   $ 29.66     $ 61.70     $ 58.33     $ 63.02     $ 19.27     $ 51.20  

Market value per share, at September 30, 2018†

   $ 24.07     $ 36.80     $ 54.44     $ 65.68     $ 16.27     $ 52.78  

Total Return, at net asset value^

     (21.6 )%      (40.4 )%      (6.2 )%      3.8     (15.0 )%      4.3

Total Return, at market value^

     (18.8 )%      (40.4 )%      (6.7 )%      4.2     (15.6 )%      3.1

Ratios to Average Net Assets**

            

Expense ratio

     0.95     1.66     0.95     1.09     1.12     1.04

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.97     (0.80 )%      (0.19 )%      0.04     (0.14 )%      0.50

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

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Table of Contents

For the Three Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural
Gas
    UltraShort
Euro
    UltraShort
Gold
    UltraShort
Silver
    UltraShort
Yen
 

Net asset value, at June 30, 2018

   $ 14.93     $ 38.59     $ 22.79     $ 75.65     $ 34.77     $ 73.49  

Net investment income (loss)

     0.03       0.01       0.05       0.15       0.07       0.17  

Net realized and unrealized gain (loss)#

     (1.37     (3.00     0.46       8.60       8.72       4.55  

Change in net asset value from operations

     (1.34     (2.99     0.51       8.75       8.79       4.72  

Net asset value, at September 30, 2018

   $ 13.59     $ 35.60     $ 23.30     $ 84.40     $ 43.56     $ 78.21  

Market value per share, at June 30, 2018†

   $ 14.91     $ 38.62     $ 22.79     $ 75.39     $ 34.40     $ 73.44  

Market value per share, at September 30, 2018†

   $ 13.50     $ 35.65     $ 23.31     $ 83.75     $ 41.58     $ 78.18  

Total Return, at net asset value^

     (9.0 )%      (7.7 )%      2.2     11.6     25.3     6.4

Total Return, at market value^

     (9.5 )%      (7.7 )%      2.3     11.1     20.9     6.5

Ratios to Average Net Assets**

            

Expense ratio

     0.97     1.23     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.84     0.09     0.87     0.73     0.67     0.89

 

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

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For the Three Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   VIX Mid-Term
Futures ETF
    VIX Short-
Term Futures
ETF
 

Net asset value, at June 30, 2018

   $ 23.03     $ 30.42  

Net investment income (loss)

     0.02       0.01  

Net realized and unrealized gain (loss)#

     (2.48     (8.58

Change in net asset value from operations

     (2.46     (8.57

Net asset value, at September 30, 2018

   $ 20.57     $ 21.85  

Market value per share, at June 30, 2018†

   $ 23.02     $ 30.52  

Market value per share, at September 30, 2018†

   $ 20.68     $ 21.94  

Total Return, at net asset value^

     (10.7 )%      (28.2 )% 

Total Return, at market value^

     (10.2 )%      (28.1 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.88     0.95

Expense ratio, excluding brokerage commissions

     0.85     0.85

Net investment income (loss)

     0.44     0.15

 

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

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

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

 

Per Share Operating Performance

   Short
Euro
    Short VIX
Short-Term
Futures ETF*
    Ultra
Bloomberg
Crude Oil*
    Ultra
Bloomberg
Natural Gas*
    Ultra
Euro
    Ultra
Gold
 

Net asset value, at June 30, 2017

   $ 41.74     $ 320.43     $ 14.80     $ 48.85     $ 16.16     $ 37.75  

Net investment income (loss)

     (0.01     (0.54     (0.00 )(2)      (0.05     (0.00 )(2)      0.00 (1)  

Net realized and unrealized gain (loss)#

     (1.26     54.84       3.10       (5.10     0.97       2.07  

Change in net asset value from operations

     (1.27     54.30       3.10       (5.15     0.97       2.07  

Net asset value, at September 30, 2017

   $ 40.47     $ 374.73     $ 17.90     $ 43.70     $ 17.13     $ 39.82  

Market value per share, at June 30, 2017†

   $ 41.71     $ 322.56     $ 14.86     $ 48.70     $ 16.17     $ 37.68  

Market value per share, at September 30, 2017†

   $ 40.56     $ 375.00     $ 17.82     $ 44.00     $ 17.10     $ 39.60  

Total Return, at net asset value^

     (3.0 )%      16.9     20.9     (10.5 )%      6.0     5.5

Total Return, at market value^

     (2.8 )%      16.3     19.9     (9.7 )%      5.8     5.1

Ratios to Average Net Assets**

            

Expense ratio

     0.96     1.50     0.97     1.16     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.14 )%      (0.66 )%      (0.01 )%      (0.37 )%      (0.04 )%      0.03

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2017.

**

Percentages are annualized.

(1)

Amount represents less than $0.005.

(2) 

Amount represents less than $(0.005).

 

137


Table of Contents

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

 

Per Share Operating Performance

   Ultra
Silver
    Ultra VIX
Short-Term
Futures ETF*
    Ultra Yen     UltraPro 3x
Crude Oil ETF
    UltraPro 3x
Short Crude Oil
ETF*
    UltraShort
Australian
Dollar
 

Net asset value, at June 30, 2017

   $ 33.23     $ 196.59     $ 58.68     $ 19.52     $ 105.84     $ 47.90  

Net investment income (loss)

     0.00 (1)       (0.45     (0.04     (0.07     (0.28     (0.01

Net realized and unrealized gain (loss)#

     0.79       (92.95     (0.57     5.82       (35.48     (2.26

Change in net asset value from operations

     0.79       (93.40     (0.61     5.75       (35.76     (2.27

Net asset value, at September 30, 2017

   $ 34.02     $ 103.19     $ 58.07     $ 25.27     $ 70.08     $ 45.63  

Market value per share, at June 30, 2017†

   $ 33.82     $ 194.80     $ 58.68     $ 19.68     $ 104.96     $ 47.80  

Market value per share, at September 30, 2017†

   $ 33.15     $ 103.00     $ 58.17     $ 25.09     $ 70.52     $ 45.85  

Total Return, at net asset value^

     2.4     (47.5 )%      (1.0 )%      29.5     (33.8 )%      (4.7 )% 

Total Return, at market value^

     (2.0 )%      (47.1 )%      (0.9 )%      27.5     (32.8 )%      (4.1 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     2.00     0.95     1.24     1.31     1.01

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.00 %(3)      (1.21 )%      (0.28 )%      (1.24 )%      (1.31 )%      (0.13 )% 

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2017.

**

Percentages are annualized.

(1)

Amount represents less than $0.005.

(3) 

Amount represents less than 0.005%.

 

138


Table of Contents

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

 

Per Share Operating Performance

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

Net asset value, at June 30, 2017

   $ 43.43     $ 33.16     $ 23.12     $ 76.30     $ 34.75     $ 74.07  

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

     (9.83     0.77       (1.43     (5.02     (2.76     0.18  

Change in net asset value from operations

     (9.83     0.71       (1.43     (5.02     (2.76     0.19  

Net asset value, at September 30, 2017

   $ 33.60     $ 33.87     $ 21.69     $ 71.28     $ 31.99     $ 74.26  

Market value per share, at June 30, 2017†

   $ 43.21     $ 33.33     $ 23.12     $ 76.37     $ 34.09     $ 74.05  

Market value per share, at September 30, 2017†

   $ 33.73     $ 33.64     $ 21.68     $ 71.55     $ 32.78     $ 74.21  

Total Return, at net asset value^

     (22.6 )%      2.1     (6.2 )%      (6.6 )%      (7.9 )%      0.3

Total Return, at market value^

     (21.9 )%      0.9     (6.2 )%      (6.3 )%      (3.8 )%      0.2

Ratios to Average Net Assets**

            

Expense ratio

     0.99     1.34     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.03 )%      (0.73 )%      0.04     (0.01 )%      (0.05 )%      0.03

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2017

**

Percentages are annualized.

(1)

Amount represents less than $0.005.

(2) 

Amount represents less than $(0.005).

 

139


Table of Contents

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

 

Per Share Operating Performance

   VIX Mid-Term
Futures ETF
    VIX Short-Term
Futures ETF*
 

Net asset value, at June 30, 2017

   $ 27.46     $ 42.69  

Net investment income (loss)

     (0.01     (0.01

Net realized and unrealized gain (loss)#

     (2.25     (10.11

Change in net asset value from operations

     (2.26     (10.12

Net asset value, at September 30, 2017

   $ 25.20     $ 32.57  

Market value per share, at June 30, 2017†

   $ 27.43     $ 42.52  

Market value per share, at September 30, 2017†

   $ 25.17     $ 32.53  

Total Return, at net asset value^

     (8.2 )%      (23.7 )% 

Total Return, at market value^

     (8.2 )%      (23.5 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.92     0.98

Expense ratio, excluding brokerage commissions

     0.85     0.85

Net investment income (loss)

     (0.17 )%      (0.14 )% 

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2017.

**

Percentages are annualized.

 

140


Table of Contents

Selected data for a Share outstanding throughout the nine months ended September 30, 2018:

For the Nine Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   Short
Euro
    Short VIX
Short-Term
Futures ETF*
    Ultra
Bloomberg
Crude Oil
    Ultra
Bloomberg
Natural Gas*
    Ultra Euro     Ultra Gold  

Net asset value, at December 31, 2017

   $ 39.96     $ 509.20     $ 23.66     $ 32.64     $ 17.44     $ 39.88  

Net investment income (loss)

     0.10       (0.25     0.13       0.05       0.02       0.20  

Net realized and unrealized gain (loss)#

     2.03       (449.85     11.97       (2.35     (1.76     (7.59

Change in net asset value from operations

     2.13       (450.10     12.10       (2.30     (1.74     (7.39

Net asset value, at September 30, 2018

   $ 42.09     $ 59.10     $ 35.76     $ 30.34     $ 15.70     $ 32.49  

Market value per share, at December 31, 2017†

   $ 39.99     $ 512.84     $ 23.44     $ 32.50     $ 17.46     $ 40.67  

Market value per share, at September 30, 2018†

   $ 42.12     $ 59.09     $ 35.96     $ 30.27     $ 15.70     $ 32.75  

Total Return, at net asset value^

     5.3     (88.4 )%      51.1     (7.0 )%      (10.0 )%      (18.5 )% 

Total Return, at market value^

     5.3     (88.5 )%      53.4     (6.9 )%      (10.1 )%      (19.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.97     1.38     0.97     1.20     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.33     (0.50 )%      0.58     0.24     0.19     0.68

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

141


Table of Contents

For the Nine Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   Ultra
Silver
    Ultra VIX
Short-Term
Futures ETF*
    Ultra Yen     UltraPro 3x
Crude Oil ETF
    UltraPro 3x
Short Crude Oil
ETF*
    UltraShort
Australian
Dollar
 

Net asset value, at December 31, 2017

   $ 33.55     $ 51.67     $ 57.32     $ 37.78     $ 42.32     $ 45.67  

Net investment income (loss)

     0.15       (0.39     (0.14     (0.19     (0.16     0.09  

Net realized and unrealized gain (loss)#

     (10.68     (14.78     (2.87     27.55       (25.75     6.95  

Change in net asset value from operations

     (10.53     (15.17     (3.01     27.36       (25.91     7.04  

Net asset value, at September 30, 2018

   $ 23.02     $ 36.50     $ 54.31     $ 65.14     $ 16.41     $ 52.71  

Market value per share, at December 31, 2017†

   $ 33.85     $ 51.05     $ 57.45     $ 37.23     $ 42.88     $ 45.72  

Market value per share, at September 30, 2018†

   $ 24.07     $ 36.80     $ 54.44     $ 65.68     $ 16.27     $ 52.78  

Total Return, at net asset value^

     (31.4 )%      (29.4 )%      (5.3 )%      72.4     (61.2 )%      15.4

Total Return, at market value^

     (28.9 )%      (27.9 )%      (5.2 )%      76.4     (62.1 )%      15.4

Ratios to Average Net Assets**

            

Expense ratio

     0.95     1.70     0.95     1.13     1.19     1.03

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.66     (0.98 )%      (0.31 )%      (0.50 )%      (0.82 )%      0.25

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

142


Table of Contents

For the Nine Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   UltraShort
Bloomberg
Crude Oil
    UltraShort
Bloomberg
Natural Gas
    UltraShort
Euro
    UltraShort
Gold
    UltraShort
Silver
    UltraShort
Yen
 

Net asset value, at December 31, 2017

   $ 24.31     $ 39.48     $ 21.21     $ 70.47     $ 31.71     $ 74.93  

Net investment income (loss)

     0.09       (0.06     0.10       0.31       0.14       0.33  

Net realized and unrealized gain (loss)#

     (10.81     (3.82     1.99       13.62       11.71       2.95  

Change in net asset value from operations

     (10.72     (3.88     2.09       13.93       11.85       3.28  

Net asset value, at September 30, 2018

   $ 13.59     $ 35.60     $ 23.30     $ 84.40     $ 43.56     $ 78.21  

Market value per share, at December 31, 2017†

   $ 24.56     $ 39.65     $ 21.20     $ 69.11     $ 31.40     $ 74.98  

Market value per share, at September 30, 2018†

   $ 13.50     $ 35.65     $ 23.31     $ 83.75     $ 41.58     $ 78.18  

Total Return, at net asset value^

     (44.1 )%      (9.8 )%      9.9     19.8     37.4     4.4

Total Return, at market value^

     (45.0 )%      (10.1 )%      10.0     21.2     32.4     4.3

Ratios to Average Net Assets**

            

Expense ratio

     0.98     1.33     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     0.62     (0.21 )%      0.62     0.57     0.53     0.62

 

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

 

143


Table of Contents

For the Nine Months Ended September 30, 2018 (unaudited)

 

Per Share Operating Performance

   VIX Mid-Term
Futures ETF
    VIX Short-Term
Futures ETF
 

Net asset value, at December 31, 2017

   $ 21.29     $ 23.34  

Net investment income (loss)

     0.02       (0.00 )(1) 

Net realized and unrealized gain (loss)#

     (0.74     (1.49

Change in net asset value from operations

     (0.72     (1.49

Net asset value, at September 30, 2018

   $ 20.57     $ 21.85  

Market value per share, at December 31, 2017†

   $ 21.15     $ 23.15  

Market value per share, at September 30, 2018†

   $ 20.68     $ 21.94  

Total Return, at net asset value^

     (3.4 )%      (6.4 )% 

Total Return, at market value^

     (2.2 )%      (5.2 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.94     0.99

Expense ratio, excluding brokerage commissions

     0.85     0.85

Net investment income (loss)

     0.12     (0.02 )% 

 

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2018.

