0001415311 us-gaap:FutureMember ck0001415311:ProsharesUltraBloombergNaturalGasMember 2018-07-01 2018-09-30
Table of Contents
UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM
10-Q

Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2017.2019.

or

Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from
to
.

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

Delaware
87-6284802
(State or other jurisdiction of

(I.R.S. Employer
incorporation or organization)

 

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue,
Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)
497-6400

(Registrant’s telephone number, including area code)

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

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

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

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

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

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule12b-2 of the Exchange Act.

Large Accelerated Filer
 
 
Accelerated Filer
 
Non-Accelerated Filer ☐  (Do not check if a smaller reporting company) 
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 Rule12b-2 of the Exchange Act.).    
  Yes    
   No


PROSHARES TRUST II

Table

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of Contents

the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.     
   Yes    
  No
As of September 30, 2019, the registrant had 100,867,767 shares of common stock, $0 par value per share, outstanding.
Securities registered or to be registered pursuant to Section 12(b) of the Act.
  Page 

Part I. FINANCIAL INFORMATION

Title of each class
 
Trading
Symbol(s)
Name of each exchange
on which registered
ProShares Short Euro
EUFX
NYSE Arca

Item 1. Financial Statements.

ProShares Short VIX Short-Term Futures ETF
SVXY
NYSE Arca
ProShares Ultra Bloomberg Crude Oil
UCO
NYSE Arca
ProShares Ultra Bloomberg Natural Gas
BOIL
NYSE Arca
ProShares Ultra Euro
ULE
NYSE Arca
ProShares Ultra Gold
UGL
NYSE Arca
ProShares Ultra Silver
AGQ
NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF
UVXY
NYSE Arca
ProShares Ultra Yen
YCL
NYSE Arca
ProShares UltraPro 3x Crude Oil ETF
OILU
NYSE Arca
ProShares UltraPro 3x Short Crude Oil ETF
OILD
NYSE Arca
ProShares UltraShort Australian Dollar
CROC
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
SCO
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
KOLD
NYSE Arca
ProShares UltraShort Euro
EUO
NYSE Arca
ProShares UltraShort Gold
GLL
NYSE Arca
ProShares UltraShort Silver
ZSL
NYSE Arca
ProShares UltraShort Yen
YCS
NYSE Arca
ProShares VIX Mid-Term Futures ETF
VIXM
NYSE Arca
ProShares VIX Short-Term Futures ETF
VIXY
NYSE Arca

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.
Index
Item 1.Condensed Financial Statements.

Index

Documents

 Page 

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

ProShares VIX Short-Term Futures ETF

  4
 

  9
4
 

  14
9
 

14
19
24
29
34
  19
39
 

  24
44
 

49
  29
54
 

59
64
  34
69
 

  39
74
 

  44
79
 

  49
84
 

  54
89
 

  59
94
 

  64
99
 

  69
104
 

ProShares UltraPro 3x Crude Oil ETF

74

ProShares Ultra Bloomberg Natural Gas

79

ProShares Ultra Gold

84

ProShares Ultra Silver

89

ProShares Ultra Euro

94

ProShares Ultra Yen

99

ProShares Trust II

104

  
108
 



Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF

SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $4,200,621   $4,536,425 

Segregated cash balances with brokers for futures contracts

   4,438,775    17,235,855 

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

   186,716,429    147,991,233 

Receivable on open futures contracts

   —      4,484,270 
  

 

 

   

 

 

 

Total assets

   195,355,825    174,247,783 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   3,913,679    —   

Payable to Sponsor

   77,327    87,637 
  

 

 

   

 

 

 

Total liabilities

   3,991,006    87,637 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   191,364,819    174,160,146 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $195,355,825   $174,247,783 
  

 

 

   

 

 

 

Shares outstanding (Note 1)

   5,876,317    2,052,363 
  

 

 

   

 

 

 

Net asset value per share (Note 1)

  $32.57   $84.86 
  

 

 

   

 

 

 

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

  $32.53   $85.04 
  

 

 

   

 

 

 

 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $6,979,777 and $599,431, respectively)
 $
6,980,360
  $
599,429
 
Cash
  
11,305,811
   
7,873,056
 
Segregated cash balances with brokers for futures contracts
  
297,000
   
151,800
 
Receivable on open futures contracts
  
64,969
   
—  
 
Interest receivable
  
17,320
   
7,641
 
         
Total assets
  
18,665,460
   
8,631,926
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable on open futures contracts
  
—  
   
5,250
 
Payable to Sponsor
  
14,393
   
6,990
 
         
Total liabilities
  
14,393
   
12,240
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
18,651,067
   
8,619,686
 
         
Total liabilities and shareholders’ equity
 $
18,665,460
  $
8,631,926
 
         
Shares outstanding
  
400,000
   
200,000
 
         
Net asset value per share
 $
46.63
  $
43.10
 
         
Market value per share (Note 2)
 $
46.73
  $
43.08
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF

SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

 

  

U.S. Treasury Bills^^:

    

0.998% due 10/05/17

  $7,000,000   $6,999,568 

1.043% due 10/12/17

   18,000,000    17,995,300 

0.928% due 10/19/17

   11,000,000    10,995,222 

1.037% due 10/26/17†

   35,000,000    34,978,185 

1.013% due 11/02/17†

   7,000,000    6,994,243 

1.023% due 11/09/17†

   4,000,000    3,995,947 

0.988% due 11/16/17†

   29,000,000    28,965,383 

0.962% due 11/30/17†

   13,000,000    12,979,014 

1.033% due 12/07/17†

   7,000,000    6,987,359 

0.987% due 12/14/17†

   11,000,000    10,978,586 

1.001% due 01/11/18

   12,000,000    11,966,165 

1.040% due 02/01/18

   33,000,000    32,881,457 
    

 

 

 

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

    $186,716,429 
    

 

 

 

         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(37% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.014% due 11/07/19
 $
2,000,000
  $
1,996,475
 
1.843% due 12/05/19
  
5,000,000
   
4,983,885
 
         
Total short-term U.S. government and agency obligations
(cost $6,979,777)
  
  $
6,980,360
 
         
Futures Contracts Purchased

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

VIX Futures—CBOE, expires October 2017

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

VIX Futures—CBOE, expires November 2017

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

 

 

 
      $(18,329,321
      

 

 

 

Sold
             
 
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires December 2019
  
135
  $
18,499,219
  $
263,291
 
^^Rates shown representsrepresent discount rate at the time of purchase.
See accompanying notes to financial statements.


Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
107,143
  $
31,641
  $
297,766
  $
78,667
 
                 
Expenses
  
   
   
   
 
Management fee
  
46,129
   
20,064
   
125,906
   
57,645
 
Brokerage commissions
  
763
   
316
   
2,118
   
919
 
                 
Total expenses
  
46,892
   
20,380
   
128,024
   
58,564
 
                 
Net investment income (loss)
  
60,251
   
11,261
   
169,742
   
20,103
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
625,576
   
173,885
   
849,200
   
238,110
 
                 
Net realized gain (loss)
  
625,576
   
173,885
   
849,200
   
238,110
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
342,293
   
(85,332
)  
306,572
   
168,169
 
Short-term U.S. government and agency obligations
  
(4,588
)  
(900
)  
585
   
(19
)
                 
Change in net unrealized appreciation (depreciation)
  
337,705
   
(86,232
)  
307,157
   
168,150
 
                 
Net realized and unrealized gain (loss)
  
963,281
   
87,653
   
1,156,357
   
406,260
 
                 
Net income (loss)
 $
1,023,532
  $
98,914
  $
1,326,099
  $
426,363
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
22,127,403
  $
8,319,329
  $
8,619,686
  $
7,991,880
 
                 
Addition of –, –, 300,000 and – shares, respectively
  
—  
   
—  
   
13,205,150
   
—  
 
Redemption of 100,000, –, 100,000 and – shares, respectively
  
(4,499,868
)  
—  
   
(4,499,868
)  
—  
 
                 
Net addition (redemption) of (100,000), –, 200,000 and – shares, respectively
  
(4,499,868
)  
—  
   
8,705,282
   
—  
 
                 
Net investment income (loss)
  
60,251
   
11,261
   
169,742
   
20,103
 
Net realized gain (loss)
  
625,576
   
173,885
   
849,200
   
238,110
 
Change in net unrealized appreciation (depreciation)
  
337,705
   
(86,232
)  
307,157
   
168,150
 
                 
Net income (loss)
  
1,023,532
   
98,914
   
1,326,099
   
426,363
 
                 
Shareholders’ equity, end of period
 $
18,651,067
  $
8,418,243
  $
18,651,067
  $
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,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
1,326,099
  $
426,363
 
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
  
(410,432,905
)  
(242,622,369
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
404,250,000
   
245,200,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(197,441
)  
(71,032
)
Change in unrealized appreciation (depreciation) on investments
  
(585
)  
19
 
Decrease (Increase) in receivable on futures contracts
  
(64,969
)  
(103,916
)
Decrease (Increase) in interest receivable
  
(9,679
)  
(1,162
)
Increase (Decrease) in payable to Sponsor
  
7,403
   
6
 
Increase (Decrease) in payable on futures contracts
  
(5,250
)  
(43,311
)
         
Net cash provided by (used in) operating activities
  
(5,127,327
)  
2,784,598
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
13,205,150
   