**

Percentages are annualized.

(1) 

Amount represents less than $(0.005).

 

144


Table of Contents

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

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

 

Per Share Operating Performance

  Short Euro     Short VIX
Short-Term
Futures ETF*
    Ultra Bloomberg
Crude Oil*
    Ultra Bloomberg
Natural Gas*
    Ultra Euro     Ultra Gold  

Net asset value, at December 31, 2016

  $ 45.06     $ 182.46     $ 23.34     $ 94.24     $ 14.02     $ 32.90  

Net investment income (loss)

    (0.12     (1.80     (0.03     (0.23     (0.03     (0.06

Net realized and unrealized gain (loss)#

    (4.47     194.07       (5.41     (50.31     3.14       6.98  

Change in net asset value from operations

    (4.59     192.27       (5.44     (50.54     3.11       6.92  

Net asset value, at September 30, 2017

  $ 40.47     $ 374.73     $ 17.90     $ 43.70     $ 17.13     $ 39.82  

Market value per share, at December 31, 2016†

  $ 45.12     $ 181.96     $ 23.36     $ 94.80     $ 14.09     $ 33.20  

Market value per share, at September 30, 2017†

  $ 40.56     $ 375.00     $ 17.82     $ 44.00     $ 17.10     $ 39.60  

Total Return, at net asset value^

    (10.2 )%      105.3     (23.3 )%      (53.6 )%      22.2     21.0

Total Return, at market value^

    (10.1 )%      106.1     (23.7 )%      (53.6 )%      21.4     19.3

Ratios to Average Net Assets**

           

Expense ratio

    0.96     1.52     0.97     1.16     0.95     0.95

Expense ratio, excluding brokerage commissions

    0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

    (0.37 )%      (0.80 )%      (0.24 )%      (0.57 )%      (0.26 )%      (0.22 )% 

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2017.

**

Percentages are annualized.

 

145


Table of Contents

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

 

Per Share Operating Performance

   Ultra
Silver
    Ultra VIX
Short-Term
Futures ETF*
    Ultra Yen     UltraPro 3x
Crude Oil ETF+
    UltraPro 3x
Short Crude Oil
ETF*+
    UltraShort
Australian
Dollar
 

Net asset value, at December 31, 2016

   $ 33.44     $ 869.63     $ 55.43     $ 25.00     $ 100.00     $ 55.38  

Net investment income (loss)

     (0.06     (2.16     (0.21     (0.14     (0.62     (0.15

Net realized and unrealized gain (loss)#

     0.64       (764.28     2.85       0.41       (29.30     (9.60

Change in net asset value from operations

     0.58       (766.44     2.64       0.27       (29.92     (9.75

Net asset value, at September 30, 2017

   $ 34.02     $ 103.19     $ 58.07     $ 25.27     $ 70.08     $ 45.63  

Market value per share, at December 31, 2016†

   $ 32.09     $ 875.00     $ 55.52     $ 25.00     $ 100.00     $ 55.24  

Market value per share, at September 30, 2017†

   $ 33.15     $ 103.00     $ 58.17     $ 25.09     $ 70.52     $ 45.85  

Total Return, at net asset value^

     1.7     (88.1 )%      4.8     1.1     (29.9 )%      (17.6 )% 

Total Return, at market value^

     3.3     (88.2 )%      4.8     0.4     (29.5 )%      (17.0 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.95     1.88     0.95     1.26     1.34     1.01

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.23 )%      (1.28 )%      (0.47 )%      (1.26 )%      (1.34 )%      (0.42 )% 

 

*

See Note 1 of these Notes to Financial Statements.

+

From commencement of operations, March 24, 2017 through September 30, 2017.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period ended September 30, 2017. For ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF the returns for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00 and $100.00 respectively.

**

Percentages are annualized.

 

146


Table of Contents

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

 

Per Share Operating Performance

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

Net asset value, at December 31, 2016

   $ 31.70     $ 23.10     $ 27.08     $ 91.33     $ 37.31     $ 80.24  

Net investment income (loss)

     (0.08     (0.20     (0.04     (0.13     (0.06     (0.14

Net realized and unrealized gain (loss)#

     1.98       10.97       (5.35     (19.92     (5.26     (5.84

Change in net asset value from operations

     1.90       10.77       (5.39     (20.05     (5.32     (5.98

Net asset value, at September 30, 2017

   $ 33.60     $ 33.87     $ 21.69     $ 71.28     $ 31.99     $ 74.26  

Market value per share, at December 31, 2016†

   $ 31.65     $ 23.05     $ 27.08     $ 90.54     $ 38.76     $ 80.25  

Market value per share, at September 30, 2017†

   $ 33.73     $ 33.64     $ 21.68     $ 71.55     $ 32.78     $ 74.21  

Total Return, at net asset value^

     6.0     46.6     (19.9 )%      (22.0 )%      (14.3 )%      (7.5 )% 

Total Return, at market value^

     6.6     45.9     (19.9 )%      (21.0 )%      (15.4 )%      (7.5 )% 

Ratios to Average Net Assets**

            

Expense ratio

     0.99     1.32     0.95     0.95     0.95     0.95

Expense ratio, excluding brokerage commissions

     0.95     0.95     0.95     0.95     0.95     0.95

Net investment income (loss)

     (0.29 )%      (0.83 )%      (0.23 )%      (0.23 )%      (0.27 )%      (0.26 )% 

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated

^

Percentages are not annualized for the period ended September 30, 2017.

**

Percentages are annualized.

 

147


Table of Contents

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

 

Per Share Operating Performance

   VIX Mid-Term
Futures ETF
    VIX Short-Term
Futures ETF*
 

Net asset value, at December 31, 2016

   $ 42.14     $ 84.86  

Net investment income (loss)

     (0.07     (0.11

Net realized and unrealized gain (loss)#

     (16.87     (52.18

Change in net asset value from operations

     (16.94     (52.29

Net asset value, at September 30, 2017

   $ 25.20     $ 32.57  

Market value per share, at December 31, 2016†

   $ 42.34     $ 85.04  

Market value per share, at September 30, 2017†

   $ 25.17     $ 32.53  

Total Return, at net asset value^

     (40.2 )%      (61.6 )% 

Total Return, at market value^

     (40.6 )%      (61.7 )% 

Ratios to Average Net Assets**

    

Expense ratio

     0.89     0.97

Expense ratio, excluding brokerage commissions

     0.85     0.85

Net investment income (loss)

     (0.30 )%      (0.30 )% 

 

*

See Note 1 of these Notes to Financial Statements.

#

The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^

Percentages are not annualized for the period September 30, 2017.

**

Percentages are annualized.

 

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), three times the inverse (-3x), one and one-half times (1.5x) of the return, two times (2x) of the return or three times of the return (3x) of the Geared Fund’s benchmark for the period. A Geared 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, UltraShort and UltraPro Short Funds), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared 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 Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.

Each Ultra, UltraShort, UltraPro and UltraPro Short 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 or UltraPro Fund with a 1.5x or 2x or 3x multiple should be approximately one and one-half or two or three 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 an UltraShort or UltraPro Short Fund is designed to return two times the inverse (-2x) or three times the inverse (-3x) 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 significant risks not applicable to other types 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. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (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 or trading instruments 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, over weighting or under weighting 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, extreme market volatility, and other factors 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., -0.5x, -1x, -2x, 1.5x, 2x, -3x or 3x as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

 

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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets and have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for uncleared swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could impact the Funds.

As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of 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.

Counterparty Credit Risk

The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of uncleared derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared derivatives 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 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.

 

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OTC derivatives of the type that may be utilized by the Funds are generally 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. 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 to the party under the agreement. For example, 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 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 derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with an FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Uncleared derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. 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.

The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions is generally lower than for uncleared OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a 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, even over periods as short as a single day.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) 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 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

 

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opposite direction, eliminating all or a portion of the movement. For UltraPro Fund and UltraPro Short Fund, because the Funds include a three times (3x) or three times the inverse (-3x) multiplier, a single day movement in the benchmark approaching 33% at any point in the day 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 the 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 and UltraPro Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund and UltraPro Short 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 2017 may specify a January 2018 expiration. As that contract nears expiration, it may be replaced by selling the January 2018 contract and purchasing the contract expiring in March 2018. 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 2018 contract would take place at a price that is higher than the price at which the March 2018 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, an UltraPro Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund, an UltraShort Fund or an UltraPro Short 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, UltraShort Funds, and UltraPro Short Funds, and positively affect the Ultra Funds, UltraPro 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.

Gold and silver have historically exhibited 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.

 

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NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

The Trust has engaged The Bank of New York Mellon, a New York corporation authorized to do a banking business (“BNY Mellon”), to provide the Trust and the Funds with certain custodial, administrative and accounting, and transfer agency services, pursuant to the following agreements with BNY Mellon, effective on October 1, 2018: (i) BNY Custody Agreement; (ii) BNY Administration and Accounting Agreement; and (iii) BNY Transfer Agency and Service Agreement.

 

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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,” “intend,” “project,” “seek” 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 (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2018, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

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

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

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,” “Ultra Funds” or “UltraPro 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.

Effective as of close of business on February 27, 2018, the investment objective of ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF changed.

 

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ProShares Ultra VIX Short-Term Futures ETF changed its investment objective to seek daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) of the performance of the S&P 500 VIX Short-Term Futures Index for a single day. Prior to the close of business on February 27, 2018, the Fund’s investment objective was to seek results, before fees and expenses, that correspond to two times (2x) the performance of the Index for a single day.

ProShares Short VIX Short-Term Futures ETF changed its investment objective to seek daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the performance of the S&P 500 VIX Short-Term Futures Index for a single day. Prior to the close of business on February 27, 2018, the Fund’s investment objective was to seek results, before fees and expenses, that correspond to the inverse (-1x) of the Index for a single day.

As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark 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 the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. 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 either one-half the inverse (-0.5x) or 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 “UltraPro Short” Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each “UltraPro” Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) of 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 (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.

Each Geared Fund seeks investment results for a single day only, not for any other period. 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 -0.5x, -1x, -2x, -3x, 1.5x, 2x or 3x of the return of the benchmark 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, that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. 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 Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, and ProShares Ultra Bloomberg Natural Gas are benchmarked to Indices 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.

 

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Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in Indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2018 and 2017, each of the Funds earned interest income as follows:

 

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Interest Income

 

Fund

   Interest Income
Three Months
Ended
September 30,
2018
     Interest Income
Three Months
Ended
September 30,
2017
     Interest Income
Nine Months
Ended
September 30,
2018
     Interest Income
Nine Months
Ended
September 30,
2017
 

ProShares Short Euro

   $ 31,641      $ 18,865      $ 78,667      $ 57,345  

ProShares Short VIX Short-Term Futures ETF

     1,287,659        2,102,194        4,369,182        3,484,888  

ProShares Ultra Bloomberg Crude Oil

     1,905,336        1,819,809        5,027,003        4,436,888  

ProShares Ultra Bloomberg Natural Gas

     103,480        93,039        357,473        199,874  

ProShares Ultra Euro

     27,379        30,171        77,134        69,923  

ProShares Ultra Gold

     371,579        231,647        1,076,472        531,782  

ProShares Ultra Silver

     969,237        612,838        2,671,211        1,497,007  

ProShares Ultra VIX Short-Term Futures ETF

     1,202,062        866,857        2,441,956        1,833,411  

ProShares Ultra Yen

     5,433        10,221        14,169        21,407  

ProShares UltraPro 3x Crude Oil ETF

     110,355        —          115,343        —    

ProShares UltraPro 3x Short Crude Oil ETF

     56,224        —          62,491        —    

ProShares UltraShort Australian Dollar

     29,472        23,090        73,735        58,614  

ProShares UltraShort Bloomberg Crude Oil

     756,932        458,896        2,275,948        998,438  

ProShares UltraShort Bloomberg Natural Gas

     23,953        11,436        55,020        25,909  

ProShares UltraShort Euro

     787,334        559,862        2,188,547        1,452,945  

ProShares UltraShort Gold

     118,392        85,802        323,515        202,149  

ProShares UltraShort Silver

     99,348        44,411        242,765        103,317  

ProShares UltraShort Yen

     369,683        389,160        1,041,106        1,072,691  

ProShares VIX Mid-Term Futures ETF

     61,731        71,551        171,777        164,138  

ProShares VIX Short-Term Futures ETF

     366,829        379,082        878,858        786,305  

Each Fund’s underlying swaps, futures, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

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

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

 

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Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative 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 the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

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

 

   

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

 

   

limiting the outstanding amounts due from counterparties to the Funds;

 

   

not posting margin directly with a counterparty;

 

   

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

 

   

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

 

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Off-Balance Sheet Arrangements and Contractual Obligations

As of November 2, 2018, 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 payment amounts 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 investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2018.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

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

 

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

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

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

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

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

 

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Results of Operations for the Three Months Ended September 30, 2018 Compared to the Three Months Ended September 30, 2017

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 8,319,329     $ 10,433,992  

NAV end of period

   $ 8,418,243     $ 8,093,438  

Percentage change in NAV

     1.2     (22.4 )% 

Shares outstanding beginning of period

     200,000       250,000  

Shares outstanding end of period

     200,000       200,000  

Percentage change in shares outstanding

     —         (20.0 )% 

Shares redeemed

     —         50,000  

Per share NAV beginning of period

   $ 41.60     $ 41.74  

Per share NAV end of period

   $ 42.09     $ 40.47  

Percentage change in per share NAV

     1.2     (3.0 )% 

Percentage change in benchmark

     (0.6)     3.5

Benchmark annualized volatility

     7.1     7.3

 

During the three months ended September 30, 2018, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2018 to September 30, 2018. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.2% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2017, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2018.

 

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 15, 2018 at $42.93 per Share and reached its low for the period on July 9, 2018 at $41.35 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share.

The benchmark’s decline of 0.6% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 3.5% for the three months ended September 30, 2017, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 11,261      $ (3,071

Management fee

     20,064        21,606  

Brokerage commissions

     316        330  

Net realized gain (loss)

     173,885        (599,589

Change in net unrealized appreciation/depreciation

     (86,232      292,113  

Net income (loss)

   $ 98,914      $ (310,547

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2018.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 528,238,767     $ 793,060,423  

NAV end of period

   $ 392,109,157     $ 1,039,873,910  

Percentage change in NAV

     (25.8 )%      31.1

Shares outstanding beginning of period

     10,337,500       2,475,000  

Shares outstanding end of period

     6,634,307       2,775,000  

Percentage change in shares outstanding

     (35.8 )%      12.1

Shares created

     —         4,437,500  

Shares redeemed

     3,703,193       4,137,500  

Per share NAV beginning of period

   $ 51.10     $ 320.43  

Per share NAV end of period

   $ 59.10     $ 374.73  

Percentage change in per share NAV

     15.7     16.9

Percentage change in benchmark

     (27.8 )%      (23.4 )% 

Benchmark annualized volatility

     43.7     65.8

 

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 10,337,500 outstanding Shares at June 30, 2018 to 6,634,307 outstanding Shares at September 30, 2018. 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 one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 2,475,000 outstanding Shares at June 30, 2017 to 2,775,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.7% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 16.9% for the three months ended September 30, 2017, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2018

 

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During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 18, 2018 at $231.36 per Share and reached its low for the period on July 3, 2018 at $50.54 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $374.72 per Share and reached its low for the period on August 18, 2017 at $280.20 per Share.