—  
 
Payment on shares redeemed
  
(4,499,868
)  
—  
 
         
Net cash provided by (used in) financing activities
  
8,705,282
   
—  
 
         
Net increase (decrease) in cash
  
3,577,955
   
2,784,598
 
Cash, beginning of period
  
8,024,856
   
1,045,493
 
         
Cash, end of period
 $
11,602,811
  $
3,830,091
 
         
See accompanying notes to financial statements.
8

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $167,683,524 and $–, respectively)
 $
167,710,201
  $
—  
 
Cash
  
35,343,963
   
180,835,767
 
Segregated cash balances with brokers for futures contracts
  
72,222,237
   
116,062,688
 
Receivable from capital shares sold
  
2,697,553
   
—  
 
Receivable on open futures contracts
  
62,909,184
   
63,300,889
 
Interest receivable
  
102,279
   
142,222
 
         
Total assets
  
340,985,417
   
360,341,566
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable on open futures contracts
  
1,790,506
   
15,448,037
 
Payable to Sponsor
  
252,837
   
297,266
 
Non-recurring
fees and expenses payable
  
45,949
   
—  
 
         
Total liabilities
  
2,089,292
   
15,745,303
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
338,896,125
   
344,596,263
 
         
Total liabilities and shareholders’ equity
 $
340,985,417
  $
360,341,566
 
         
Shares outstanding
  
6,284,307
   
8,134,307
 
         
Net asset value per share
 $
53.93
  $
42.36
 
         
Market value per share (Note 2)
 $
53.41
  $
42.30
 
         
See accompanying notes to financial statements.
9

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(49% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
1.757% due 10/24/19
 $
10,000,000
  $
9,988,692
 
1.925% due 11/07/19
  
158,000,000
   
157,721,509
 
         
Total short-term U.S. government and agency obligations
(cost $167,683,524)
  
  $
167,710,201
 
         
Futures Contracts Sold
             
 
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - CBOE, expires October 2019
  
5,281
  $
90,437,125
  $
7,549,341
 
VIX Futures - CBOE, expires November 2019
  
4,321
   
78,966,275
   
(338,838
)
             
 
  
   
  $
7,210,503
 
             
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   419   3,946   (943  6,237 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $174,160,146 

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

   274,586,934 

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

   (112,968,055
  

 

 

 

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

   161,618,879 
  

 

 

 

Net investment income (loss)

   (356,273

Net realized gain (loss)

   (126,203,648

Change in net unrealized appreciation/depreciation

   (17,854,285
  

 

 

 

Net income (loss)

   (144,414,206
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $191,364,819 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(144,414,206 $(143,895,518

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

   

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

   12,797,080   (2,370,400

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

   (634,948,674  (742,783,009

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

   597,015,224   622,882,786 

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

   (786,305  (324,819

Net realized gain (loss) on investments

   943   (6,237

Change in unrealized appreciation/depreciation on investments

   (6,384  (35,549

Decrease (Increase) in receivable on futures contracts

   4,484,270   1,105,799 

Increase (Decrease) in payable to Sponsor

   (10,310  85,931 

Increase (Decrease) in payable on futures contracts

   3,913,679   —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (161,954,683  (265,341,016
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   274,586,934   461,486,395 

Payment on shares redeemed

   (112,968,055  (195,044,482
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   161,618,879   266,441,913 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (335,804  1,100,897 

Cash, beginning of period

   4,536,425   2,124,103 
  

 

 

  

 

 

 

Cash, end of period

  $4,200,621  $3,225,000 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES VIXMID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $314,842   $1,155,115 

Segregated cash balances with brokers for futures contracts

   7,454,800    1,052,615 

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

   35,955,278    45,486,235 

Receivable from capital shares sold

   1,890,685    —   

Receivable on open futures contracts

   —      242,541 
  

 

 

   

 

 

 

Total assets

   45,615,605    47,936,506 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      2,085,020 

Payable on open futures contracts

   539,598    —   

Payable to Sponsor

   28,584    32,572 
  

 

 

   

 

 

 

Total liabilities

   568,182    2,117,592 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   45,047,423    45,818,914 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $45,615,605   $47,936,506 
  

 

 

   

 

 

 

Shares outstanding

   1,787,403    1,087,403 
  

 

 

   

 

 

 

Net asset value per share

  $25.20   $42.14 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $25.17   $42.34 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES VIXMID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

 

  

U.S. Treasury Bills^^:

    

0.992% due 10/26/17

  $13,000,000   $12,991,897 

1.013% due 11/02/17

   5,000,000    4,995,888 

1.023% due 11/09/17

   2,000,000    1,997,973 

0.977% due 11/16/17

   9,000,000    8,989,257 

1.001% due 01/11/18

   7,000,000    6,980,263 
    

 

 

 

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

    $35,955,278 
    

 

 

 

Futures Contracts Purchased

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

VIX Futures—CBOE, expires January 2018

   582   $8,599,050   $(697,300

VIX Futures—CBOE, expires February 2018

   971    14,783,475    (652,385

VIX Futures—CBOE, expires March 2018

   971    15,341,800    (547,765

VIX Futures—CBOE, expires April 2018

   388    6,314,700    (44,190
      

 

 

 
      $(1,941,640
      

 

 

 

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

See accompanying notes to financial statements.

10

Table of Contents
PROSHARES SHORT VIXMID-TERM SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   —     144   (527  132 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   1,342   8,365   2,167   9,742 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
1,291,477
  $
1,287,659
  $
4,759,836
  $
4,369,182
 
                 
Expenses
  
   
   
   
 
Management fee
  
757,124
   
1,111,482
   
2,647,947
   
4,725,775
 
Brokerage commissions
  
166,779
   
272,502
   
574,800
   
1,988,563
 
Brokerage fees
  
1,541
   
4,836
   
1,565
   
151,758
 
Non-recurring
fees and expenses
  
—  
   
—  
   
398,550
   
—  
 
                 
Total expenses
  
925,444
   
1,388,820
   
3,622,862
   
6,866,096
 
                 
Net investment income (loss)
  
366,033
   
(101,161
)  
1,136,974
   
(2,496,914
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
1,173,763
   
38,096,229
   
71,706,713
   
(1,789,421,125
)
Short-term U.S. government and agency obligations
  
1,969
   
—  
   
1,961
   
(259,112
)
                 
Net realized gain (loss)
  
1,175,732
   
38,096,229
   
71,708,674
   
(1,789,680,237
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
(5,428,459
)  
33,660,002
   
21,686,704
   
(5,909,845
)
Short-term U.S. government and agency obligations
  
1,894
   
—  
   
26,677
   
51,865
 
                 
Change in net unrealized appreciation (depreciation)
  
(5,426,565
)  
33,660,002
   
21,713,381
   
(5,857,980
)
                 
Net realized and unrealized gain (loss)
  
(4,250,833
)  
71,756,231
   
93,422,055
   
(1,795,538,217
)
                 
Net income (loss)
 $
(3,884,800
) $
71,655,070
  $
94,559,029
  $
(1,798,035,131
)
                 
See accompanying notes to financial statements.

11

Table of Contents
PROSHARES SHORT VIXMID-TERM SHORT-TERM FUTURES ETF

STATEMENT

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $45,818,914 

Addition of 850,000 shares

   23,977,024 

Redemption of 150,000 shares

   (4,833,130
  

 

 

 

Net addition (redemption) of 700,000 shares

   19,143,894 
  

 

 

 

Net investment income (loss)

   (83,495

Net realized gain (loss)

   (19,180,662

Change in net unrealized appreciation/depreciation

   (651,228
  

 

 

 

Net income (loss)

   (19,915,385
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $45,047,423 
  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
337,102,327
  $
528,238,767
  $
344,596,263
  $
770,163,871
 
                 
Addition of 850,000, –, 1,150,000 and 17,500,000 shares, respectively
  
47,223,413
   
—  
   
62,093,409
   
2,359,283,234
 
Redemption of 750,000, 3,703,193, 3,000,000 and 12,378,193 shares, respectively
  
(41,544,815
)  
(207,784,680
)  
(162,352,576
)  
(939,302,817
)
                 
Net addition (redemption) of 100,000, (3,703,193), (1,850,000​​​​​​​) and 5,121,807 shares, respectively
  
5,678,598
   
(207,784,680
)  
(100,259,167
)  
1,419,980,417
 
                 
Net investment income (loss)
  
366,033
   
(101,161
)  
1,136,974
   
(2,496,914
)
Net realized gain (loss)
  
1,175,732
   
38,096,229
   
71,708,674
   
(1,789,680,237
)
Change in net unrealized appreciation (depreciation)
  
(5,426,565
)  
33,660,002
   
21,713,381
   
(5,857,980
)
                 
Net income (loss)
  
(3,884,800
)  
71,655,070
   
94,559,029
   
(1,798,035,131
)
                 
Shareholders’ equity, end of period
 $
338,896,125
  $
392,109,157
  $
338,896,125
  $
392,109,157
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES SHORT VIXMID-TERM SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(19,915,385 $(7,367,544

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

   

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

   (6,402,185  (823,975

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

   (149,796,234  (132,528,541

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

   159,492,969   104,309,090 

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

   (164,138  (63,804

Net realized gain (loss) on investments

   527   (132

Change in unrealized appreciation/depreciation on investments

   (2,167  (9,742

Decrease (Increase) in receivable on futures contracts

   242,541   42,188 

Increase (Decrease) in payable to Sponsor

   (3,988  21,005 

Increase (Decrease) in payable on futures contracts

   539,598   258,839 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (16,008,462  (36,162,616
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   22,086,339   48,406,580 