The benchmark’s decline of 27.8% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 23.4% for the three months ended September 30, 2017, can be attributed to a greater decline of the prices of the near-term futures contracts on the VIX futures during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (101,161    $ (1,640,811

Management fee

     1,111,482        2,376,444  

Brokerage commissions

     272,502        1,366,561  

Net realized gain (loss)

     38,096,229        188,307,524  

Change in net unrealized appreciation/depreciation

     33,660,002        100,090,454  

Net income (loss)

   $ 71,655,070      $ 286,757,167  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve and a lower Net Asset Value during the three months ended September 30, 2018.

 

*

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 455,274,935     $ 958,703,511  

NAV end of period

   $ 397,342,621     $ 622,142,765  

Percentage change in NAV

     (12.7 )%      (35.1 )% 

Shares outstanding beginning of period

     13,261,317       64,761,317  

Shares outstanding end of period

     11,111,317       34,761,317  

Percentage change in shares outstanding

     (16.2 )%      (46.3 )% 

Shares created

     2,050,000       4,400,000  

Shares redeemed

     4,200,000       34,400,000  

Per share NAV beginning of period

   $ 34.33     $ 14.80  

Per share NAV end of period

   $ 35.76     $ 17.90  

Percentage change in per share NAV

     4.2     20.9

Percentage change in benchmark

     3.3     11.2

Benchmark annualized volatility

     23.7     25.6

 

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During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 13,261,317 outstanding Shares at June 30, 2018 to 11,111,317 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 64,761,317 outstanding Shares at June 30, 2017 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.2% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 20.9% for the three months ended September 30, 2017, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 28, 2018 at $35.76 per Share and reached its low for the period on August 15, 2018 at $27.62 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $18.28 per Share and reached its low for the period on July 7, 2017 at $13.57 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to a lesser increase in the price of WTI Crude Oil during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 907,471      $ (19,527

Management fee

     981,939        1,798,486  

Brokerage commissions

     15,926        40,850  

Net realized gain (loss)

     50,283,340        45,488,493  

Change in net unrealized appreciation/depreciation

     (32,414,911      112,829,499  

Net income (loss)

   $ 18,775,900      $ 158,298,465  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a lesser increase in the price of WTI Crude Oil during the three months ended September 30, 2018.

 

*

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 September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 25,715,598     $ 43,886,614  

NAV end of period

   $ 23,608,774     $ 51,059,617  

Percentage change in NAV

     (8.2 )%      16.3

Shares outstanding beginning of period

     878,150       898,434  

Shares outstanding end of period

     778,150       1,168,434  

Percentage change in shares outstanding

     (11.4 )%      30.1

Shares created

     200,000       520,000  

Shares redeemed

     300,000       250,000  

Per share NAV beginning of period

   $ 29.28     $ 48.85  

Per share NAV end of period

   $ 30.34     $ 43.70  

Percentage change in per share NAV

     3.6     (10.5 )% 

Percentage change in benchmark

     2.9     (4.1 )% 

Benchmark annualized volatility

     21.4     29.6

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 878,150 outstanding Shares at June 30, 2018 to 778,150 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 898,434 outstanding Shares at June 30, 2017 to 1,168,434 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2018 and 2017, 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 3.6% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 25, 2018 at $31.41 per Share and reached its low for the period on July 18, 2018 at $25.13 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $49.90 per Share and reached its low for the period on August 4, 2017 at $40.45 per Share.

The benchmark’s rise of 2.9% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 4.1% for the three months ended September 30, 2017, can be attributed to an increase in the price of Henry Hub Natural Gas during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 30,444      $ (42,774

Management fee

     60,687        110,894  

Brokerage commissions

     12,349        24,919  

Net realized gain (loss)

     801,033        (2,015,002

Change in net unrealized appreciation/depreciation

     693,375        (1,076,819

Net income (loss)

   $ 1,524,852      $ (3,134,595

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to an increase in the price of Henry Hub Natural Gas during the three months ended September 30, 2018.

 

*

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.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 8,848,596     $ 12,928,079  

NAV end of period

   $ 7,852,376     $ 13,705,608  

Percentage change in NAV

     (11.3 )%      6.0

Shares outstanding beginning of period

     550,000       800,000  

Shares outstanding end of period

     500,000       800,000  

Percentage change in shares outstanding

     (9.1 )%      —    

Shares created

     —         450,000  

Shares redeemed

     50,000       450,000  

Per share NAV beginning of period

   $ 16.09     $ 16.16  

Per share NAV end of period

   $ 15.70     $ 17.13  

Percentage change in per share NAV

     (2.4 )%      6.0

Percentage change in benchmark

     (0.6 )%      3.5

Benchmark annualized volatility

     7.1     7.3

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 550,000 outstanding Shares at June 30, 2018 to 500,000 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017.

 

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For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.4% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2017, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on July 9, 2018 at $16.26 per Share and reached its low for the period on August 15, 2018 at $15.10 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on July 5, 2017 at $15.93 per Share.

The benchmark’s decline of 0.6% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 3.5% for the three months ended September 30, 2017, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 8,290      $ (1,256

Management fee

     19,089        31,427  

Net realized gain (loss)

     (337,286      1,259,650  

Change in net unrealized appreciation/depreciation

     138,276        (519,604

Net income (loss)

   $ (190,720    $ 738,790  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2018.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 82,112,586     $ 88,717,834  

NAV end of period

   $ 73,094,988     $ 89,587,943  

Percentage change in NAV

     (11.0 )%      1.0

Shares outstanding beginning of period

     2,250,000       2,350,000  

Shares outstanding end of period

     2,250,000       2,250,000  

Percentage change in shares outstanding

     —         (4.3 )% 

Shares created

     —         50,000  

Shares redeemed

     —         150,000  

Per share NAV beginning of period

   $ 36.49     $ 37.75  

Per share NAV end of period

   $ 32.49     $ 39.82  

Percentage change in per share NAV

     (11.0 )%      5.5

Percentage change in benchmark

     (5.1 )%      3.3

Benchmark annualized volatility

     8.3     10.6

 

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During the three months ended September 30, 2018, 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 two times (2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2018 to September 30, 2018. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017.

For the three months ended September 30, 2018 and 2017, 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 11.0% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on July 9, 2018 at $37.13 per Share and reached its low for the period on August 17, 2018 at $32.20 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share.

The benchmark’s decline of 5.1% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 3.3% for the three months ended September 30, 2017, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 187,472      $ 7,054  

Management fee

     184,099        224,583  

Brokerage commissions

     8        10  

Net realized gain (loss)

     (15,454,618      5,462,857  

Change in net unrealized appreciation/depreciation

     6,249,548        (546,321

Net income (loss)

   $ (9,017,598    $ 4,923,590  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2018.

 

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 208,483,138     $ 245,798,564  

NAV end of period

   $ 182,932,196     $ 244,805,182  

Percentage change in NAV

     (12.3 )%      (0.4 )% 

Shares outstanding beginning of period

     7,096,526       7,396,526  

Shares outstanding end of period

     7,946,526       7,196,526  

Percentage change in shares outstanding

     12.0     (2.7 )% 

Shares created

     850,000       300,000  

Shares redeemed

     —         500,000  

Per share NAV beginning of period

   $ 29.38     $ 33.23  

Per share NAV end of period

   $ 23.02     $ 34.02  

Percentage change in per share NAV

     (21.6 )%      2.4

Percentage change in benchmark

     (10.8 )%      2.4

Benchmark annualized volatility

     13.2     23.7

During the three months ended September 30, 2018, 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 two times (2x) of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,096,526 outstanding Shares at June 30, 2018 to 7,946,526 outstanding Shares at September 30, 2018. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.6% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 2.4% for the three months ended September 30, 2017 was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on July 9, 2018 at $29.97 per Share and reached its low for the period on September 11, 2018 at $22.50 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share.

The benchmark’s decline of 10.8% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2017, can be attributed to a decline in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 489,197      $ 543  

Management fee

     480,028        612,285  

Brokerage commissions

     12        10  

Net realized gain (loss)

     (59,680,308      1,063,548  

Change in net unrealized appreciation/depreciation

     9,658,601        7,164,374  

Net income (loss)

   $ (49,532,510    $ 8,228,465  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decline in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2018.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 359,311,519     $ 378,714,636  

NAV end of period

   $ 532,210,781     $ 535,095,732  

Percentage change in NAV

     48.1     41.3

Shares outstanding beginning of period

     5,865,448       1,926,390  

Shares outstanding end of period

     14,580,912       5,185,448  

Percentage change in shares outstanding

     148.6     169.2

Shares created

     14,690,000       6,680,000  

Shares redeemed

     5,974,536       3,420,943  

Per share NAV beginning of period

   $ 61.26     $ 196.59  

Per share NAV end of period

   $ 36.50     $ 103.19  

Percentage change in per share NAV

     (40.4 )%      (47.5 )% 

Percentage change in benchmark

     (27.8 )%      (23.4 )% 

Benchmark annualized volatility

     43.7     65.8

During the three months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 5,865,448 outstanding Shares at June 30, 2018 to 14,580,912 outstanding Shares at September 30, 2018. 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 one and one-half times (1.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,926,390 outstanding Shares at June 30, 2017 to 5,185,448 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. For the three months ended September 30, 2017, 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 40.4% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 47.5% for the three months ended September 30, 2017, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

 

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During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 18, 2018 at $195.81 per Share and reached its low for the period on September 28, 2018 at $36.50 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $219.70 per Share and reached its low for the period on September 29, 2017 at $103.20 per Share.

The benchmark’s decline of 27.8% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 23.4% for the three months ended September 30, 2017, can be attributed to a greater decline of the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (1,124,013    $ (1,324,516

Management fee

     1,338,863        1,040,567  

Brokerage commissions

     987,212        1,150,806  

Net realized gain (loss)

     (155,771,155      (126,538,682

Change in net unrealized appreciation/depreciation

     (74,408,126      (95,494,039

Net income (loss)

   $ (231,303,294    $ (223,357,237

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a greater decline of the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2018.

 

*

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

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017 :

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 2,892,468     $ 5,866,403  

NAV end of period

   $ 2,713,757     $ 5,804,920  

Percentage change in NAV

     (6.2 )%      (1.0 )% 

Shares outstanding beginning of period

     49,970       99,970  

Shares outstanding end of period

     49,970       99,970  

Percentage change in shares outstanding

     —         —    

Per share NAV beginning of period

   $ 57.88     $ 58.68  

Per share NAV end of period

   $ 54.31     $ 58.07  

Percentage change in per share NAV

     (6.2 )%      (1.0 )% 

Percentage change in benchmark

     (2.5 )%        ^ 

Benchmark annualized volatility

     5.3     8.3

 

^

Amount represents less than (0.05%)

 

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During the three months ended September 30, 2018, 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 two times (2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2018 to September 30, 2018. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 20, 2018 at $58.14 per Share and reached its low for the period on September 28, 2018 at $54.31 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share.

The benchmark’s decline of 2.5% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 0.03% for the three months ended September 30, 2017, can be attributed to a greater decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (1,364    $ (4,166

Management fee

     6,797        14,387  

Net realized gain (loss)

     (91,507      (4,545

Change in net unrealized appreciation/depreciation

     (85,840      (52,772

Net income (loss)

   $ (178,711    $ (61,483

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a greater decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2018.

 

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ProShares UltraPro 3x Crude Oil ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 40,809,111     $ 20,499,886  

NAV end of period

   $ 35,826,631     $ 7,581,464  

Percentage change in NAV

     (12.2 )%      (63.0 )% 

Shares outstanding beginning of period

     650,000       1,050,008  

Shares outstanding end of period

     550,000       300,008  

Percentage change in shares outstanding

     (15.4 )%      (71.4 )% 

Shares created

     450,000       250,000  

Shares redeemed

     550,000       1,000,000  

Per share NAV beginning of period

   $ 62.78     $ 19.52  

Per share NAV end of period

   $ 65.14     $ 25.27  

Percentage change in per share NAV

     3.8     29.5

Percentage change in benchmark

     3.3     11.2

Benchmark annualized volatility

     23.7     25.6

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 650,000 outstanding Shares at June 30, 2018 to 550,000 outstanding Shares at September 30, 2018. 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 three times (3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,050,008 outstanding Shares at June 30, 2017 to 300,008 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to three times (3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.8% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 29.5% for the three months ended September 30, 2017, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 28, 2018 at $65.14 per Share and reached its low for the period on August 15, 2018 at $44.54 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $26.10 per Share and reached its low for the period on July 7, 2017 at $17.04 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to a lesser increase in the price of WTI Crude Oil during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 3,898      $ (56,323

Management fee

     92,674        —    

Brokerage commissions

     13,783        13,100  

Offering costs

     —          37,405  

Reduction to Limitation by Sponsor

     —          5,818  

Net realized gain (loss)

     4,185,376        4,971,742  

Change in net unrealized appreciation/depreciation

     341,411        694,326  

Net income (loss)

   $ 4,530,685      $ 5,609,745  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a lesser rise in the price of WTI Crude Oil during the three months ended September 30, 2018.