Payment on shares redeemed

   (6,918,150  (9,794,863
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   15,168,189   38,611,717 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (840,273  2,449,101 

Cash, beginning of period

   1,155,115   671,791 
  

 

 

  

 

 

 

Cash, end of period

  $314,842  $3,120,892 
  

 

 

  

 

 

 

         
 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
94,559,029
  $
(1,798,035,131
)
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
  
(5,048,486,139
)  
(18,326,003,101
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
4,882,476,021
   
18,823,156,026
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(1,671,445
)  
(2,449,528
)
Net realized gain (loss) on investments
  
(1,961
)  
259,112
 
Change in unrealized appreciation (depreciation) on investments
  
(26,677
)  
(51,865
)
Decrease (Increase) in receivable on futures contracts
  
391,705
   
(55,763,471
)
Decrease (Increase) in interest receivable
  
39,943
   
(84,773
)
Increase (Decrease) in payable to Sponsor
  
(44,429
)  
(508,404
)
Increase (Decrease) in payable on futures contracts
  
(13,657,531
)  
(528,750
)
Increase (Decrease) in payable to Broker
  
—  
   
64
 
Increase (Decrease) in
non-recurring
fees and expenses payable
  
45,949
   
—  
 
         
Net cash provided by (used in) operating activities
  
(86,375,535
)  
(1,360,009,821
)
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
59,395,856
   
2,359,283,234
 
Payment on shares redeemed
  
(162,352,576
)  
(984,120,527
)
         
Net cash provided by (used in) financing activities
  
(102,956,720
)  
1,375,162,707
 
         
Net increase (decrease) in cash
  
(189,332,255
)  
15,152,886
 
Cash, beginning of period
  
296,898,455
   
300,668,276
 
         
Cash, end of period
 $
107,566,200
  $
315,821,162
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $4,098,464   $1,850,760 

Segregated cash balances with brokers for futures contracts

   316,834,247    55,323,984 

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

   770,134,521    170,396,436 

Receivable on open futures contracts

   57,550,026    1,059,418 
  

 

 

   

 

 

 

Total assets

   1,148,617,258    228,630,598 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   107,724,462    —   

Payable on open futures contracts

   —      325,000 

Payable to Sponsor

   1,018,886    230,211 
  

 

 

   

 

 

 

Total liabilities

   108,743,348    555,211 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   1,039,873,910    228,075,387 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $1,148,617,258   $228,630,598 
  

 

 

   

 

 

 

Shares outstanding (Note 1)

   11,100,000    5,000,000 
  

 

 

   

 

 

 

Net asset value per share (Note 1)

  $93.68   $45.62 
  

 

 

   

 

 

 

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

  $93.75   $45.49 
  

 

 

   

 

 

 

         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $297,390,977 and $280,497,709, respectively)
 $
297,435,798
  $
280,502,900
 
Cash
  
26,746,532
   
123,257,905
 
Segregated cash balances with brokers for futures contracts
  
7,591,500
   
13,563,407
 
Segregated cash balances with brokers for swap agreements
  
6,878,000
   
11,197,000
 
Receivable from capital shares sold
  
9,066,757
   
12,991,664
 
Receivable on open futures contracts
  
—  
   
190,440
 
Interest receivable
  
58,698
   
62,514
 
         
Total assets
  
347,777,285
   
441,765,830
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable on open futures contracts
  
2,351,081
   
311,815
 
Payable to Sponsor
  
268,890
   
287,236
 
Unrealized depreciation on swap agreements
  
37,929,315
   
72,767,125
 
         
Total liabilities
  
40,549,286
   
73,366,176
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
307,227,999
   
368,399,654
 
         
Total liabilities and shareholders’ equity
 $
347,777,285
  $
441,765,830
 
         
Shares outstanding
  
19,111,317
   
28,211,317
 
         
Net asset value per share
 $
16.08
  $
13.06
 
         
Market value per share (Note 2)
 $
16.22
  $
13.30
 
         
See accompanying notes to financial statements.

14

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

 

  

U.S. Treasury Bills^^:

    

1.041% due 10/19/17

  $47,000,000   $46,979,583 

1.048% due 10/26/17

   78,000,000    77,951,383 

1.001% due 11/02/17

   115,000,000    114,905,424 

1.029% due 11/09/17

   199,000,000    198,798,353 

0.986% due 11/16/17†

   160,000,000    159,809,008 

0.999% due 11/24/17

   10,000,000    9,985,499 

1.005% due 11/30/17†

   73,000,000    72,882,156 

1.023% due 12/07/17†

   30,000,000    29,945,826 

0.987% due 12/14/17†

   50,000,000    49,902,665 

1.001% due 01/11/18

   9,000,000    8,974,624 
    

 

 

 

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

    $770,134,521 
    

 

 

 

Futures Contracts Sold

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

VIX Futures—CBOE, expires October 2017

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

VIX Futures—CBOE, expires November 2017

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

 

 

 
      $94,244,035 
      

 

 

 

^^Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $228,075,387 

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

   3,330,265,694 

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

   (3,090,287,309
  

 

 

 

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

   239,978,385 
  

 

 

 

Net investment income (loss)

   (3,913,203

Net realized gain (loss)

   471,123,858 

Change in net unrealized appreciation/depreciation

   104,609,483 
  

 

 

 

Net income (loss)

   571,820,138 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $1,039,873,910 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $571,820,138  $275,479,955 

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

   

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

   (261,510,263  75,585,025 

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

   (3,392,906,218  (2,235,163,421

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

   2,796,704,397   2,324,555,238 

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

   (3,484,888  (848,132

Net realized gain (loss) on investments

   4,461   34,036 

Change in unrealized appreciation/depreciation on investments

   (55,837  (62,392

Decrease (Increase) in receivable on futures contracts

   (56,490,608  (4,571,788

Increase (Decrease) in payable to Sponsor

   788,675   (183,417

Increase (Decrease) in payable on futures contracts

   (325,000  (1,420,271
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (345,455,143  433,404,833 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   3,330,265,694   2,183,650,607 

Payment on shares redeemed

   (2,982,562,847  (2,616,476,208
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   347,702,847   (432,825,601
  

 

 

  

 

 

 

Net increase (decrease) in cash

   2,247,704   579,232 

Cash, beginning of period

   1,850,760   5,150,976 
  

 

 

  

 

 

 

Cash, end of period

  $4,098,464  $5,730,208 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,610,772   $10,969,955 

Segregated cash balances with brokers for futures contracts

   17,599,725    71,363,625 

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

   521,315,100    434,671,795 

Receivable from capital shares sold

   14,450,792    —   

Receivable on open futures contracts

   —      35,967,191 
  

 

 

   

 

 

 

Total assets

   555,976,389    552,972,566 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      36,789,539 

Payable on open futures contracts

   20,456,567    —   

Payable to Sponsor

   424,090    424,273 
  

 

 

   

 

 

 

Total liabilities

   20,880,657    37,213,812 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   535,095,732    515,758,754 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $555,976,389   $552,972,566 
  

 

 

   

 

 

 

Shares outstanding (Note 1)

   25,927,238    2,965,383 
  

 

 

   

 

 

 

Net asset value per share (Note 1)

  $20.64   $173.93 
  

 

 

   

 

 

 

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

  $20.60   $175.00 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

 

  

U.S. Treasury Bills^^:

    

1.011% due 10/05/17†

  $15,023,000   $15,022,073 

1.067% due 10/12/17†

   20,000,000    19,994,778 

1.081% due 10/19/17†

   46,000,000    45,980,017 

1.000% due 10/26/17†

   47,000,000    46,970,705 

1.013% due 11/02/17†

   13,000,000    12,989,309 

0.957% due 11/09/17†

   20,000,000    19,979,734 

0.986% due 11/16/17†

   97,000,000    96,884,211 

0.999% due 11/30/17†

   128,000,000    127,793,370 

1.002% due 12/07/17†

   66,000,000    65,880,817 

1.000% due 12/14/17†

   20,000,000    19,961,066 

1.001% due 01/11/18†

   50,000,000    49,859,020 
    

 

 

 

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

    $521,315,100 
    

 

 

 

 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(97% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
36,000,000
  $
35,983,757
 
1.938% due 11/07/19
  
203,000,000
   
202,642,192
 
1.889% due 12/05/19
  
59,000,000
   
58,809,849
 
         
Total short-term U.S. government and agency obligations
(cost $297,390,977)
  
  $
297,435,798
 
         
Futures Contracts Purchased

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

VIX Futures—CBOE, expires October 2017

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

VIX Futures—CBOE, expires November 2017

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

 

 

 
      $(101,763,031
      

 

 

 

^^Rates shown represents discount rate at the time of purchase.
All or partial amount pledged as collateral for futures contracts.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $515,758,754 

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

   2,109,762,890 

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

   (1,346,739,303
  

 

 

 

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

   763,023,587 
  

 

 

 

Net investment income (loss)

   (3,866,250

Net realized gain (loss)

   (646,063,604

Change in net unrealized appreciation/depreciation

   (93,756,755
  

 

 

 

Net income (loss)

   (743,686,609
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $535,095,732 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(743,686,609 $(1,327,371,580

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

   