ProShares UltraPro 3x Short Crude Oil ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 21,723,197     $ 5,292,315  

NAV end of period

   $ 27,492,746     $ 15,768,728  

Percentage change in NAV

     26.6     198.0

Shares outstanding beginning of period

     1,124,906       50,002  

Shares outstanding end of period

     1,674,906       225,002  

Percentage change in shares outstanding

     48.9     350.0

Shares created

     1,000,000       175,000  

Shares redeemed

     450,000       —    

Per share NAV beginning of period

   $ 19.31     $ 105.84  

Per share NAV end of period

   $ 16.41     $ 70.08  

Percentage change in per share NAV

     (15.0 )%      (33.8 )% 

Percentage change in benchmark

     3.3     11.2

Benchmark annualized volatility

     23.7     25.6

During the three months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 1,124,906 outstanding Shares at June 30, 2018 to 1,674,906 outstanding Shares at September 30, 2018. 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 three times the inverse (-3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 500,002 outstanding Shares at June 30, 2017 to 225,002 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.0% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 33.8% for the three months ended September 30, 2017, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

 

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During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 15, 2018 at $25.05 per Share and reached its low for the period on September 28, 2018 at $16.41 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $117.88 per Share and reached its low for the period on September 25, 2017 at $68.00 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 11.2% for three months ended September 30, 2017, can be attributed to a lesser increase in the price of WTI Crude Oil during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (8,035    $ (34,013

Management fee

     54,403        —    

Brokerage commissions

     9,856        9,395  

Offering costs

     —          37,405  

Limitation by Sponsor

     —          (12,787

Net realized gain (loss)

     (3,065,880      (1,540,337

Change in net unrealized appreciation/depreciation

     159,888        (2,178,096

Net income (loss)

   $ (2,914,027    $ (3,752,446

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a lesser rise in the price of WTI Crude Oil during the three months ended September 30, 2018.

 

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares UltraPro 3x Short Crude Oil ETF.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017 :

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 7,577,764     $ 11,974,974  

NAV end of period

   $ 7,905,778     $ 9,125,205  

Percentage change in NAV

     4.3     (23.8 )% 

Shares outstanding beginning of period

     150,000       250,000  

Shares outstanding end of period

     150,000       200,000  

Percentage change in shares outstanding

     —         (20.0 )% 

Shares created

     50,000       —    

Shares redeemed

     50,000       50,000  

Per share NAV beginning of period

   $ 50.52     $ 47.90  

Per share NAV end of period

   $ 52.71     $ 45.63  

Percentage change in per share NAV

     4.3     (4.7 )% 

Percentage change in benchmark

     (2.3 )%      2.1

Benchmark annualized volatility

     9.5     7.3

 

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During the three months ended September 30, 2018, 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 two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2018 to September 30, 2018. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the three months ended September 30, 2018 and 2017, 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 4.3% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2017, was primarily due to a appreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 7, 2018 at $54.52 per Share and reached its low for the period on July 10, 2018 at $49.54 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share.

The benchmark’s decline of 2.3% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 2.1% for the three months ended September 30, 2017, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 9,501      $ (3,456

Management fee

     18,194        24,991  

Brokerage commissions

     1,777        1,555  

Net realized gain (loss)

     997,012        (1,453,377

Change in net unrealized appreciation/depreciation

     (625,066      837,786  

Net income (loss)

   $ 381,447      $ (619,047

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar, during the three months ended September 30, 2018.

 

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ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017 :

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 177,512,584     $ 121,175,298  

NAV end of period

   $ 150,043,469     $ 238,227,025  

Percentage change in NAV

     (15.5 )%      96.6

Shares outstanding beginning of period

     11,889,884       2,789,884  

Shares outstanding end of period

     11,039,884       7,089,884  

Percentage change in shares outstanding

     (7.1 )%      154.1

Shares created

     2,300,000       5,400,000  

Shares redeemed

     3,150,000       1,100,000  

Per share NAV beginning of period

   $ 14.93     $ 43.43  

Per share NAV end of period

   $ 13.59     $ 33.60  

Percentage change in per share NAV

     (9.0 )%      (22.6 )% 

Percentage change in benchmark

     3.3     11.2

Benchmark annualized volatility

     23.7     25.6

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,889,884 outstanding Shares at June 30, 2018 to 11,039,884 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,789,884 outstanding Shares at June 30, 2017 to 7,089,884 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2018 and 2017, 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 9.0% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 22.6% for the three months ended September 30, 2017, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 15, 2018 at $17.92 per Share and reached its low for the period on September 28, 2018 at $13.59 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $46.80 per Share and reached its low for the period on September 25, 2017 at $32.91 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to a lesser increase in the price of WTI Crude Oil during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 350,275      $ (15,678

Management fee

     398,102        456,582  

Brokerage commissions

     8,555        17,992  

Net realized gain (loss)

     (24,890,253      (9,418,914

Change in net unrealized appreciation/depreciation

     15,574,524        (30,446,676

Net income (loss)

   $ (8,965,454    $ (39,881,268

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a lesser increase in the price of WTI Crude Oil during the three months ended September 30, 2018.

 

*

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 splits for the ProShares UltraShort Bloomberg Crude Oil.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 6,746,849     $ 7,455,967  

NAV end of period

   $ 9,784,252     $ 5,921,434  

Percentage change in NAV

     45.0     (20.6 )% 

Shares outstanding beginning of period

     174,832       224,832  

Shares outstanding end of period

     274,832       174,832  

Percentage change in shares outstanding

     57.2     (22.2 )% 

Shares created

     200,000       150,000  

Shares redeemed

     100,000       200,000  

Per share NAV beginning of period

   $ 38.59     $ 33.16  

Per share NAV end of period

   $ 35.60     $ 33.87  

Percentage change in per share NAV

     (7.7 )%      2.1

Percentage change in benchmark

     2.9     (4.1 )% 

Benchmark annualized volatility

     21.4     29.6

During the three months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 174,832 outstanding Shares at June 30, 2018 to 274,832 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.7% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 2.1% for the three months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

 

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During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on July 18, 2018 at $44.71 per Share and reached its low for the period on September 27, 2018 at $34.52 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 4, 2017 at $38.35 per Share and reached its low for the period on September 18, 2017 at $30.27 per Share.    

The benchmark’s rise of 2.9% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 4.1% for the three months ended September 30, 2017, can be attributed to an increase in the price of Henry Hub Natural Gas during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 1,662      $ (13,899

Management fee

     17,108        18,019  

Brokerage commissions

     5,183        7,316  

Net realized gain (loss)

     (265,373      (151,443

Change in net unrealized appreciation/depreciation

     (13,456      615,756  

Net income (loss)

   $ (277,167    $ 450,414  

The Fund’s net income decreased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to an increase in the price Henry Hub Natural Gas during the three months ended September 30, 2018.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 177,734,261     $ 237,012,906  

NAV end of period

   $ 170,087,449     $ 226,620,904  

Percentage change in NAV

     (4.3 )%      (4.4 )% 

Shares outstanding beginning of period

     7,800,000       10,250,000  

Shares outstanding end of period

     7,300,000       10,450,000  

Percentage change in shares outstanding

     (6.4 )%      2.0

Shares created

     500,000       1,350,000  

Shares redeemed

     1,000,000       1,150,000  

Per share NAV beginning of period

   $ 22.79     $ 23.12  

Per share NAV end of period

   $ 23.30     $ 21.69  

Percentage change in per share NAV

     2.2     (6.2 )% 

Percentage change in benchmark

     (0.6 )%      3.5

Benchmark annualized volatility

     7.1     7.3

 

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During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 7,800,000 outstanding Shares at June 30, 2018 to 7,300,000 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 10,250,000 outstanding Shares at June 30, 2017 to 10,450,000 outstanding Shares at September 30, 2017.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.2% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2017, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 15, 2018 at $24.27 per Share and reached its low for the period on July 9, 2018 at $22.54 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share.    

The benchmark’s decline of 0.6% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 3.5% for the three months ended September 30, 2017, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 376,603      $ 22,669  

Management fee

     410,731        537,193  

Net realized gain (loss)

     6,358,890        (24,506,914

Change in net unrealized appreciation/depreciation

     (2,983,043      10,108,092  

Net income (loss)

   $ 3,752,450      $ (14,376,153

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2018.

 

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ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 26,248,001     $ 37,919,363  

NAV end of period

   $ 29,286,620     $ 35,426,783  

Percentage change in NAV

     11.6     (6.6 )% 

Shares outstanding beginning of period

     346,978       496,978  

Shares outstanding end of period

     346,978       496,978  

Percentage change in shares outstanding

     —         —    

Shares created

     —         50,000  

Shares redeemed

     —         50,000  

Per share NAV beginning of period

   $ 75.65     $ 76.30  

Per share NAV end of period

   $ 84.40     $ 71.28  

Percentage change in per share NAV

     11.6     (6.6 )% 

Percentage change in benchmark

     (5.1 )%      3.3

Benchmark annualized volatility

     8.3     10.6

During the three months ended September 30, 2018, 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 two times the inverse (-2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2018 to September 30, 2018. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017.

For the three months ended September 30, 2018 and 2017, 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 11.6% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 6.6% for the three months ended September 30, 2017, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 17, 2018 at $85.49 per Share and reached its low for the period on July 9, 2018 at $74.33 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share.    

The benchmark’s decline of 5.1% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 3.3% for the three months ended September 30, 2017, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 51,360      $ (974

Management fee

     67,024        86,766  

Brokerage commissions

     8        10  

Net realized gain (loss)

     4,925,313        (2,644,251

Change in net unrealized appreciation/depreciation

     (1,938,054      300,334  

Net income (loss)

   $ 3,038,619      $ (2,344,891

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2018.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 23,192,780     $ 23,175,549  

NAV end of period

   $ 22,517,875     $ 22,933,677  

Percentage change in NAV

     (2.9 )%      (1.0 )% 

Shares outstanding beginning of period

     666,976       666,976  

Shares outstanding end of period

     516,976       716,976  

Percentage change in shares outstanding

     (22.5 )%      7.5

Shares created

     —         200,000  

Shares redeemed

     150,000       150,000  

Per share NAV beginning of period

   $ 34.77     $ 34.75  

Per share NAV end of period

   $ 43.56     $ 31.99  

Percentage change in per share NAV

     25.3     (7.9 )% 

Percentage change in benchmark

     (10.8 )%      2.4

Benchmark annualized volatility

     13.2     23.7

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 666,976 outstanding Shares at June 30, 2018 to 516,976 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 666,976 outstanding Shares at June 30, 2017 to 716,976 outstanding Shares at September 30, 2017.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 25.3% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 7.9% for the three months ended September 30, 2017, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2018.

 

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During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 11, 2018 at $44.64 per Share and reached its low for the period on July 9, 2018 at $34.05 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share.    

The benchmark’s decline of 10.8% for the three months ended September 30, 2018, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2017, can be attributed to a decline in the value of the price of spot silver in U.S. dollar terms during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 41,266      $ (2,336

Management fee

     58,074        46,737  

Brokerage commissions

     8        10  

Net realized gain (loss)

     6,413,757        (467,217

Change in net unrealized appreciation/depreciation

     (931,554      (393,727

Net income (loss)

   $ 5,523,469      $ (863,280

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a decline in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2018.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 84,457,545     $ 170,316,152  

NAV end of period

   $ 78,157,044     $ 148,459,101  

Percentage change in NAV

     (7.5 )%      (12.8 )% 

Shares outstanding beginning of period

     1,149,290       2,299,290  

Shares outstanding end of period

     999,290       1,999,290  

Percentage change in shares outstanding

     (13.1 )%      (13.0 )% 

Shares created

     —         150,000  

Shares redeemed

     150,000       450,000  

Per share NAV beginning of period

   $ 73.49     $ 74.07  

Per share NAV end of period

   $ 78.21     $ 74.26  

Percentage change in per share NAV

     6.4     0.3

Percentage change in benchmark

     (2.5 )%      —  

Benchmark annualized volatility

     5.3     8.3

 

^

Amount represents less than (0.05%)

 

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During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 1,149,290 outstanding Shares at June 30, 2018 to 999,290 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,299,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.4% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 0.3% for the three months ended September 30, 2017, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 28, 2018 at $78.22 per Share and reached its low for the period on August 20, 2018 at $73.11 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share.

The benchmark’s decline of 2.5% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 0.03% for the three months ended September 30, 2017, can be attributed to a greater decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 178,878      $ 12,821  

Management fee

     190,805        376,339  

Net realized gain (loss)

     2,520,679        (1,068,934

Change in net unrealized appreciation/depreciation

     2,274,974        (79,932

Net income (loss)

   $ 4,974,531      $ (1,136,045

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a greater decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2018.

 

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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 September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 19,864,692     $ 30,550,943  

NAV end of period

   $ 18,770,656     $ 45,047,423  

Percentage change in NAV

     (5.5 )%      47.5

Shares outstanding beginning of period

     862,403       1,112,403  

Shares outstanding end of period

     912,403       1,787,403  

Percentage change in shares outstanding

     5.8     60.7

Shares created

     50,000       675,000  

Shares redeemed

     —         —    

Per share NAV beginning of period

   $ 23.03     $ 27.46  

Per share NAV end of period

   $ 20.57     $ 25.20  

Percentage change in per share NAV

     (10.7 )%      (8.2 )% 

Percentage change in benchmark

     (10.3 )%      (8.0 )% 

Benchmark annualized volatility

     20.2     27.0

During the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 862,403 outstanding Shares at June 30, 2018 to 912,403 outstanding Shares at September 30, 2018. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended September 30, 2018 and 2017, 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 10.7% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 8.2% for the three months ended September 30, 2017, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on July 3, 2018 at $23.39 per Share and reached its low for the period on September 14, 2018 at $20.50 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share.    

The benchmark’s decline of 10.3% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2017, can be attributed to a greater decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 20,539      $ (15,787

Management fee

     39,915        80,574  

Brokerage commissions

     1,277        6,764  

Net realized gain (loss)

     (1,922,746      (3,965,084

Change in net unrealized appreciation/depreciation

     (253,265      365,957  

Net income (loss)

   $ (2,155,472    $ (3,614,914

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a greater decline in futures prices curve and a lower Net Asset Value during the three months ended September 30, 2018.

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
    Three Months Ended
September 30, 2017
 

NAV beginning of period

   $ 114,097,930     $ 162,053,094  

NAV end of period

   $ 154,631,386     $ 191,364,819  

Percentage change in NAV

     35.5     18.1

Shares outstanding beginning of period

     3,751,317       3,796,113  

Shares outstanding end of period

     7,076,317       5,876,317  

Percentage change in shares outstanding

     88.6     54.8

Shares created

     3,625,000       3,106,250  

Shares redeemed

     300,000       1,026,046  

Per share NAV beginning of period

   $ 30.42     $ 42.69  

Per share NAV end of period

   $ 21.85     $ 32.57  

Percentage change in per share NAV

     (28.2 )%      (23.7 )% 

Percentage change in benchmark

     (27.8 )%      (23.4 )% 

Benchmark annualized volatility

     43.7     65.8

During the three months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 3,751,317 outstanding Shares at June 30, 2018 to 7,076,317 outstanding Shares at September 30, 2018. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 3,796,113 outstanding Shares at June 30, 2017 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2018, 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 28.2% for the three months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 23.7% for the three months ended September 30, 2017, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2018.

 

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During the three months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on July 3, 2018 at $31.08 per Share and reached its low for the period on September 28, 2018 at $21.85 per Share. By comparison, during the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share.    

The benchmark’s decline of 27.8% for the three months ended September 30, 2018, as compared to the benchmark’s decline of 23.4% for the three months ended September 30, 2017, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2018 and 2017:

 

     Three Months Ended
September 30, 2018
     Three Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 50,013      $ (61,284

Management fee

     284,856        381,123  

Brokerage commissions

     31,960        59,243  

Net realized gain (loss)

     (24,690,361      (27,446,786

Change in net unrealized appreciation/depreciation

     (16,539,938      (17,216,367

Net income (loss)

   $ (41,180,286    $ (44,724,437

The Fund’s net income increased for the three months ended September 30, 2018, as compared to the three months ended September 30, 2017, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve and a lower Net Asset Value during the three months ended September 30, 2018.

 

*

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

 

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Results of Operations for the Nine Months Ended September 30, 2018 Compared to the Nine Months Ended September 30, 2017

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 7,991,880     $ 15,770,088  

NAV end of period

   $ 8,418,243     $ 8,093,438  

Percentage change in NAV

     5.3     (48.7 )% 

Shares outstanding beginning of period

     200,000       350,000  

Shares outstanding end of period

     200,000       200,000  

Percentage change in shares outstanding

     —         (42.9 )% 

Shares redeemed

     —         150,000  

Per share NAV beginning of period

   $ 39.96     $ 45.06  

Per share NAV end of period

   $ 42.09     $ 40.47  

Percentage change in per share NAV

     5.3     (10.2 )% 

Percentage change in benchmark

     (3.2 )%      12.3

Benchmark annualized volatility

     7.4     7.4

During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2017 to September 30, 2018. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse of (-1x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.3% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 10.2% for the nine months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 15, 2018 at $42.93 per Share and reached its low for the period on February 1, 2018 at $38.43 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share.    

The benchmark’s decline of 3.2% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 12.3% for the nine months ended September 30, 2017, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 20,103      $ (36,347

Management fee

     57,645        92,259  

Brokerage commission

     919        1,433  

Net realized gain (loss)

     238,110        (1,335,372

Change in net unrealized appreciation/depreciation

     168,150        (26,290

Net income (loss)

   $ 426,363      $ (1,398,009

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2018.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 770,163,871     $ 228,075,387  

NAV end of period

   $ 392,109,157     $ 1,039,873,910  

Percentage change in NAV

     (49.1 )%      355.9

Shares outstanding beginning of period

     1,512,500       1,250,000  

Shares outstanding end of period

     6,634,307       2,775,000  

Percentage change in shares outstanding

     338.6     122.0

Shares created

     17,500,000       11,687,500  

Shares redeemed

     12,378,193       10,162,500  

Per share NAV beginning of period

   $ 509.20     $ 182.46  

Per share NAV end of period

   $ 59.10     $ 374.73  

Percentage change in per share NAV

     (88.4 )%      105.4

Percentage change in benchmark

     (5.0 )%      (61.5 )% 

Benchmark annualized volatility

     129.9     53.1

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500 VIX Short-Term Futures Index prior to the close of business on February 27, 2018, and one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index, effective as of the close of business, February 27, 2018, through the end of the reporting period. The decrease in the Fund’s NAV was offset by an increase from 1,512,500 outstanding Shares at December 31, 2017 to 6,634,307 outstanding Shares at September 30, 2018. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 1,250,000 outstanding Shares at December 31, 2016 to 2,775,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark prior to the close of business on February 27, 2018, and to one-half the inverse of the daily performance of its benchmark as of the close of business, February 27, 2018, through the end of the reporting period. The Fund’s per Share NAV decrease of 88.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 105.3% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the fund during the nine months ended September 30, 2018.

 

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During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on January 11, 2018 at $552.74 per Share and reached its low for the period on February 5, 2018 at $15.85 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $374.72 per Share and reached its low for the period on January 3, 2017 at $196.40 per Share.    

The benchmark’s decline of 5.0% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 61.5% for the nine months ended September 30, 2017, can be attributed to a lesser decline of the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (2,496,914    $ (3,913,203

Management fee

     4,725,775        4,636,720  

Brokerage commission

     1,988,563        2,761,371  

Net realized gain (loss)

     (1,789,680,237      471,123,858  

Change in net unrealized appreciation/depreciation

     (5,857,980      104,609,483  

Net income (loss)

   $ (1,798,035,131    $ 571,820,138  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a lesser decline of the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2018.

 

*

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 524,445,526     $ 933,731,860  

NAV end of period

   $ 397,342,621     $ 622,142,765  

Percentage change in NAV

     (24.2 )%      (33.4 )% 

Shares outstanding beginning of period

     22,161,317       40,013,933  

Shares outstanding end of period

     11,111,317       34,761,317  

Percentage change in shares outstanding

     (49.9 )%      (13.1 )% 

Shares created

     6,350,000       65,600,000  

Shares redeemed

     17,400,000       70,852,616  

Per share NAV beginning of period

   $ 23.66     $ 23.34  

Per share NAV end of period

   $ 35.76     $ 17.90  

Percentage change in per share NAV

     51.1     (23.3 )% 

Percentage change in benchmark

     27.2     (9.4 )% 

Benchmark annualized volatility

     24.0     25.4

 

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During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 22,161,317 outstanding Shares at December 31, 2017 to 11,111,317 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 40,013,933 outstanding Shares at December 31, 2016 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2018 and 2017, 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 51.1% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 23.3% for the nine months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 28, 2018 at $35.76 per Share and reached its low for the period on February 9, 2018 at $22.60 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 6, 2017 at $23.49 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share.    

The benchmark’s rise of 27.2% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 9.4% for the nine months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 1,892,694      $ (1,483,954

Management fee

     3,073,296        5,773,725  

Brokerage commission

     61,013        147,117  

Net realized gain (loss)

     202,021,950        (123,526,841

Change in net unrealized appreciation/depreciation

     (6,827,810      (6,245,549

Net income (loss)

   $ 197,086,834      $ (131,256,344

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

 

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra 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 nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 63,268,950     $ 43,203,386  

NAV end of period

   $ 23,608,774     $ 51,059,617  

Percentage change in NAV

     (62.7 )%      18.2

Shares outstanding beginning of period

     1,938,434       458,434  

Shares outstanding end of period

     778,150       1,168,434  

Percentage change in shares outstanding

     (59.9 )%      154.9

Shares created

     950,000       1,320,000  

Shares redeemed

     2,110,284       610,000  

Per share NAV beginning of period

   $ 32.64     $ 94.24  

Per share NAV end of period

   $ 30.34     $ 43.70  

Percentage change in per share NAV

     (7.0 )%      (53.6 )% 

Percentage change in benchmark

     (0.1 )%      (27.9 )% 

Benchmark annualized volatility

     24.2     34.6

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,938,434 outstanding Shares at December 31, 2017 to 778,150 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 458,434 outstanding Shares at December 31, 2016 to 1,168,434 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the nine months ended September 30, 2018 and 2017, 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 7.0% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 53.6% for the nine months ended September 30, 2017, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on March 20, 2018 at $134.60 per Share and reached its low for the period on July 18, 2018 at $25.13 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $78.80 per Share and reached its low for the period on August 4, 2017 at $40.45 per Share.    

The benchmark’s decline of 0.1% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 27.9% for the nine months ended September 30, 2017, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 59,670      $ (190,949

Management fee

     235,797        318,839  

Brokerage commission

     62,006        71,984  

Net realized gain (loss)

     5,881,776        (21,041,439

Change in net unrealized appreciation/depreciation

     (6,646,841      (3,507,126

Net income (loss)

   $ (705,395    $ (24,739,514

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2018.

 

*

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

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 9,591,516     $ 11,914,585  

NAV end of period

   $ 7,852,376     $ 13,705,608  

Percentage change in NAV

     (18.1 )%      15.0

Shares outstanding beginning of period

     550,000       850,000  

Shares outstanding end of period

     500,000       800,000  

Percentage change in shares outstanding

     (9.1 )%      (5.9 )% 

Shares created

     150,000       1,200,000  

Shares redeemed

     200,000       1,250,000  

Per share NAV beginning of period

   $ 17.44     $ 14.02  

Per share NAV end of period

   $ 15.70     $ 17.13  

Percentage change in per share NAV

     (10.0 )%      22.2

Percentage change in benchmark

     (3.2 )%      12.3

Benchmark annualized volatility

     7.4     7.4

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 550,000 outstanding Shares at December 31, 2017 to 500,000 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 850,000 outstanding Shares at December 31, 2016 to 800,000 outstanding Shares at September 30, 2017.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.0% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 22.2% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

 

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During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on February 1, 2018 at $18.89 per Share and reached its low for the period on August 15, 2018 at $15.10 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share.    

The benchmark’s decline of 3.2% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 12.3% for the nine months ended September 30, 2017, can be attributed to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 13,113      $ (26,051

Management fee

     64,021        95,974  

Net realized gain (loss)

     (646,798      2,666,306  

Change in net unrealized appreciation/depreciation

     (297,362      364,855  

Net income (loss)

   $ (931,047    $ 3,005,110  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decrease in the value of euro versus the U.S. dollar during the nine months ended September 30, 2018.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 93,708,748     $ 92,127,200  

NAV end of period

   $ 73,094,988     $ 89,587,943  

Percentage change in NAV

     (22.0 )%      (2.8 )% 

Shares outstanding beginning of period

     2,350,000       2,800,000  

Shares outstanding end of period

     2,250,000       2,250,000  

Percentage change in shares outstanding

     (4.3 )%      (19.6 )% 

Shares created

     300,000       400,000  

Shares redeemed

     400,000       950,000  

Per share NAV beginning of period

   $ 39.88     $ 32.90  

Per share NAV end of period

   $ 32.49     $ 39.82  

Percentage change in per share NAV

     (18.5 )%      21.0

Percentage change in benchmark

     (8.0 )%      12.0

Benchmark annualized volatility

     8.8     11.6

 

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During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2017 to 2,250,000 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.5% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 21.0% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on January 25, 2018 at $43.77 per Share and reached its low for the period on August 17, 2018 at $32.20 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share.    

The benchmark’s decline of 8.0% for the period ended September 30, 2018, as compared to the benchmark’s rise of 12.0% for the nine months ended September 30, 2017, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the period ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 449,402      $ (160,597

Management fee

     627,034        692,340  

Brokerage commission

     36        39  

Net realized gain (loss)

     (12,506,505      23,363,236  

Change in net unrealized appreciation/depreciation

     (4,561,768      (3,986,925

Net income (loss)

   $ (16,618,871    $ 19,215,714  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2018.

 

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 258,244,696     $ 275,779,940  

NAV end of period

   $ 182,932,196     $ 244,805,182  

Percentage change in NAV

     (29.2 )%      (11.2 )% 

Shares outstanding beginning of period

     7,696,526       8,246,526  

Shares outstanding end of period

     7,946,526       7,196,526  

Percentage change in shares outstanding

     3.2     (12.7 )% 

Shares created

     1,350,000       950,000  

Shares redeemed

     1,100,000       2,000,000  

Per share NAV beginning of period

   $ 33.55     $ 33.44  

Per share NAV end of period

   $ 23.02     $ 34.02  

Percentage change in per share NAV

     (31.4 )%      1.7

Percentage change in benchmark

     (15.2 )%      3.8

Benchmark annualized volatility

     13.5     19.6

During the nine months ended September 30, 2018, 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 two times (2x) of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,696,526 outstanding Shares at December 31, 2017 to 7,946,526 outstanding Shares at September 30, 2018. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 8,246,526 outstanding Shares at Saturday, December 31, 2016 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of silver bullion as measured by the London Silver Price.

For the nine months ended September 30, 2018 and 2017, 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 nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 1.7% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the nine months September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on January 25, 2018 at $36.06 per Share and reached its low for the period on September 11, 2018 at $22.50 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share.    

The benchmark’s decline of 15.2% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 3.8% for the nine months ended September 30, 2017, can be attributed to a decline in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 1,090,016      $ (474,113

Management fee

     1,581,152        1,971,071  

Brokerage commission

     43        49  

Net realized gain (loss)

     (52,506,174      20,326,492  

Change in net unrealized appreciation/depreciation

     (26,200,021      (7,233,752

Net income (loss)

   $ (77,616,179    $ 12,618,627  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decline in the price of spot silver in U.S. dollar terms, during the nine months ended September 30, 2018.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 394,035,141     $ 515,758,754  

NAV end of period

   $ 532,210,781     $ 535,095,732  

Percentage change in NAV

     35.1     3.7

Shares outstanding beginning of period

     7,625,448       593,077  

Shares outstanding end of period

     14,580,912       5,185,448  

Percentage change in shares outstanding

     91.2     774.3

Shares created

     31,930,000       10,237,000  

Shares redeemed

     24,974,536       5,644,629  

Per share NAV beginning of period

   $ 51.67     $ 869.63  

Per share NAV end of period

   $ 36.50     $ 103.19  

Percentage change in per share NAV

     (29.4 )%      (88.1 )% 

Percentage change in benchmark

     (5.0 )%      (61.5 )% 

Benchmark annualized volatility

     129.9     53.1

During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 7,625,448 outstanding Shares at December 31, 2017 to 14,580,912 outstanding Shares at September 30, 2018. 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 two times (2x) of the daily performance of the S&P 500 VIX Short-Term Futures Index prior to the close of business on February 27, 2018, and one and one-half times (1.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index, effective as of the close of business, February 27, 2018, through the end of the reporting period. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 593,077 outstanding Shares at December 31, 2016 to 5,185,448 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark prior to the close of business on February 27, 2018, and to 1.5x of the daily performance of its benchmark as of the close of business, February 27, 2018, through the end of the reporting period. The Fund’s per Share NAV decrease of 29.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 88.1% for the nine months ended September 30, 2017, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

 

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During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on February 5, 2018 at $205.78 per Share and reached its low for the period on September 28, 2018 at $36.50 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $736.00 per Share and reached its low for the period on September 29, 2017 at $103.20 per Share.    

The benchmark’s decline of 5.0% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 61.5% for the nine months ended September 30, 2017, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (3,274,155    $ (3,866,250

Management fee

     3,185,978        2,880,339  

Brokerage commission

     2,530,133        2,819,322  

Net realized gain (loss)

     105,013,790        (646,063,604

Change in net unrealized appreciation/depreciation

     133,168        (93,756,755

Net income (loss)

   $ 101,872,803      $ (743,686,609

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a lesser decrease in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2018.