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

   53,763,900   14,767,485 

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

   (2,355,267,451  (3,719,826,671

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

   2,270,464,979   3,505,716,134 

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

   (1,833,411  (1,221,489

Net realized gain (loss) on investments

   26,617   (24,626

Change in unrealized appreciation/depreciation on investments

   (34,039  (8,737

Decrease (Increase) in receivable on futures contracts

   35,967,191   17,995,478 

Increase (Decrease) in payable to Sponsor

   (183  51,617 

Increase (Decrease) in payable on futures contracts

   20,456,567   31,416,387 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (720,142,439  (1,478,506,002
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   2,095,312,098   3,689,719,713 

Payment on shares redeemed

   (1,383,528,842  (2,208,691,466
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   711,783,256   1,481,028,247 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (8,359,183  2,522,245 

Cash, beginning of period

   10,969,955   9,081,964 
  

 

 

  

 

 

 

Cash, end of period

  $2,610,772  $11,604,209 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $3,636,946   $2,715,772 

Segregated cash balances with brokers for futures contracts

   5,000,160    4,931,520 

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

   246,666,306    205,694,385 

Receivable on open futures contracts

   123,680    —   
  

 

 

   

 

 

 

Total assets

   255,427,092    213,341,677 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,359,173    —   

Payable on open futures contracts

   —      13,602 

Payable to Sponsor

   162,517    162,891 

Unrealized depreciation on swap agreements

   13,678,377    12,206,881 
  

 

 

   

 

 

 

Total liabilities

   17,200,067    12,383,374 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   238,227,025    200,958,303 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $255,427,092   $213,341,677 
  

 

 

   

 

 

 

Shares outstanding

   7,089,884    6,339,884 
  

 

 

   

 

 

 

Net asset value per share

  $33.60   $31.70 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $33.73   $31.65 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

 

  

U.S. Treasury Bills^^:

    

1.062% due 10/05/17

  $16,000,000   $15,999,013 

1.065% due 10/12/17

   19,000,000    18,995,039 

1.070% due 10/19/17†

   53,000,000    52,976,977 

1.042% due 10/26/17†

   20,000,000    19,987,534 

1.013% due 11/02/17†

   6,000,000    5,995,066 

1.079% due 11/09/17†

   11,000,000    10,988,854 

0.986% due 11/16/17†

   11,000,000    10,986,869 

0.962% due 11/30/17†

   22,000,000    21,964,485 

0.991% due 12/07/17†

   13,000,000    12,976,525 

0.989% due 12/14/17†

   34,000,000    33,933,812 

1.002% due 01/04/18

   14,000,000    13,962,714 

1.040% due 02/01/18

   28,000,000    27,899,418 
    

 

 

 

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

    $246,666,306 
    

 

 

 

Futures Contracts Sold

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

WTI Crude Oil—NYMEX, expires November 2017

   1,894   $97,862,980   $(5,367,489

     
Unrealized
 
 
Number of
  
Notional Amount
  
Appreciation
 
 
Contracts
  
at Value
  
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires November 2019
  
1,604
  $
86,728,280
  $
2,044,987
 
Total Return Swap Agreements^

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

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

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

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

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

Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index

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

Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index

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

 

 

 
      $(13,678,377
      

 

 

 

Agreements
^
       
Unrealized
 
 
Rate Paid
  
Termination
  
Notional Amount
  
Appreciation
 
 
(Received)
*
  
Date
  
at Value
**
  
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex
  
0.18
%  
10/07/19
  $
152,283,160
  $
(9,747,740
)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
  
0.25
   
10/07/19
   
107,443,164
   
(8,182,005
)
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
  
0.23
   
10/07/19
   
104,526,285
   
(8,850,714
)
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
  
0.25
   
10/07/19
   
56,716,541
   
(3,847,828
)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
  
0.25
   
10/07/19
   
106,240,027
   
(7,301,028
)
                 
  
   
   
Total Unrealized Depreciation
  $
(37,929,315
)
                 
All or partial amount pledged as collateral for swap agreements and/or futures contracts.agreements.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017,2019, 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.



Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Swap agreements

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

Short-term U.S. government and agency obligations

   (107  3,798   (1,590  (4,796
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Swap agreements

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
1,881,595
  $
1,905,336
  $
6,185,775
  $
5,027,003
 
                 
Expenses
  
   
   
   
 
Management fee
  
864,705
   
981,939
   
2,788,455
   
3,073,296
 
Brokerage commissions
  
52,522
   
15,926
   
105,841
   
61,013
 
                 
Total expenses
  
917,227
   
997,865
   
2,894,296
   
3,134,309
 
                 
Net investment income (loss)
  
964,368
   
907,471
   
3,291,479
   
1,892,694
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(746,696
)  
4,256,122
   
13,852,719
   
34,484,938
 
Swap agreements
  
62,998,998
   
46,027,532
   
99,011,264
   
167,537,332
 
Short-term U.S. government and agency obligations
  
3,639
   
(314
)  
7,512
   
(320
)
                 
Net realized gain (loss)
  
62,255,941
   
50,283,340
   
112,871,495
   
202,021,950
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
(4,683,633
)  
3,002,323
   
16,085,288
   
8,345,447
 
Swap agreements
  
(101,884,815
)  
(35,363,528
)  
34,837,810
   
(15,173,019
)
Short-term U.S. government and agency obligations
  
(29,379
)  
(53,706
)  
39,630
   
(238
)
                 
Change in net unrealized appreciation (depreciation)
  
(106,597,827
)  
(32,414,911
)  
50,962,728
   
(6,827,810
)
                 
Net realized and unrealized gain (loss)
  
(44,341,886
)  
17,868,429
   
163,834,223
   
195,194,140
 
                 
Net income (loss)
 $
(43,377,518
) $
18,775,900
  $
167,125,702
  $
197,086,834
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG CRUDE OIL

STATEMENT

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $200,958,303 

Addition of 10,700,000 shares

   398,064,737 

Redemption of 9,950,000 shares

   (404,776,691
  

 

 

 

Net addition (redemption) of 750,000 shares

   (6,711,954
  

 

 

 

Net investment income (loss)

   (426,772

Net realized gain (loss)

   49,805,940 

Change in net unrealized appreciation/depreciation

   (5,398,492
  

 

 

 

Net income (loss)

   43,980,676 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $238,227,025 
  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
381,980,628
  $
455,274,935
  $
368,399,654
  $
524,445,526
 
                 
Addition of 15,250,000, 2,050,000, 25,650,000 and 6,350,000 shares, respectively
  
251,894,456
   
60,377,850
   
437,596,722
   
177,414,433
 
Redemption of 15,600,000, 4,200,000, 34,750,000 and 17,400,000 shares, respectively
  
(283,269,567
)  
(137,086,064
)  
(665,894,079
)  
(501,604,172
)
                 
Net addition (redemption) of (350,000), (2,150,000), (9,100,000) and (11,050,000) shares, respectively
  
(31,375,111
)  
(76,708,214
)  
(228,297,357
)  
(324,189,739
)
                 
Net investment income (loss)
  
964,368
   
907,471
   
3,291,479
   
1,892,694
 
Net realized gain (loss)
  
62,255,941
   
50,283,340
   
112,871,495
   
202,021,950
 
Change in net unrealized appreciation (depreciation)
  
(106,597,827
)  
(32,414,911
)  
50,962,728
   
(6,827,810
)
                 
Net income (loss)
  
(43,377,518
)  
18,775,900
   
167,125,702
   
197,086,834
 
                 
Shareholders’ equity, end of period
 $
307,227,999
  $
397,342,621
  $
307,227,999
  $
397,342,621
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $43,980,676  $(67,769,583

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

   

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

   (68,640  3,477,760 

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

   —     (1,128,000

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

   (866,640,949  (831,968,058

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

   826,679,554   768,766,626 

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

   (998,438  (345,514

Net realized gain (loss) on investments

   1,590   4,796 

Change in unrealized appreciation/depreciation on investments

   1,457,818   22,951,195 

Decrease (Increase) in receivable on futures contracts

   (123,680  —   

Increase (Decrease) in payable to Sponsor

   (374  34,948 

Increase (Decrease) in brokerage commissions and fees payable

   —     (6,947

Increase (Decrease) in payable for investments purchased

   —     1,736,880 

Increase (Decrease) in payable on futures contracts

   (13,602  (34,842
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   4,273,955   (104,280,739
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   398,064,737   752,995,105 

Payment on shares redeemed

   (401,417,518  (648,311,713
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (3,352,781  104,683,392 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   921,174   402,653 

Cash, beginning of period

   2,715,772   598,645 
  

 

 

  

 

 

 

Cash, end of period

  $3,636,946  $1,001,298 
  

 

 

  

 

 

 

 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
167,125,702
  $
197,086,834
 
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
  
(3,649,367,114
)  
(10,724,218,285
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
3,638,063,893
   
10,927,288,348
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(5,582,535
)  
(4,880,427
)
Net realized gain (loss) on investments
  
(7,512
)  
320
 
Change in unrealized appreciation (depreciation) on investments
  
(34,877,440
)  
15,173,257
 
Decrease (Increase) in receivable on futures contracts
  
190,440
   
(2,689,148
)
Decrease (Increase) in interest receivable
  
3,816
   
—  
 
Increase (Decrease) in payable to Sponsor
  
(18,346
)  
(106,513
)
Increase (Decrease) in payable on futures contracts
  
2,039,266
   
—  
 
         
Net cash provided by (used in) operating activities
  
117,570,170
   
407,654,386
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
441,521,629
   
177,414,433
 
Payment on shares redeemed
  
(665,894,079
)  
(511,068,592
)
         