 

*

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

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 2,864,269     $ 5,540,957  

NAV end of period

   $ 2,713,757     $ 5,804,920  

Percentage change in NAV

     (5.3 )%      4.8

Shares outstanding beginning of period

     49,970       99,970  

Shares outstanding end of period

     49,970       99,970  

Percentage change in shares outstanding

     —         —    

Per share NAV beginning of period

   $ 57.32     $ 55.43  

Per share NAV end of period

   $ 54.31     $ 58.07  

Percentage change in per share NAV

     (5.3 )%      4.8

Percentage change in benchmark

     (0.8 )%      3.9

Benchmark annualized volatility

     6.6     8.7

 

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During the nine months ended September 30, 2018, 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 two times (2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2017 to September 30, 2018. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar during the year ended December 31, 2017. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017.

For the nine months ended September 30, 2018 and 2017, 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 5.3% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 4.8% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on March 23, 2018 at $65.62 per Share and reached its low for the period on September 28, 2018 at $54.31 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on January 3, 2017 at $54.62 per Share.

The benchmark’s decline of 0.8% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 3.9% for the nine months ended September 30, 2017, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (6,960    $ (20,949

Management fee

     21,129        42,356  

Net realized gain (loss)

     (68,661      338,006  

Change in net unrealized appreciation/depreciation

     (74,891      (53,094

Net income (loss)

   $ (150,512    $ 263,963  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2018.

 

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ProShares UltraPro 3x Crude Oil ETF

Since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and the period ended September 30, 2017:

 

     Nine Months Ended
September 30, 2018
    March 24, 2017
(Commencement
of Operations)
through
September 30, 2017
 

NAV beginning of period

   $ 11,335,483     $ 200  

NAV end of period

   $ 35,826,631     $ 7,581,464  

Percentage change in NAV

     216.1     —   NM  

Shares outstanding beginning of period

     300,008       8  

Shares outstanding end of period

     550,000       300,008  

Percentage change in shares outstanding

     83.3     —   NM  

Shares created

     1,050,000       1,400,008  

Shares redeemed

     800,008       1,100,000  

Per share NAV beginning of period

   $ 37.78     $ 25.00  

Per share NAV end of period

   $ 65.14     $ 25.27  

Percentage change in per share NAV

     72.4     1.1

Percentage change in benchmark

     27.2     (4.8 )% 

Benchmark annualized volatility

     24.0     26.1

NM — Not Meaningful

During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted primarily from an increase from 300,008 outstanding Shares at December 31, 2017 to 550,000 outstanding Shares at September 30, 2018. 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 three times (3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to three times (3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2018 and the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 72.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 1.1% for the period ended September 30, 2017, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 28, 2018 at $65.14 per Share and reached its low for the period on February 9, 2018 at $34.95 per Share. By comparison, during the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s rise of 27.2% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and the period ended September 30, 2017:

 

     Nine Months Ended
September 30, 2018
     March 24, 2017
(Commencement
of Operations)
through
September 30, 2017
 

Net investment income (loss)

   $ (92,168    $ (99,140

Management fee

     148,366        —    

Brokerage commission

     33,256        24,374  

Offering costs

     52,846        77,250  

Limitation by Sponsor

     (26,957      (2,484

Net realized gain (loss)

     7,547,152        3,137,907  

Change in net unrealized appreciation/depreciation

     8,828,897        1,272,779  

Net income (loss)

   $ 16,283,881      $ 4,311,546  

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the period ended September 30, 2017, primarily due to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

ProShares UltraPro 3x Short Crude Oil ETF*

Since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and the period ended September 30, 2017:

 

     Nine Months Ended
September 30, 2018
    March 24, 2017
(Commencement
of Operations)
through
September 30, 2017
 

NAV beginning of period

   $ 21,161,176     $ 200  

NAV end of period

   $ 27,492,746     $ 15,768,728  

Percentage change in NAV

     29.9     —   NM  

Shares outstanding beginning of period

     500,002       2  

Shares outstanding end of period

     1,674,906       225,002  

Percentage change in shares outstanding

     235.0     —   NM  

Shares created

     2,287,500       262,502  

Shares redeemed

     1,112,596       37,500  

Per share NAV beginning of period

   $ 42.32     $ 100.00  

Per share NAV end of period

   $ 16.41     $ 70.08  

Percentage change in per share NAV

     (61.2 )%      (29.9 )% 

Percentage change in benchmark

     27.2     (4.8 )% 

Benchmark annualized volatility

     24.0     26.1

NM — Not Meaningful

 

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During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 500,002 outstanding Shares at December 31, 2017 to 1,674,906 outstanding Shares at September 30, 2018. 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 three times the inverse (-3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 2 outstanding Shares at March 24, 2017 to 225,002 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2018 and the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.2% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 29.9% for the period ended September 30, 2017, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on March 20, 2018 at $133.00 per Share and reached its low for the period on September 28, 2018 at $16.41 per Share. By comparison, during the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s rise of 27.2% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and the period ended September 30, 2017:

 

     Nine Months Ended
September 30, 2018
     March 24, 2017
(Commencement
of Operations)
through
September 30, 2017
 

Net investment income (loss)

   $ (140,704    $ (59,643

Management fee

     110,213        —    

Brokerage commission

     40,361        17,296  

Offering costs

     52,797        77,250  

Limitation by Sponsor

     (176      (34,903

Net realized gain (loss)

     (14,534,995      232,006  

Change in net unrealized appreciation/depreciation

     (2,294,411      (2,423,370

Net income (loss)

   $ (16,970,110    $ (2,251,007

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the period ended September 30, 2017, primarily due to a rise in the price of WTI Crude Oil during the nine months ended September 30, 2018.

 

*

See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares UltraPro 3x Short Crude Oil ETF.

 

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ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 13,702,102     $ 16,613,473  

NAV end of period

   $ 7,905,778     $ 9,125,205  

Percentage change in NAV

     (42.3 )%      (45.1 )% 

Shares outstanding beginning of period

     300,000       300,000  

Shares outstanding end of period

     150,000       200,000  

Percentage change in shares outstanding

     (50.0 )%      (33.3 )% 

Shares created

     50,000       —    

Shares redeemed

     200,000       100,000  

Per share NAV beginning of period

   $ 45.67     $ 55.38  

Per share NAV end of period

   $ 52.71     $ 45.63  

Percentage change in per share NAV

     15.4     (17.6 )% 

Percentage change in benchmark

     (7.4 )%      8.7

Benchmark annualized volatility

     8.7     7.7

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 300,000 outstanding Shares at December 31, 2017 to 150,000 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 17.6% for the nine months ended September 30, 2017, was primarily due to a appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 7, 2018 at $54.52 per Share and reached its low for the period on January 26, 2018 at $42.30 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share.

The benchmark’s decline of 7.4% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 8.7% for the nine months ended September 30, 2017, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 14,386      $ (42,311

Management fee

     54,862        94,837  

Brokerage commission

     4,487        6,088  

Net realized gain (loss)

     292,144        (1,920,783

Change in net unrealized appreciation/depreciation

     661,212        (802,007

Net income (loss)

   $ 967,742      $ (2,765,101

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2018.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 225,843,284     $ 200,958,303  

NAV end of period

   $ 150,043,469     $ 238,227,025  

Percentage change in NAV

     (33.6 )%      18.5

Shares outstanding beginning of period

     9,289,884       6,339,884  

Shares outstanding end of period

     11,039,884       7,089,884  

Percentage change in shares outstanding

     18.8     11.8

Shares created

     11,000,000       10,700,000  

Shares redeemed

     9,250,000       9,950,000  

Per share NAV beginning of period

   $ 24.31     $ 31.70  

Per share NAV end of period

   $ 13.59     $ 33.60  

Percentage change in per share NAV

     (44.1 )%      6.0

Percentage change in benchmark

     27.2     (9.4 )% 

Benchmark annualized volatility

     24.0     25.4

During the nine months ended September 30, 2018, 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 two times the inverse (-2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 9,289,884 outstanding Shares at December 31, 2017 to 11,039,884 outstanding Shares at September 30, 2018. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2018 and 2017, 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 44.1% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 6.0% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2018.

 

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During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on February 9, 2018 at $24.98 per Share and reached its low for the period on September 28, 2018 at $13.59 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share.

The benchmark’s rise of 27.2% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 9.4% for the nine months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 883,255      $ (426,772

Management fee

     1,355,636        1,374,438  

Brokerage commission

     37,057        50,772  

Net realized gain (loss)

     (100,649,566      49,805,940  

Change in net unrealized appreciation/depreciation

     9,243,214        (5,398,492

Net income (loss)

   $ (90,523,097    $ 43,980,676  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to an increase in the price of WTI Crude Oil during the nine months ended September 30, 2018.

 

*

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 splits for the ProShares UltraShort Bloomberg Crude Oil.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 6,902,743     $ 4,038,794  

NAV end of period

   $ 9,784,252     $ 5,921,434  

Percentage change in NAV

     41.7     46.6

Shares outstanding beginning of period

     174,832       174,832  

Shares outstanding end of period

     274,832       174,832  

Percentage change in shares outstanding

     57.2     —    

Shares created

     550,000       300,000  

Shares redeemed

     450,000       300,000  

Per share NAV beginning of period

   $ 39.48     $ 23.10  

Per share NAV end of period

   $ 35.60     $ 33.87  

Percentage change in per share NAV

     (9.8 )%      46.6

Percentage change in benchmark

     (0.1 )%      (27.9 )% 

Benchmark annualized volatility

     24.2     34.64

 

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During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 174,832 outstanding Shares at December 31, 2017 to 274,832 outstanding Shares at September 30, 2018. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, in conjunction with the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017.

For the nine months ended September 30, 2018 and 2017, 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 9.8% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV increase of 46.6% for the nine months ended September 30, 2017, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on February 12, 2018 at $47.52 per Share and reached its low for the period on January 30, 2018 at $31.76 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share.

The benchmark’s decline of 0.1% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 27.9% for the nine months ended September 30, 2017, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (10,489    $ (44,874

Management fee

     46,555        51,110  

Brokerage commission

     18,954        19,673  

Net realized gain (loss)

     (277,886      1,755,918  

Change in net unrealized appreciation/depreciation

     1,090,054        830,801  

Net income (loss)

   $ 801,679      $ 2,541,845  

The Fund’s net income decreased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2018.

 

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 202,548,197     $ 349,392,650  

NAV end of period

   $ 170,087,449     $ 226,620,904  

Percentage change in NAV

     (16.0 )%      (35.1 )% 

Shares outstanding beginning of period

     9,550,000       12,900,000  

Shares outstanding end of period

     7,300,000       10,450,000  

Percentage change in shares outstanding

     (23.6 )%      (19.0 )% 

Shares created

     1,500,000       1,800,000  

Shares redeemed

     3,750,000       4,250,000  

Per share NAV beginning of period

   $ 21.21     $ 27.08  

Per share NAV end of period

   $ 23.30     $ 21.69  

Percentage change in per share NAV

     9.9     (19.9 )% 

Percentage change in benchmark

     (3.2 )%      12.3

Benchmark annualized volatility

     7.4     7.4

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 9,550,000 outstanding Shares at December 31, 2017 to 7,300,000 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.9% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 19.9% for the nine months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 15, 2018 at $24.27 per Share and reached its low for the period on February 1, 2018 at $19.53 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share.

The benchmark’s decline of 3.2% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 12.3% for the nine months ended September 30, 2017, can be attributed to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 867,179      $ (461,825

Management fee

     1,321,368        1,914,770  

Net realized gain (loss)

     10,370,113        (45,338,431

Change in net unrealized appreciation/depreciation

     6,789,071        (12,255,062

Net income (loss)

   $ 18,026,363      $ (58,055,318

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decline in the value of the euro versus U.S. dollar during the nine months ended September 30, 2018.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 31,497,410     $ 63,653,647  

NAV end of period

   $ 29,286,620     $ 35,426,783  

Percentage change in NAV

     (7.0 )%      (44.3 )% 

Shares outstanding beginning of period

     446,978       696,978  

Shares outstanding end of period

     346,978       496,978  

Percentage change in shares outstanding

     (22.4 )%      (28.7 )% 

Shares created

     250,000       300,000  

Shares redeemed

     350,000       500,000  

Per share NAV beginning of period

   $ 70.47     $ 91.33  

Per share NAV end of period

   $ 84.40     $ 71.28  

Percentage change in per share NAV

     19.8     (22.0 )% 

Percentage change in benchmark

     (8.0 )%      12.0

Benchmark annualized volatility

     8.8     11.7

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 446,978 outstanding Shares at December 31, 2017 to 346,978 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse daily performance of its benchmark. The Fund’s per Share NAV increase of 19.8% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

 

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During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on August 17, 2018 at $85.49 per Share and reached its low for the period on January 25, 2018 at $64.00 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share.

The benchmark’s decline of 8.0% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 12.0% for the nine months ended September 30, 2017, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 121,566      $ (66,015

Management fee

     201,913        268,125  

Brokerage commission

     36        39  

Net realized gain (loss)

     3,228,510        (10,940,120

Change in net unrealized appreciation/depreciation

     1,851,383        (99,988

Net income (loss)

   $ 5,201,459      $ (11,106,123

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2018.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 14,806,259     $ 23,017,656  

NAV end of period

   $ 22,517,875     $ 22,933,677  

Percentage change in NAV

     52.1     (0.4 )% 

Shares outstanding beginning of period

     466,976       616,976  

Shares outstanding end of period

     516,976       716,976  

Percentage change in shares outstanding

     10.7     16.2

Shares created

     650,000       700,000  

Shares redeemed

     600,000       600,000  

Per share NAV beginning of period

   $ 31.71     $ 37.31  

Per share NAV end of period

   $ 43.56     $ 31.99  

Percentage change in per share NAV

     37.4     (14.3 )% 

Percentage change in benchmark

     (15.2 )%      3.8

Benchmark annualized volatility

     13.5     19.6

 

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During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted primarily from an increase from 466,976 outstanding Shares at December 31, 2017 to 516,976 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017.

For the nine months ended September 30, 2018 and 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 37.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 14.3% for the nine months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 11, 2018 at $44.64 per Share and reached its low for the period on January 25, 2018 at $29.38 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share.

The benchmark’s decline of 15.2% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 3.8% for the nine months ended September 30, 2017, can be attributed to a decline in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 87,528      $ (40,264

Management fee

     155,203        143,542  

Brokerage commission

     34        39  

Net realized gain (loss)

     5,149,369        (2,693,510

Change in net unrealized appreciation/depreciation

     2,251,286        745,784  

Net income (loss)

   $ 7,488,183      $ (1,987,990

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decline in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2018.