Net cash provided by (used in) financing activities
  
(224,372,450
)  
(333,654,159
)
         
Net increase (decrease) in cash
  
(106,802,280
)  
74,000,227
 
Cash, beginning of period
  
148,018,312
   
10,329,503
 
         
Cash, end of period
 $
41,216,032
  $
84,329,730
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
 

Assets

  

Cash

  $13,475,988 

Segregated cash balances with brokers for futures contracts

   2,418,240 

Offering costs (Note 5)

   71,150 

Limitation by Sponsor

   34,903 
  

 

 

 

Total assets

   16,000,281 
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable on open futures contracts

   83,153 

Payable for offering costs

   148,400 
  

 

 

 

Total liabilities

   231,553 
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

   15,768,728 
  

 

 

 

Total liabilities and shareholders’ equity

  $16,000,281 
  

 

 

 

Shares outstanding

   900,008 
  

 

 

 

Net asset value per share

  $17.52 
  

 

 

 

Market value per share (Note 2)

  $17.63 
  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

 
September 30, 2019
(unaudited)
  
December 31,
2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $12,972,162 and $8,380,716, respectively)
 $
12,973,719
  $
8,380,427
 
Cash
  
8,849,963
   
731,158
 
Segregated cash balances with brokers for futures contracts
  
4,466,401
   
6,299,444
 
Receivable from capital shares sold
  
—  
   
2,528,757
 
Interest receivable
  
32,346
   
11,508
 
         
Total assets
  
26,322,429
   
17,951,294
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable on open futures contracts
  
1,473,911
   
3,309,741
 
Payable to Sponsor
  
27,887
   
24,113
 
         
Total liabilities
  
1,501,798
   
3,333,854
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
24,820,631
   
14,617,440
 
         
Total liabilities and shareholders’ equity
 $
26,322,429
  $
17,951,294
 
         
Shares outstanding
  
1,928,150
   
578,150
 
         
Net asset value per share
 $
12.87
  $
25.28
 
         
Market value per share (Note 2)
 $
12.87
  $
25.82
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(52% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
3,000,000
  $
2,998,646
 
2.014% due 11/07/19
  
5,000,000
   
4,991,187
 
1.843% due 12/05/19
  
5,000,000
   
4,983,886
 
         
Total short-term U.S. government and agency obligations
(cost $12,972,162)
  
  $
12,973,719
 
         
Futures Contracts Sold

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

WTI Crude Oil—NYMEX, expires November 2017

   916   $47,329,720   $(2,423,370

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

   

Expenses

   

Brokerage commissions and fees

  $9,395  $17,296 

Offering costs

   37,405   77,250 

Limitation by Sponsor

   (12,787  (34,903
  

 

 

  

 

 

 

Total expenses

   34,013   59,643 
  

 

 

  

 

 

 

Net investment income (loss)

   (34,013  (59,643
  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

   

Net realized gain (loss) on

   

Futures contracts

   (1,540,337  232,006 
  

 

 

  

 

 

 

Net realized gain (loss)

   (1,540,337  232,006 
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

   

Futures contracts

   (2,178,096  (2,423,370
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   (2,178,096  (2,423,370
  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   (3,718,433  (2,191,364
  

 

 

  

 

 

 

Net income (loss)

  $(3,752,446 $(2,251,007
  

 

 

  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017

(unaudited)

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

  $—   

Addition of 1,050,008 shares

   22,510,278 

Redemption of 150,000 shares

   (4,490,543
  

 

 

 

Net addition (redemption) of 900,008 shares

   18,019,735 
  

 

 

 

Net investment income (loss)

   (59,643

Net realized gain (loss)

   232,006 

Change in net unrealized appreciation/depreciation

   (2,423,370
  

 

 

 

Net income (loss)

   (2,251,007
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $15,768,728 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)

   January 13, 2017
(Inception) through
September 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

  $(2,251,007

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

  

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

   (2,418,240

Decrease (Increase) in Limitation by Sponsor

   (34,903

Change in offering cost

   (71,150

Increase (Decrease) in payable on futures contracts

   83,153 

Increase (Decrease) in payable for offering costs

   148,400 
  

 

 

 

Net cash provided by (used in) operating activities

   (4,543,747
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

   22,510,278 

Payment on shares redeemed

   (4,490,543
  

 

 

 

Net cash provided by (used in) financing activities

   18,019,735 
  

 

 

 

Net increase (decrease) in cash

   13,475,988 

Cash, beginning of period

   —   
  

 

 

 

Cash, end of period

  $13,475,988 
  

 

 

 

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,116,845   $326,631 

Segregated cash balances with brokers for futures contracts

   780,120    710,655 

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

   2,998,697    2,899,151 

Receivable on open futures contracts

   31,017    105,872 
  

 

 

   

 

 

 

Total assets

   5,926,679    4,042,309 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Brokerage commissions and fees payable

   —      144 

Payable to Sponsor

   5,245    3,371 
  

 

 

   

 

 

 

Total liabilities

   5,245    3,515 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   5,921,434    4,038,794 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $5,926,679   $4,042,309 
  

 

 

   

 

 

 

Shares outstanding

   174,832    174,832 
  

 

 

   

 

 

 

Net asset value per share

  $33.87   $23.10 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $33.64   $23.05 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

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

  $3,000,000   $2,998,697 
    

 

 

 

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

    $2,998,697 
    

 

 

 

Futures Contracts Sold

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

Natural Gas—NYMEX, expires November 2017

   394   $11,847,580   $348,521 

Purchased
 
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2019
  
2,130
  $
49,629,000
  $
2,680,382
 
^^Rates shown representsrepresent discount rate at the time of purchase.

See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

   18,019   13,043   51,110   70,066 

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   (75  434   (334  3,438 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   555   (161  249   (75
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
174,945
  $
103,480
  $
431,788
  $
357,473
 
                 
Expenses
  
   
   
   
 
Management fee
  
81,234
   
60,687
   
196,929
   
235,797
 
Brokerage commissions
  
29,366
   
12,349
   
76,585
   
62,006
 
                 
Total expenses
  
110,600
   
73,036
   
273,514
   
297,803
 
                 
Net investment income (loss)
  
64,345
   
30,444
   
158,274
   
59,670
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(1,826,717
)  
801,033
   
(23,104,608
)  
5,881,807
 
Short-term U.S. government and agency obligations
  
(48
)  
—  
   
(23
)  
(31
)
                 
Net realized gain (loss)
  
(1,826,765
)  
801,033
   
(23,104,631
)  
5,881,776
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
3,329,755
   
696,672
   
13,003,545
   
(6,647,761
)
Short-term U.S. government and agency obligations
  
1,331
   
(3,297
)  
1,846
   
920
 
                 
Change in net unrealized appreciation (depreciation)
  
3,331,086
   
693,375
   
13,005,391
   
(6,646,841
)
                 
Net realized and unrealized gain (loss)
  
1,504,321
   
1,494,408
   
(10,099,240
)  
(765,065
)
                 
Net income (loss)
 $
1,568,666
  $
1,524,852
  $
(9,940,966
) $
(705,395
)
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG NATURAL GAS

STATEMENT

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $4,038,794 

Addition of 300,000 shares

   9,317,576 

Redemption of 300,000 shares

   (9,976,781
  

 

 

 

Net addition (redemption) of 0 shares

   (659,205
  

 

 

 

Net investment income (loss)

   (44,874

Net realized gain (loss)

   1,755,918 

Change in net unrealized appreciation/depreciation

   830,801 
  

 

 

 

Net income (loss)

   2,541,845 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $5,921,434 
  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
33,637,758
  $
25,715,598
  $
14,617,440
  $
63,268,950
 
                 
Addition of 800,000, 200,000, 3,650,000 and 950,000 shares, respectively
  
9,839,170
   
5,288,628
   
65,142,814
   
26,844,995
 
Redemption of 1,300,000, 300,000, 2,300,000 and 2,110,284 shares, respectively
  
(20,224,963
)  
(8,920,304
)  
(44,998,657
)  
(65,799,776
)
                 
Net addition (redemption) of (500,000), (100,000), 1,350,000 and (1,160,284) shares, respectively
  
(10,385,793
)  
(3,631,676
)  
20,144,157
   
(38,954,781
)
                 
Net investment income (loss)
  
64,345
   
30,444
   
158,274
   
59,670
 
Net realized gain (loss)
  
(1,826,765
)  
801,033
   
(23,104,631
)  
5,881,776
 
Change in net unrealized appreciation (depreciation)
  
3,331,086
   
693,375
   
13,005,391
   
(6,646,841
)
                 
Net income (loss)
  
1,568,666
   
1,524,852
   
(9,940,966
)  
(705,395
)
                 
Shareholders’ equity, end of period
 $
24,820,631
  $
23,608,774
  $
24,820,631
  $
23,608,774
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORTULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $2,541,845  $3,154,982 

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

   