 

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 131,077,453     $ 276,781,747  

NAV end of period

   $ 78,157,044     $ 148,459,101  

Percentage change in NAV

     (40.4 )%      (46.4 )% 

Shares outstanding beginning of period

     1,749,290       3,449,290  

Shares outstanding end of period

     999,290       1,999,290  

Percentage change in shares outstanding

     (42.9 )%      (42.0 )% 

Shares created

     100,000       900,000  

Shares redeemed

     850,000       2,350,000  

Per share NAV beginning of period

   $ 74.93     $ 80.24  

Per share NAV end of period

   $ 78.21     $ 74.26  

Percentage change in per share NAV

     4.4     (7.5 )% 

Percentage change in benchmark

     (0.8 )%      3.9

Benchmark annualized volatility

     6.6     8.7

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted from a decrease from 1,749,290 outstanding Shares at December 31, 2017 to 999,290 outstanding Shares at September 30, 2018. 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 two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2018 and 2017, 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 4.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 7.5% for the nine months ended September 30, 2017, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on September 28, 2018 at $78.22 per Share and reached its low for the period on March 23, 2018 at $65.08 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $81.40 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share.

The benchmark’s decline of 0.8% for the nine months ended September 30, 2018, as compared to the benchmark’s rise of 3.9% for the nine months ended September 30, 2017, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2018.

 

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 411,941      $ (396,084

Management fee

     629,165        1,468,775  

Net realized gain (loss)

     (398,297      (17,532,916

Change in net unrealized appreciation/depreciation

     1,456,265        (7,490,982

Net income (loss)

   $ 1,469,909      $ (25,419,982

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar terms during the nine months ended September 30, 2018.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 26,347,948     $ 45,818,914  

NAV end of period

   $ 18,770,656     $ 45,047,423  

Percentage change in NAV

     (28.8 )%      (1.7 )% 

Shares outstanding beginning of period

     1,237,403       1,087,403  

Shares outstanding end of period

     912,403       1,787,403  

Percentage change in shares outstanding

     (26.3 )%      64.4

Shares created

     700,000       850,000  

Shares redeemed

     1,025,000       150,000  

Per share NAV beginning of period

   $ 21.29     $ 42.14  

Per share NAV end of period

   $ 20.57     $ 25.20  

Percentage change in per share NAV

     (3.4 )%      (40.2 )% 

Percentage change in benchmark

     (2.1 )%      (39.7 )% 

Benchmark annualized volatility

     41.4     21.3

During the nine months ended September 30, 2018, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,237,403 outstanding Shares at December 31, 2017 to 912,403 outstanding Shares at September 30, 2018. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,087,403 outstanding Shares at December 31, 2016 to 1,787,403 outstanding Shares at September 30, 2017.

For the nine months ended September 30, 2018 and 2017, 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 3.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2017, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2018.

 

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During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on February 5, 2018 at $27.85 per Share and reached its low for the period on January 12, 2018 at $19.98 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share.

The benchmark’s decline of 2.1% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 39.7% for the nine months ended September 30, 2017, can be attributed to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ 18,823      $ (83,495

Management fee

     137,319        235,818  

Brokerage commission

     15,635        11,815  

Net realized gain (loss)

     2,044,708        (19,180,662

Change in net unrealized appreciation/depreciation

     1,583,588        (651,228

Net income (loss)

   $ 3,647,119      $ (19,915,385

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term during the nine months ended September 30, 2018.

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
    Nine Months Ended
September 30, 2017
 

NAV beginning of period

   $ 137,741,560     $ 174,160,146  

NAV end of period

   $ 154,631,386     $ 191,364,819  

Percentage change in NAV

     12.3     9.9

Shares outstanding beginning of period

     5,901,317       2,052,363  

Shares outstanding end of period

     7,076,317       5,876,317  

Percentage change in shares outstanding

     19.9     186.3

Shares created

     7,300,000       6,125,000  

Shares redeemed

     6,125,000       2,301,046  

Per share NAV beginning of period

   $ 23.34     $ 84.86  

Per share NAV end of period

   $ 21.85     $ 32.57  

Percentage change in per share NAV

     (6.4 )%      (61.6 )% 

Percentage change in benchmark

     (5.0 )%      (61.5 )% 

Benchmark annualized volatility

     129.9     53.1

 

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During the nine months ended September 30, 2018, the increase in the Fund’s NAV resulted from an increase from 5,901,317 outstanding Shares at December 31, 2017 to 7,076,317 outstanding Shares at September 30, 2018. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2018 and 2017, 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 6.4% for the nine months ended September 30, 2018, as compared to the Fund’s per Share NAV decrease of 61.6% for the nine months ended September 30, 2017, was primarily due to a lesser decline in the value of the assets held by the Fund during the nine months ended September 30, 2018.

During the nine months ended September 30, 2018, the Fund’s per Share NAV reached its high for the period on February 5, 2018 at $54.20 per Share and reached its low for the period on January 11, 2018 at $21.43 per Share. By comparison, during the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share.

The benchmark’s decline of 5.0% for the nine months ended September 30, 2018, as compared to the benchmark’s decline of 61.5% for the nine months ended September 30, 2017, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2018.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2018 and 2017:

 

     Nine Months Ended
September 30, 2018
     Nine Months Ended
September 30, 2017
 

Net investment income (loss)

   $ (14,404    $ (356,273

Management fee

     759,563        1,004,091  

Brokerage commission

     133,431        138,487  

Net realized gain (loss)

     29,055,098        (126,203,648

Change in net unrealized appreciation/depreciation

     (2,341,435      (17,854,285

Net income (loss)

   $ 26,699,259      $ (144,414,206

The Fund’s net income increased for the nine months ended September 30, 2018, as compared to the nine months ended September 30, 2017, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2018.

 

*

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

 

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2018 and 2017, each of the Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2018 and 2017, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to exchange rate price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2018      58      $ 1.17        125,000      $ (8,469,450
Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2017      55      $ 1.19        125,000      $ (8,156,844

The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF:

As of September 30, 2018 and 2017, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2018 and 2017, which were sensitive to equity market volatility risk.

 

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Futures Positions as of September 30, 2018  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

     Short      October 2018      8,195      $ 13.98        1,000      $ (114,525,125

VIX Futures (CBOE)

     Short      November 2018      5,478        14.98        1,000        (82,033,050
Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

     Short      October 2017      51,224      $ 11.68        1,000      $ (598,040,200

VIX Futures (CBOE)

     Short      November 2017      34,126        13.03        1,000        (444,491,150

The September 30, 2018 and 2017 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. Prior to the close of business on February 27, 2018, the Fund generally attempted 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. As of close of business on February 27, 2018, the Fund will generally attempt to adjust its position in Financial Statements each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Form 10-K/A for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2018 and 2017, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2018      2,959      $ 73.25        1,000      $ 216,746,750  

 

Swap Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
     Index Close      Notional
Amount at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.      Long      $ 110.5124      $ 158,650,102  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International      Long        110.5124        139,341,211  

Bloomberg WTI Crude Oil Subindex

   RBC, N.A.      Long        110.5124        90,338,589  

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.      Long        110.5124        61,779,516  

Bloomberg WTI Crude Oil Subindex

   UBS AG      Long        110.5124        127,870,585  

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2017      5,855      $ 51.67        1,000      $ 302,527,850  

 

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Swap Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Long    $ 76.1424      $ 332,458,695  

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Long      76.1424        242,703,814  

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Long      76.1424        115,090,880  

Bloomberg WTI Crude Oil Subindex

   UBS AG    Long      76.1424        251,436,908  

The September 30, 2018 and 2017 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2018 and 2017, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Natural Gas (NYMEX)

   Long    November 2018      1,570      $ 3.01        10,000      $ 47,225,600  
Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Natural Gas (NYMEX)

   Long    November 2017      3,396      $ 3.01        10,000      $ 102,117,720  

The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day.

 

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ProShares Ultra Euro:

As September 30, 2018 and 2017, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of September 30, 2018  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long      10/05/18        7,218,625       1.1612      $ 8,382,414  

Euro

   UBS AG    Long      10/05/18        6,640,300       1.1612        7,710,852  

Euro

   Goldman Sachs International    Short      10/05/18        (51,700     1.1612        (60,036

Euro

   UBS AG    Short      10/05/18        (281,800     1.1612        (327,231
Foreign Currency Forward Contracts as of September 30, 2017  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
     Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long      10/06/17        11,961,025       1.1821      $ 14,138,996  

Euro

   UBS AG    Long      10/06/17        17,574,000       1.1821        20,774,032  

Euro

   Goldman Sachs International    Short      10/06/17        (1,663,500     1.1821        (1,966,405

Euro

   UBS AG    Short      10/06/17        (4,680,700     1.1821        (5,533,004

The September 30, 2018 and 2017 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. 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/A 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 Gold:

As of September 30, 2018 and 2017, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Gold Futures (COMEX)

   Long    December 2018      2      $ 1,196.20        100      $ 239,240  

 

Forward Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,190.35      $ 57,851,010  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,190.32        44,541,774  

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,190.31        4,285,116  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,190.31        39,280,230  

 

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Futures Positions as of September 30, 2017  

Contract

   Long or
Short
     Expiration      Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Gold Futures (COMEX)

     Long        December 2017        2      $ 1,284.80        100      $ 256,960  

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Long    $ 1,283.43      $ 56,984,292  

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Long      1,283.41        48,923,589  

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Long      1,283.41        23,101,380  

0.995 Fine Troy Ounce Gold

   UBS AG    Long      1,283.41        49,924,649  

The September 30, 2018 and 2017 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2018 and 2017, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Silver Futures (COMEX)

   Long    December 2018      2      $ 14.71        5,000      $ 147,120  

 

Forward Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 14.3439      $ 143,367,281  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      14.3431        95,852,069  

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      14.3436        25,588,982  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      14.3435        100,949,553  

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Silver Futures (COMEX)

   Long    December 2017      2      $ 16.68        5,000      $ 166,760  

 

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Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Long    $ 16.8646      $ 161,967,618  

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Long      16.8644        131,471,490  

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Long      16.8645        63,815,268  

0.999 Fine Troy Ounce Silver

   UBS AG    Long      16.8644        132,149,438  

The September 30, 2018 and 2017 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 and 2017 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. 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/A 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 VIX Short-Term Futures ETF:

As of September 30, 2018 and 2017, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreement linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to equity market volatility risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
     Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

     Long      October 2018      30,424      $ 13.98        1,000      $ 425,175,400  

VIX Futures (CBOE)

     Long      November 2018      20,270        14.98        1,000        303,543,250  

 

Swap Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at Value
 

VIX Futures (CBOE)

   Goldman Sachs International    Long    $ 26.5483      $ 69,104,339  

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

   Long    October 2017      52,495      $ 11.68        1,000      $ 612,879,125  

VIX Futures (CBOE)

   Long    November 2017      35,008        13.03        1,000        455,979,200  

The September 30, 2018 and 2017 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 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. Prior to the close of business on February 27, 2018, the Fund generally attempted to adjust its positions in Financial Instruments each

 

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day to have $2.00 of exposure to the Index for every $1.00 of net assets. As of the close of business on February 27, 2018, the Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Form 10-K/A 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 Yen:

As of September 30, 2018 and 2017, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of September 30, 2018  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/05/18      314,885,800       0.008804      $ 2,772,237  

Yen

   UBS AG    Long    10/05/18      322,117,300       0.008804        2,835,904  

Yen

   Goldman Sachs International    Short    10/05/18      (4,751,100     0.008804        (41,829

Yen

   UBS AG    Short    10/05/18      (14,328,300     0.008804        (126,145
Foreign Currency Forward Contracts as of September 30, 2017  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
   Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/06/17      735,730,100       0.008888      $ 6,539,365  

Yen

   UBS AG    Long    10/06/17      652,357,100       0.008888        5,798,323  

Yen

   Goldman Sachs International    Short    10/06/17      (23,286,700     0.008888        (206,978

Yen

   UBS AG    Short    10/06/17      (57,172,300     0.008888        (508,163

The September 30, 2018 and 2017 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. 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/A 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 UltraPro 3x Crude Oil ETF:

As of September 30, 2018 and 2017, the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2018      1,467      $ 73.25        1,000      $ 107,457,750  

 

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Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Long    November 2017      440      $ 51.67        1,000      $ 22,734,800  

The September 30, 2018 and 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by three. See “Item 1A. Risk Factors” in the Form 10-K/A for additional information regarding performance for periods longer than one day.

ProShares UltraPro 3x Short Crude Oil ETF:

As of September 30, 2018 and 2017, the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017 which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2018      1,126      $ 73.25        1,000      $ (82,479,500

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2017      916      $ 51.67        1,000      $ (47,329,720

The September 30, 2018 and 2017 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional amount will increase (decrease) proportionally with decreases (increases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative three. See “Item 1A. Risk Factors” in the Form 10-K/A for additional information regarding performance for periods longer than one day.