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

   (69,465  917,015 

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

   (17,971,116  (42,200,053

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

   17,897,394   45,636,490 

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

   (25,909  (16,513

Net realized gain (loss) on investments

   334   (3,438

Change in unrealized appreciation/depreciation on investments

   (249  75 

Decrease (Increase) in receivable on futures contracts

   74,855   (159,924

Increase (Decrease) in payable to Sponsor

   1,874   (6,510

Increase (Decrease) in brokerage commissions and fees payable

   (144  (1,499

Increase (Decrease) in payable on futures contracts

   —     (785,170
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   2,449,419   6,535,455 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   9,317,576   37,311,510 

Payment on shares redeemed

   (9,976,781  (44,580,216
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (659,205  (7,268,706
  

 

 

  

 

 

 

Net increase (decrease) in cash

   1,790,214   (733,251

Cash, beginning of period

   326,631   1,099,140 
  

 

 

  

 

 

 

Cash, end of period

  $2,116,845  $365,889 
  

 

 

  

 

 

 

 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(9,940,966
) $
(705,395
)
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
  
(374,214,906
)  
(1,438,078,954
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
369,840,579
   
1,475,997,907
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(217,142
)  
(321,727
)
Net realized gain (loss) on investments
  
23
   
31
 
Change in unrealized appreciation (depreciation) on investments
  
(1,846
)  
(920
)
Decrease (Increase) in receivable on futures contracts
  
—  
   
1,481,618
 
Decrease (Increase) in interest receivable
  
(20,838
)  
(312
)
Increase (Decrease) in payable to Sponsor
  
3,774
   
(26,081
)
Increase (Decrease) in payable on futures contracts
  
(1,835,830
)  
—  
 
         
Net cash provided by (used in) operating activities
  
(16,387,152
)  
38,346,167
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
67,671,571
   
27,171,435
 
Payment on shares redeemed
  
(44,998,657
)  
(70,011,570
)
         
Net cash provided by (used in) financing activities
  
22,672,914
   
(42,840,135
)
         
Net increase (decrease) in cash
  
6,285,762
   
(4,493,968
)
Cash, beginning of period
  
7,030,602
   
14,716,897
 
         
Cash, end of period
 $
13,316,364
  $
10,222,929
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,104,112   $120,840 

Segregated cash balances with brokers for futures contracts

   10,780    13,200 

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

   34,940,087    60,540,555 

Unrealized appreciation on forward agreements

   2,961,605    3,033,566 

Receivable on open futures contracts

   600    1,280 
  

 

 

   

 

 

 

Total assets

   39,017,184    63,709,441 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,563,259    —   

Payable to Sponsor

   27,142    55,794 
  

 

 

   

 

 

 

Total liabilities

   3,590,401    55,794 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   35,426,783    63,653,647 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $39,017,184   $63,709,441 
  

 

 

   

 

 

 

Shares outstanding

   496,978    696,978 
  

 

 

   

 

 

 

Net asset value per share

  $71.28   $91.33 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $71.55   $90.54 
  

 

 

   

 

 

 

 
September 30, 2019
(unaudited)
  
December 31,
2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $997,969 and $1,496,665, respectively)
 $
998,237
  $
1,496,658
 
Cash
  
3,455,108
   
5,068,270
 
Segregated cash balances with brokers for foreign currency forward contracts
  
921,000
   
921,000
 
Unrealized appreciation on foreign currency forward contracts
  
1,357
   
61,971
 
Interest receivable
  
6,294
   
6,718
 
         
Total assets
  
5,381,996
   
7,554,617
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable to Sponsor
  
4,206
   
6,015
 
Unrealized depreciation on foreign currency forward contracts
  
110,907
   
4,033
 
         
Total liabilities
  
115,113
   
10,048
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
5,266,883
   
7,544,569
 
         
Total liabilities and shareholders’ equity
 $
5,381,996
  $
7,554,617
 
         
Shares outstanding
  
400,000
   
500,000
 
         
Net asset value per share
 $
13.17
  $
15.09
 
         
Market value per share (Note 2)
 $
13.17
  $
15.12
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.062% due 10/05/17†

  $11,000,000   $10,999,321 

0.991% due 11/30/17†

   2,000,000    1,996,771 

0.972% due 12/07/17†

   3,000,000    2,994,583 

0.987% due 12/14/17†

   5,000,000    4,990,267 

1.002% due 01/04/18

   6,000,000    5,984,020 

1.001% due 01/11/18

   5,000,000    4,985,902 

1.040% due 02/01/18

   3,000,000    2,989,223 
    

 

 

 

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

    $34,940,087 
    

 

 

 

Futures Contracts Sold

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

Gold Futures—COMEX, expires December 2017

   2   $256,960   $(9,540

         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(19% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.014% due 11/07/19
 $
1,000,000
  $
998,237
 
         
Total short-term U.S. government and agency obligations
(cost $997,969)
  
  $
998,237
 
         
Foreign Currency Forward Agreements^

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

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

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

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

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

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

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

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

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

 

 

 
       $2,961,605 
       

 

 

 

All or partial amount pledged as collateral for forward agreements and/or futures contracts.
Contracts
^
                 
       
Unrealized
 
       
Appreciation
 
   
Contract Amount
  
Contract Amount
  
(Depreciation)/
 
 
Settlement Date
  
in Local Currency
  
in U.S. Dollars
  
Value
 
Contracts to Purchase
  
   
   
   
 
Euro with Goldman Sachs International
  
10/04/19
   
5,436,377
  $
5,926,553
  $
(61,724
)
Euro with UBS AG
  
10/04/19
   
4,424,633
   
4,823,584
   
(49,183
)
                 
  
   
   
Total Unrealized Depreciation
  $
(110,907
)
                 
Contracts to Sell
  
   
   
   
 
Euro with UBS AG
  
10/04/19
   
(154,921
) $
(168,889
) $
1,357
 
                 
  
   
   
Total Unrealized Appreciation
  $
1,357
 
                 
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
**For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

   10   8   39   33 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (640  (7,340  5,119   (45,820

Forward agreements

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

Short-term U.S. government and agency obligations

   (96  164   (1,168  (779
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (6,520  9,400   (28,520  (3,420

Forward agreements

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

Short-term U.S. government and agency obligations

   1,228   2,460   493   6,758 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
25,543
  $
27,379
  $
100,510
  $
77,134
 
                 
Expenses
  
   
   
   
 
Management fee
  
13,210
   
19,089
   
48,425
   
64,021
 
                 
Total expenses
  
13,210
   
19,089
   
48,425
   
64,021
 
                 
Net investment income (loss)
  
12,333
   
8,290
   
52,085
   
13,113
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Foreign currency forward contracts
  
(396,315
)  
(337,286
)  
(756,187
)  
(646,805
)
Short-term U.S. government and agency obligations
  
—  
   
—  
   
—  
   
7
 
                 
Net realized gain (loss)
  
(396,315
)  
(337,286
)  
(756,187
)  
(646,798
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Foreign currency forward contracts
  
(150,573
)  
138,839
   
(167,488
)  
(297,367
)
Short-term U.S. government and agency obligations
  
268
   
(563
)  
275
   
5
 
                 
Change in net unrealized appreciation (depreciation)
  
(150,305
)  
138,276
   
(167,213
)  
(297,362
)
                 
Net realized and unrealized gain (loss)
  
(546,620
)  
(199,010
)  
(923,400
)  
(944,160
)
                 
Net income (loss)
 $
(534,287
) $
(190,720
) $
(871,315
) $
(931,047
)
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT GOLD

STATEMENTULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $63,653,647 

Addition of 300,000 shares

   22,375,636 

Redemption of 500,000 shares

   (39,496,377
  

 

 

 

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

   (17,120,741
  

 

 

 

Net investment income (loss)

   (66,015

Net realized gain (loss)

   (10,940,120

Change in net unrealized appreciation/depreciation

   (99,988
  

 

 

 

Net income (loss)

   (11,106,123
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $35,426,783 
  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
5,801,170
  $
8,848,596
  $
7,544,569
  $
9,591,516
 
                 
Addition of –, –, 50,000 and 150,000 shares, respectively
  
—  
   
—  
   
744,567
   
2,653,492
 
Redemption of –, 50,000, 150,000 and 200,000 shares, respectively
  
—  
   
(805,500
)  
(2,150,938
)  
(3,461,585
)
                 
Net addition (redemption) of –, (50,000), (100,000) and (50,000​​​​​​​) shares, respectively
  
—  
   
(805,500
)  
(1,406,371
)  
(808,093
)
                 
Net investment income (loss)
  
12,333
   
8,290
   
52,085
   
13,113
 
Net realized gain (loss)
  
(396,315
)  
(337,286
)  
(756,187
)  
(646,798
)
Change in net unrealized appreciation (depreciation)
  
(150,305
)  
138,276
   
(167,213
)  
(297,362
)
                 
Net income (loss)
  
(534,287
)  
(190,720
)  
(871,315
)  
(931,047
)
                 
Shareholders’ equity, end of period
 $
5,266,883
  $
7,852,376
  $
5,266,883
  $
7,852,376
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT GOLD

ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(11,106,123 $(30,541,862

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

   

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

   2,420   79,370 

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

   —     (7,835,000

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

   (136,758,217  (205,754,520

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

   162,560,129   212,008,993 

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

   (202,119  (118,780

Net realized gain (loss) on investments

   1,168   779 

Change in unrealized appreciation/depreciation on investments

   71,468   221,629 

Decrease (Increase) in receivable on futures contracts

   680   (1,320

Increase (Decrease) in payable to Sponsor

   (28,652  (625

Increase (Decrease) in payable on futures contracts

   —     (80
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   14,540,754   (31,941,416
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   22,375,636   79,236,729 

Payment on shares redeemed

   (35,933,118  (47,301,845
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (13,557,482  31,934,884 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   983,272   (6,532

Cash, beginning of period

   120,840   151,638 
  

 

 

  

 

 

 

Cash, end of period

  $1,104,112  $145,106 
  

 

 

  

 

 

 

 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(871,315
) $
(931,047
)
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
  
(64,626,095
)  
(379,921,345
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
65,150,000
   
383,199,612
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(25,209
)  
(73,203
)
Net realized gain (loss) on investments
  
—  
   
(7
)
Change in unrealized appreciation (depreciation) on investments
  
167,213
   
297,362
 
Decrease (Increase) in interest receivable
  
424
   
—  
 
Increase (Decrease) in payable to Sponsor
  
(1,809
)  
(1,107
)
         
Net cash provided by (used in) operating activities
  
(206,791
)  
2,570,265
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
744,567
   
2,653,492
 
Payment on shares redeemed
  
(2,150,938
)  
(3,461,585
)
         
Net cash provided by (used in) financing activities
  
(1,406,371
)  
(808,093
)
         
Net increase (decrease) in cash
  
(1,613,162
)  
1,762,172
 
Cash, beginning of period
  
5,989,270
   
2,338,427
 
         
Cash, end of period
 $
4,376,108
  $
4,100,599
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT SILVER

ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,077,196   $86,051 

Segregated cash balances with brokers for futures contracts

   12,980    14,300 

Segregated cash balances with brokers for forward agreements

   738,500    —   

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

   17,966,229    21,550,319 

Unrealized appreciation on forward agreements

   2,152,433    1,384,246 

Receivable on open futures contracts

   1,510    2,290 
  

 

 

   

 

 

 

Total assets

   22,948,848    23,037,206 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   15,171    19,550 
  

 

 

   

 

 

 

Total liabilities

   15,171    19,550 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   22,933,677    23,017,656 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $22,948,848   $23,037,206 
  

 

 

   

 

 

 

Shares outstanding

   716,976    616,976 
  

 

 

   

 

 

 

Net asset value per share

  $31.99   $37.31 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $32.78   $38.76 
  

 

 

   

 

 

 

         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $98,790,788 and $41,941,207, respectively)
 $
98,810,275
  $
41,941,734
 
Cash
  
10,941,104
   
32,035,747
 
Segregated cash balances with brokers for futures contracts
  
2,181,150
   
179,296
 
Segregated cash balances with brokers for forward agreements
  
—  
   
8,883,000
 
Segregated cash balances with brokers for swap agreements
  
2,906,000
   
—  
 
Unrealized appreciation on forward agreements
  
—  
   
4,253,301
 
Interest receivable
  
27,399
   
15,303
 
         
Total assets
  
114,865,928
   
87,308,381
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable for capital shares redeemed
  
—  
   
3,712,654
 
Payable on open futures contracts
  
1,500,082
   
7,990
 
Payable to Sponsor
  
90,636
   
64,443
 
Unrealized depreciation on swap agreements
  
3,921,350
   
—  
 
         
Total liabilities
  
5,512,068
   
3,785,087
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
109,353,860
   
83,523,294
 
         
Total liabilities and shareholders’ equity
 $
114,865,928
  $
87,308,381
 
         
Shares outstanding
  
2,350,000
   
2,250,000
 
         
Net asset value per share
 $
46.53
  $
37.12
 
         
Market value per share (Note 2)
 $
46.94
  $
37.41
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT SILVER

ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.088% due 10/26/17†

  $4,000,000   $3,997,507 

0.962% due 11/30/17†

   6,000,000    5,990,314 

1.012% due 12/07/17†

   4,000,000    3,992,777 

1.040% due 02/01/18

   4,000,000    3,985,631 
    

 

 

 

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

    $17,966,229 
    

 

 

 

         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(90% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
14,000,000
  $
13,993,683
 
2.006% due 11/07/19
  
62,000,000
   
61,890,719
 
1.902% due 12/05/19
  
23,000,000
   
22,925,873
 
         
Total short-term U.S. government and agency obligations
(cost $98,790,788)
  
  $
98,810,275
 
         
Futures Contracts Sold

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

Silver Futures—COMEX, expires December 2017

   2   $166,760   $4,940 

Forward Agreements^

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

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

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

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

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

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

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

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

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

 

 

 
                $2,152,433 
       

 

 

 

Purchased
             
 
 
 
 
 
Unrealized
 
 
Number of
 
 
Notional Amount
 
 
Appreciation
 
 
Contracts
 
 
at Value
 
 
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2019
  
464
  $
68,342,560
  $
1,324,832
 
Total Return Swap Agreements
^
                 
 
 
 
 
 
 
 
Unrealized
 
 
Rate Paid
 
 
Termination
 
 
Notional Amount
 
 
Appreciation
 
 
(Received)
*
 
 
Date
 
 
at Value
**
 
 
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
  
0.25
%  
10/07/19
  $
58,722,600
  $
(1,531,632
)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
  
0.25
   
10/07/19
   
42,918,686
   
(1,119,427
)
Swap agreement with UBS AG based on Bloomberg Gold
Subindex
  
0.25
   
10/07/19
   
48,702,760
   
(1,270,291
)
                 
        
Total Unrealized Depreciation
  $
(3,921,350
)
                 
All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2017,2019, on the notional amount of the forwardswap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For forwardswap agreements, a positive amount represents “long” exposure to the underlying commodity.benchmark index. A negative amount represents “short” exposure to the underlying commodity.benchmark index.

See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT SILVER

ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

   10   8   39   33 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   (2,193  (15,410  18,357   (44,810

Forward agreements

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

Short-term U.S. government and agency obligations

   (46  65   (190  (2,307
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   2,560   10,700   (22,370  (7,450

Forward agreements

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

Short-term U.S. government and agency obligations

   29   2,046   (33  3,511 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
508,770
  $
371,579
  $
1,333,779
  $
1,076,472
 
                 
Expenses
  
   
   
   
 
Management fee
  
250,296
   
184,099
   
630,646
   
627,034
 
Brokerage commissions
  
3,838
   
8
   
7,625
   
36
 
                 
Total expenses
  
254,134
   
184,107
   
638,271
   
627,070
 
                 
Net investment income (loss)
  
254,636
   
187,472
   
695,508
   
449,402
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
2,270,709
   
(17,921
)  
1,898,731
   
(11,742
)
Swap agreements
  
14,454,316
   
—  
   
17,616,231
   
—  
 
Forward agreements
  
—  
   
(15,436,697
)  
4,790,603
   
(12,494,591
)
Short-term U.S. government and agency obligations
  
—  
   
—  
   
402
   
(172
)
                 
Net realized gain (loss)
  
16,725,025
   
(15,454,618
)  
24,305,967
   
(12,506,505
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
(1,507,796
)  
4,100
   
1,252,162
   
(16,500
)
Swap agreements
  
(10,285,583
)  
—  
   
(3,921,350
)  
—  
 
Forward agreements
  
—  
   
6,253,539
   
(4,253,301
)  
(4,545,712
)
Short-term U.S. government and agency obligations
  
5,560
   
(8,091
)  
18,960
   
444
 
                 
Change in net unrealized appreciation (depreciation)
  
(11,787,819
)  
6,249,548
   
(6,903,529
)  
(4,561,768
)
                 
Net realized and unrealized gain (loss)
  
4,937,206
   
(9,205,070
)  
17,402,438
   
(17,068,273
)
                 
Net income (loss)
 $
5,191,842
  $
(9,017,598
) $
18,097,946
  $
(16,618,871
)
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT SILVER

STATEMENTULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $23,017,656 

Addition of 700,000 shares

   22,025,198 

Redemption of 600,000 shares

   (20,121,187
  

 

 

 

Net addition (redemption) of 100,000 shares

   1,904,011 
  

 

 

 

Net investment income (loss)

   (40,264

Net realized gain (loss)

   (2,693,510

Change in net unrealized appreciation/depreciation

   745,784 
  

 

 

 

Net income (loss)

   (1,987,990
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $22,933,677 
  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
85,377,335
  $
82,112,586
  $
83,523,294
  $
93,708,748
 
                 
Addition of 450,000, –, 850,000 and 300,000 shares, respectively
  
21,152,973
   
—  
   
36,017,830
   
12,216,052
 
Redemption of 50,000, –, 750,000 and 400,000 shares, respectively
  
(2,368,290
)  
—  
   
(28,285,210
)  
(16,210,941
)
                 
Net addition (redemption) of 400,000, –, 100,000 and (100,000) shares, respectively
  
18,784,683
   
—  
   
7,732,620
   
(3,994,889
)
                 
Net investment income (loss)
  
254,636
   
187,472
   
695,508
   
449,402
 
Net realized gain (loss)
  
16,725,025
   
(15,454,618
)  
24,305,967
   
(12,506,505
)
Change in net unrealized appreciation (depreciation)
  
(11,787,819
)  
6,249,548
   
(6,903,529
)  
(4,561,768
)
                 
Net income (loss)
  
5,191,842
   
(9,017,598
)  
18,097,946
   
(16,618,871
)
                 
Shareholders’ equity, end of period
 $
109,353,860
  $
73,094,988
  $
109,353,860
  $
73,094,988
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRASHORT SILVER

ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(1,987,990 $(31,131,286

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

   