ProShares UltraShort Australian Dollar:

As of September 30, 2018 and 2017, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to exchange rate price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2018      219      $ 72.27        1,000      $ (15,827,130

 

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Table of Contents
Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2017      232      $ 78.36        1,000      $ (18,179,520

The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2018 and 2017, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2018      559      $ 73.25        1,000      $ (40,946,750

 

Swap Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Short    $ 110.5124      $ (79,186,535

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      110.5124        (59,054,009

Bloomberg WTI Crude Oil Subindex

   RBC, N.A.    Short      110.5124        (46,878,869

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      110.5124        (22,503,021

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      110.5124        (51,524,744

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2017      1,894      $ 51.67        1,000      $ (97,862,980

 

Swap Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Index Close      Notional
Amount at Value
 

Bloomberg WTI Crude Oil Subindex

   Citibank N.A.    Short    $ 76.1424      $ (149,040,494

Bloomberg WTI Crude Oil Subindex

   Goldman Sachs International    Short      76.1424        (109,832,549

Bloomberg WTI Crude Oil Subindex

   Societe Generale S.A.    Short      76.1424        (12,927,229

Bloomberg WTI Crude Oil Subindex

   UBS AG    Short      76.1424        (106,765,884

 

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The September 30, 2018 and 2017 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2018 and 2017, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Natural Gas (NYMEX)

   Short    November 2018      651      $ 3.01        10,000      $ (19,582,080
Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Natural Gas (NYMEX)

   Short    November 2017      394      $ 3.01        10,000      $ (11,847,580

The September 30, 2018 and 2017 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 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. 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/ A for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2018 and 2017, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of September 30, 2018  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    10/05/18      13,592,000       1.1612      $ 15,783,307  

Euro

   UBS AG    Long    10/05/18      17,145,000       1.1612        19,909,123  

Euro

   Goldman Sachs International    Short    10/05/18      (161,515,225     1.1612        (187,554,766

Euro

   UBS AG    Short    10/05/18      (162,214,000     1.1612        (188,366,198

 

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Foreign Currency Forward Contracts as of September 30, 2017  

Reference

Currency

   Counterparty    Long or
Short
   Settlement
Date
   Euro     Forward
Rate
     Market Value
USD
 

Euro

   Goldman Sachs International    Long    10/06/17      3,175,800       1.1821      $ 3,754,078  

Euro

   UBS AG    Long    10/06/17      35,067,900       1.1821        41,453,378  

Euro

   Goldman Sachs International    Short    10/06/17      (194,781,925     1.1821        (230,249,569

Euro

   UBS AG    Short    10/06/17      (226,747,400     1.1821        (268,035,604

The September 30, 2018 and 2017 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. 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/A 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 Gold:

As of September 30, 2018 and 2017, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Gold Futures (COMEX)

   Short    December 2018      2      $ 1,196.20        100      $ (239,240

 

Forward Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Short    $ 1,190.35      $ (19,759,810

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,190.32        (14,281,459

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,190.31        (4,285,116

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,190.31        (20,056,724

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Gold Futures (COMEX)

   Short    December 2017      2      $ 1,284.80        100      $ (256,960

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.995 Fine Troy Ounce Gold

   Citibank N.A.    Short    $ 1,283.43      $ (20,663,223

0.995 Fine Troy Ounce Gold

   Goldman Sachs International    Short      1,283.41        (21,687,062

0.995 Fine Troy Ounce Gold

   Societe Generale S.A.    Short      1,283.41        (6,160,368

0.995 Fine Troy Ounce Gold

   UBS AG    Short      1,283.41        (22,138,823

 

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The September 30, 2018 and 2017 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2018 and 2017, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to commodity price risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Silver Futures (COMEX)

   Short    December 2018      2      $ 14.71        5,000      $ (147,120

 

Forward Agreements as of September 30, 2018  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.999 Fine Troy Ounce Silver

   Citibank, N.A.    Short    $ 14.3439      $ (16,509,829

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      14.3431        (12,284,865

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      14.3436        (2,237,602

0.999 Fine Troy Ounce Silver

   UBS AG    Short      14.3435        (13,870,165

 

Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

Silver Futures (COMEX)

   Short    December 2017      2      $ 16.68        5,000      $ (166,760

 

Forward Agreements as of September 30, 2017  

Reference Index

   Counterparty    Long or
Short
   Valuation
Price
     Notional
Amount at Value
 

0.999 Fine Troy Ounce Silver

   Citibank N.A.    Short    $ 16.8646      $ (16,071,964

0.999 Fine Troy Ounce Silver

   Goldman Sachs International    Short      16.8644        (13,263,851

0.999 Fine Troy Ounce Silver

   Societe Generale S.A.    Short      16.8645        (2,630,862

0.999 Fine Troy Ounce Silver

   UBS AG    Short      16.8644        (13,727,622

The September 30, 2018 and 2017 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2018 and 2017 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

 

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Index for every $1.00 of net assets. 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/A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of September 30, 2018 and 2017, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2018 and 2017, which were sensitive to exchange rate price risk.

 

Foreign Currency Forward Contracts as of September 30, 2018  

Reference

Currency

  

Counterparty

   Long or
Short
   Settlement
Date
   Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/05/18      318,769,700       0.008804      $ 2,806,430  

Yen

   UBS AG    Long    10/05/18      349,211,500       0.008804        3,074,439  

Yen

   Goldman Sachs International    Short    10/05/18      (9,071,378,900     0.008804        (79,863,921

Yen

   UBS AG    Short    10/05/18      (9,347,285,100     0.008804        (82,292,983
Foreign Currency Forward Contracts as of September 30, 2017  

Reference

Currency

  

Counterparty

   Long or
Short
   Settlement
Date
   Yen     Forward Rate      Market Value
USD
 

Yen

   Goldman Sachs International    Long    10/06/17      571,833,200       0.008888      $ 5,082,606  

Yen

   UBS AG    Long    10/06/17      2,539,647,800       0.008888        22,573,065  

Yen

   Goldman Sachs International    Short    10/06/17      (17,548,070,400     0.008888        (155,971,917

Yen

   UBS AG    Short    10/06/17      (18,981,034,100     0.008888        (168,708,480

The September 30, 2018 and 2017 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. 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/A 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 VIX Mid-Term Futures ETF:

As of September 30, 2018 and 2017, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2018 and 2017, which were sensitive to equity market volatility risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

   Long    January 2019      234      $ 15.73        1,000      $ 3,679,650  

VIX Futures (CBOE)

   Long    February 2019      389        15.93        1,000        6,194,825  

VIX Futures (CBOE)

   Long    March 2019      389        16.28        1,000        6,330,975  

VIX Futures (CBOE)

   Long    April 2019      156        16.43        1,000        2,562,300  

 

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Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

   Long    January 2018      582      $ 14.78        1,000      $ 8,599,050  

VIX Futures (CBOE)

   Long    February 2018      971        15.23        1,000        14,783,475  

VIX Futures (CBOE)

   Long    March 2018      971        15.80        1,000        15,341,800  

VIX Futures (CBOE)

   Long    April 2018      388        16.28        1,000        6,314,700  

The September 30, 2018 and 2017 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. 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/A for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF:

As of September 30, 2018 and 2017, the ProShares 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 VIX futures contracts as of September 30, 2018 and 2017, which were sensitive to equity market volatility risk.

 

Futures Positions as of September 30, 2018  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

   Long    October 2018      6,448      $ 13.98        1,000      $ 90,110,800  

VIX Futures (CBOE)

   Long    November 2018      4,305        14.98        1,000        64,467,375  
Futures Positions as of September 30, 2017  

Contract

   Long or
Short
   Expiration    Contracts      Valuation
Price
     Contract
Multiplier
     Notional
Amount at Value
 

VIX Futures (CBOE)

   Long    October 2017      9,373      $ 11.68        1,000      $ 109,429,775  

VIX Futures (CBOE)

   Long    November 2017      6,252        13.03        1,000        81,432,300  

The September 30, 2018 and 2017 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. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in Form 10-K/A for additional information regarding performance for periods longer than a single day.

 

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Qualitative Disclosure

As described above in Item 2 in this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or 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 one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each UltraPro Short Fund seeks daily investment results, before fees and expenses, that correspond to three times the inverse (-3x) of daily performance of its corresponding benchmark. Each UltraPro Fund seeks daily investment results, before fees and expenses, that correspond to three times (3x) daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of its 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 negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. 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/A for additional information regarding performance for periods longer than a single day.

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 long 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 strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 in this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K/A, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity Index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity Index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity Index will negatively impact the daily performance of Shares of an Ultra Fund.

 

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Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K/A, 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/A, 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 (-0.5x, -1x, -2x, 1.5x, 2x, -3x, 3x), 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 each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the Index for an Ultra Fund or UltraPro 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 or UltraPro Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds, UltraShort Funds or UltraPro Short Funds will generally decrease when the Index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s, an UltraShort Fund’s, or UltraPro Short Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

 

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The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

 

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Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2017, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2018 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.

As of September 30, 2018, the Trust is not a party to any material legal proceedings.

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/A for the year ended December 31, 2017, filed on March 26, 2018.

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

a) None.

b) The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and reallocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short- Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined

 

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prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional Shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a posteffective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). On August 11, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the Form S-1; no additional Shares were registered with that filing. That registration statement was a combined prospectus and acted as a pre-effective amendment to post-effective amendment No. 1 of the Form S-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 (File No. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on Form S-3 (File No. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra

 

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Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. On March 1, 2017, a Registration Statement on Form S-3 (File No. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on Form S-3 (File No. 333-213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on Form S-1 (File No. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on Form S-3 (File No. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the Form S-3 to a Form S-1. On March 22, 2017, a Registration Statement on Form S-1 (File No. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On July 12, 2017, a Registration Statement on Form S-3 (File No. 333-218004) was declared effective, which (a) registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, and ProShares VIX Short Term Futures ETF, and (b) terminated the Registration Statement on Form S-3 (File No. 333-215930). On February 6, 2018, a Registration Statement on Form S-3 (File No. 333-220688) was declared effective, which (a) registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, and (b) terminated the Registration Statement on Form S-3 (File No. 333-218004). On March 29, 2018, a Registration Statement on Form S-1 (File No. 333- 223012) was declared effective, which terminated the Registration Statement on Form S-1 (File No. 333-215929) and the Registration Statement on Form S-1 (File No. 333-214904); no additional Shares for any Fund were registered with that filing. On June 30, 2018, the Trust had two effective registration statements outstanding: a Registration Statement on Form S-1 (No. 333- 223012) and a Registration Statement on Form S-3 (No. 333-220688).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares

 

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Title of Securities Registered

   Amount
Registered As
of September 30, 2018
     Shares Sold
For the Three Months
Ended September 30, 2018
     Sale Price of Shares
Sold For the Three
Months Ended
September 30, 2018
 

ProShares Short Euro Common Units of Beneficial Interest

   $ 153,418,934        —        $ —    

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

   $ 10,384,122,827        —        $ —    

ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest

   $ 4,317,748,075        2,050,000      $ 60,377,850  

ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest

   $ 322,282,296        200,000      $ 5,288,628  

ProShares Ultra Euro Common Units of Beneficial Interest

   $ 92,531,840        —        $ —    

ProShares Ultra Gold Common Units of Beneficial Interest

   $ 268,558,744        —        $ —    

ProShares Ultra Silver Common Units of Beneficial Interest

   $ 1,266,409,983        850,000      $ 23,981,568  

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

   $ 9,211,269,195        14,690,000      $ 686,757,350  

ProShares Ultra Yen Common Units of Beneficial Interest

   $ 138,726,333        —        $ —    

ProShares UltraPro 3x Crude Oil ETF Common Units of Beneficial Interest

   $ 972,257,226        450,000      $ 22,006,338  

ProShares UltraPro 3x Short Crude Oil ETF Common Units of Beneficial Interest

   $ 968,980,552        1,000,000      $ 18,759,551  

ProShares UltraShort Australian Dollar Common Units of Beneficial Interest

   $ 167,969,287        50,000      $ 2,477,186  

ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest

   $ 1,565,234,838        2,300,000      $ 34,521,758  

ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest

   $ 313,407,150        200,000      $ 7,126,477  

ProShares UltraShort Euro Common Units of Beneficial Interest

   $ 1,895,556,096        500,000      $ 11,685,477  

ProShares UltraShort Gold Common Units of Beneficial Interest

   $ 151,720,009        —        $ —    

ProShares UltraShort Silver Common Units of Beneficial Interest

   $ 1,909,187,099        —        $ —    

ProShares UltraShort Yen Common Units of Beneficial Interest

   $ 940,420,616        —        $ —    

ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest

   $ 519,765,878        50,000      $ 1,061,436  

ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest

   $ 1,507,229,883        3,625,000      $ 88,981,896  

Total:

        25,965,000      $ 963,025,515  

 

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(b) From July 1, 2018 through September 30, 2018, the number of Shares redeemed and average price per Share for each Fund were as follows:

 

Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares Short Euro

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares Short VIX Short-Term Futures ETF

     

07/01/18 to 07/31/18

     1,787,500      $ 55.13  

08/01/18 to 08/31/18

     850,000      $ 56.73  

09/01/18 to 09/30/18

     1,065,693      $ 57.25  

ProShares Ultra Bloomberg Crude Oil

     

07/01/18 to 07/31/18

     950,000      $ 32.35  

08/01/18 to 08/31/18

     1,550,000      $ 31.46  

09/01/18 to 09/30/18

     1,700,000      $ 33.87  

ProShares Ultra Bloomberg Natural Gas

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     200,000      $ 30.17  

09/01/18 to 09/30/18

     100,000      $ 28.86  

ProShares Ultra Euro

     

07/01/18 to 07/31/18

     50,000      $ 16.11  

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares Ultra Gold

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares Ultra Silver

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares Ultra VIX Short-Term Futures ETF

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     5,030,000      $ 47.55  

09/01/18 to 09/30/18

     944,536      $ 45.94  

ProShares Ultra Yen

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares UltraPro 3x Crude Oil ETF

     

07/01/18 to 07/31/18

     100,000      $ 58.06  

08/01/18 to 08/31/18

     150,000      $ 55.55  

09/01/18 to 09/30/18

     300,000      $ 57.94  

ProShares UltraPro 3x Short Crude Oil ETF

     

07/01/18 to 07/31/18

     450,000      $ 22.39  

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares UltraShort Australian Dollar

     

07/01/18 to 07/31/18

     50,000      $ 50.61  

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares UltraShort Bloomberg Crude Oil

     

07/01/18 to 07/31/18

     1,650,000      $ 16.43  

08/01/18 to 08/31/18

     1,350,000      $ 17.41  

09/01/18 to 09/30/18

     150,000      $ 16.18  

ProShares UltraShort Bloomberg Natural Gas

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     50,000      $ 39.35  

09/01/18 to 09/30/18

     50,000      $ 36.89  

ProShares UltraShort Euro

     

07/01/18 to 07/31/18

     300,000      $ 22.65  

08/01/18 to 08/31/18

     550,000      $ 23.35  

09/01/18 to 09/30/18

     150,000      $ 23.01  

 

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Table of Contents

Fund

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares UltraShort Gold

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares UltraShort Silver

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     150,000      $ 41.32  

09/01/18 to 09/30/18

     —        $ —    

ProShares UltraShort Yen

     

07/01/18 to 07/31/18

     50,000      $ 76.47  

08/01/18 to 08/31/18

     100,000      $ 74.52  

09/01/18 to 09/30/18

     —        $ —    

ProShares VIX Mid-Term Futures ETF

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     —        $ —    

09/01/18 to 09/30/18

     —        $ —    

ProShares VIX Short-Term Futures ETF

     

07/01/18 to 07/31/18

     —        $ —    

08/01/18 to 08/31/18

     300,000      $ 24.23  

09/01/18 to 09/30/18

     —        $ —    

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

 

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Item 6. Exhibits.

 

Exhibit No.

  

Description of Document

31.1    Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2    Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.1    Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2    Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS    XBRL Instance Document (1)
101.SCH    XBRL Taxonomy Extension Schema (1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB    XBRL Taxonomy Extension Label Linkbase (1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase (1)

 

(1)

Filed herewith.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson
Principal Executive Officer
Date: November 9, 2018

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial Officer
Date: November 9, 2018

 

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