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

   1,320   (110

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

   (738,500  (1,544,000

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

   (91,865,007  (126,343,449

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

   95,552,158   138,366,905 

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

   (103,284  (71,536

Net realized gain (loss) on investments

   190   2,307 

Change in unrealized appreciation/depreciation on investments

   (768,154  4,256,235 

Decrease (Increase) in receivable on futures contracts

   780   390 

Increase (Decrease) in payable to Sponsor

   (4,379  (14,530

Increase (Decrease) in payable on futures contracts

   —     930 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   87,134   (16,478,144
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   22,025,198   67,362,064 

Payment on shares redeemed

   (20,121,187  (51,232,577
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   1,904,011   16,129,487 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   1,991,145   (348,657

Cash, beginning of period

   86,051   514,784 
  

 

 

  

 

 

 

Cash, end of period

  $2,077,196  $166,127 
  

 

 

  

 

 

 

         
 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
 
 
 
 
 
 
Net income (loss)
 $
18,097,946
  $
(16,618,871
)
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
  
(819,101,339
)  
(3,606,027,964
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
763,380,072
   
3,640,119,898
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(1,127,912
)  
(1,076,435
)
Net realized gain (loss) on investments
  
(402
)  
172
 
Change in unrealized appreciation (depreciation) on investments
  
8,155,691
   
4,545,268
 
Decrease (Increase) in receivable on futures contracts
  
—  
   
660
 
Decrease (Increase) in interest receivable
  
(12,096
)  
—  
 
Increase (Decrease) in payable to Sponsor
  
26,193
   
(12,466
)
Increase (Decrease) in payable on futures contracts
  
1,492,092
   
—  
 
         
Net cash provided by (used in) operating activities
  
(29,089,755
)  
20,930,262
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
36,017,830
   
12,216,052
 
Payment on shares redeemed
  
(31,997,864
)  
(16,210,941
)
         
Net cash provided by (used in) financing activities
  
4,019,966
   
(3,994,889
)
         
Net increase (decrease) in cash
  
(25,069,789
)  
16,935,373
 
Cash, beginning of period
  
41,098,043
   
1,245,903
 
         
Cash, end of period
 $
16,028,254
  $
18,181,276
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES SHORT EURO

ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,990,375   $2,292,012 

Segregated cash balances with brokers for futures contracts

   127,050    402,600 

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

   5,998,433    13,164,828 
  

 

 

   

 

 

 

Total assets

   8,115,858    15,859,440 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   16,156    76,666 

Payable to Sponsor

   6,264    12,686 
  

 

 

   

 

 

 

Total liabilities

   22,420    89,352 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   8,093,438    15,770,088 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $8,115,858   $15,859,440 
  

 

 

   

 

 

 

Shares outstanding

   200,000    350,000 
  

 

 

   

 

 

 

Net asset value per share

  $40.47   $45.06 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $40.56   $45.12 
  

 

 

   

 

 

 

 
September 30, 2019
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $228,530,105 and $123,793,893, respectively)
 $
228,568,115
  $
123,795,806
 
Cash
  
5,208,076
   
29,951,685
 
Segregated cash balances with brokers for futures contracts
  
4,817,190
   
521,057
 
Segregated cash balances with brokers for forward agreements
  
—  
   
21,435,000
 
Segregated cash balances with brokers for swap agreements
  
6,016,000
   
—  
 
Unrealized appreciation on forward agreements
  
—  
   
26,301,717
 
Interest receivable
  
79,941
   
16,306
 
         
Total assets
  
244,689,322
   
202,021,571
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
  
2,991,947
   
47,576
 
Payable to Sponsor
  
191,696
   
149,619
 
Unrealized depreciation on swap agreements
  
25,446,936
   
—  
 
         
Total liabilities
  
28,630,579
   
197,195
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
216,058,743
   
201,824,376
 
         
Total liabilities and shareholders’ equity
 $
244,689,322
  $
202,021,571
 
         
Shares outstanding
  
7,396,526
   
7,646,526
 
         
Net asset value per share
 $
29.21
  $
26.39
 
         
Market value per share (Note 2)
 $
29.48
  $
26.37
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES SHORT EURO

ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.089% due 10/12/17

  $6,000,000   $5,998,433 
    

 

 

 

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

    $5,998,433 
    

 

 

 

 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
  
   
 
(106​​​​​​​% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
23,000,000
  $
22,989,622
 
1.963% due 11/07/19
  
166,000,000
   
165,707,409
 
1.885% due 12/05/19
  
40,000,000
   
39,871,084
 
         
Total short-term U.S. government and agency obligations
(cost $228,530,105)
  
  $
228,568,115
 
         
Futures Contracts Sold

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

Euro Fx Currency Futures—CME, expires December 2017

   55   $8,156,844   $106,206 

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

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

   330   580   1,433   2,009 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   (107  (2  (384  31 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   326   1,265   404   1,652 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $15,770,088 

Redemption of 150,000 shares

   (6,278,641
  

 

 

 

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

   (6,278,641
  

 

 

 

Net investment income (loss)

   (36,347

Net realized gain (loss)

   (1,335,372

Change in net unrealized appreciation/depreciation

   (26,290
  

 

 

 

Net income (loss)

   (1,398,009
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $8,093,438 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(1,398,009 $(563,756

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

   

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

   275,550   116,820 

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

   (45,940,009  (42,155,511

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

   53,163,769   44,640,933 

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

   (57,345  (22,846

Net realized gain (loss) on investments

   384   (31

Change in unrealized appreciation/depreciation on investments

   (404  (1,652

Decrease (Increase) in receivable on futures contracts

   —     84,235 

Increase (Decrease) in payable to Sponsor

   (6,422  (2,556

Increase (Decrease) in payable on futures contracts

   (60,510  32,813 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   5,977,004   2,128,449 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   —     2,109,382 

Payment on shares redeemed

   (6,278,641  (4,280,745
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (6,278,641  (2,171,363
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (301,637  (42,914

Cash, beginning of period

   2,292,012   1,783,802 
  

 

 

  

 

 

 

Cash, end of period

  $1,990,375  $1,740,888 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $729,356   $2,834,389 

Segregated cash balances with brokers for futures contracts

   370,040    914,760 

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

   7,997,911    12,909,619 

Receivable on open futures contracts

   34,800    —   
  

 

 

   

 

 

 

Total assets

   9,132,107    16,658,768 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   —      32,340 

Payable to Sponsor

   6,902    12,955 
  

 

 

   

 

 

 

Total liabilities

   6,902    45,295 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   9,125,205    16,613,473 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $9,132,107   $16,658,768 
  

 

 

   

 

 

 

Shares outstanding

   200,000    300,000 
  

 

 

   

 

 

 

Net asset value per share

  $45.63   $55.38 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $45.85   $55.24 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.089% due 10/12/17

  $8,000,000   $7,997,911 
    

 

 

 

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

    $7,997,911 
    

 

 

 

Futures Contracts Sold

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

Australian Dollar Fx Currency Futures—CME, expires December 2017

   232   $18,179,520   $379,490 

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

   1,555   3,267   6,088   11,011 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   (22  1   (177  220 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   (14  561   843   2,074 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $16,613,473 

Redemption of 100,000 shares

   (4,723,167
  

 

 

 

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

   (4,723,167
  

 

 

 

Net investment income (loss)

   (42,311

Net realized gain (loss)

   (1,920,783

Change in net unrealized appreciation/depreciation

   (802,007
  

 

 

 

Net income (loss)

   (2,765,101
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $9,125,205 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(2,765,101 $(3,070,816

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

   

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

   544,720   (845,815

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

   (57,937,852  (36,174,367

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

   62,908,840   39,618,751 

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

   (58,614  (32,241

Net realized gain (loss) on investments

   177   (220

Change in unrealized appreciation/depreciation on investments

   (843  (2,074

Decrease (Increase) in receivable on futures contracts

   (34,800  52,491 

Increase (Decrease) in payable to Sponsor

   (6,053  (2,874

Increase (Decrease) in payable on futures contracts

   (32,340  79,209 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   2,618,134   (377,956
  

 

 

  

 

 

 

Cash flow from financing activities

   

Payment on shares redeemed

   (4,723,167  (314
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (4,723,167  (314
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (2,105,033  (378,270

Cash, beginning of period

   2,834,389   1,958,996 
  

 

 

  

 

 

 

Cash, end of period

  $729,356  $1,580,726 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,120,743   $2,916,502 

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

   219,684,550    337,375,787 

Unrealized appreciation on foreign currency forward contracts

   4,465,552    16,519,070 

Receivable from capital shares sold

   1,091,561    —   
  

 

 

   

 

 

 

Total assets

   227,362,406    356,811,359 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      6,771,472 

Payable to Sponsor

   175,643    291,098 

Unrealized depreciation on foreign currency forward contracts

   565,859    356,139 
  

 

 

   

 

 

 

Total liabilities

   741,502    7,418,709 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   226,620,904    349,392,650 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $227,362,406   $356,811,359 
  

 

 

   

 

 

 

Shares outstanding

   10,450,000    12,900,000 
  

 

 

   

 

 

 

Net asset value per share

  $21.69   $27.08 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $21.68   $27.08 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

0.998% due 10/05/17

  $9,000,000   $8,999,445 

1.057% due 10/12/17†

   40,000,000    39,989,556 

1.013% due 10/19/17†

   11,000,000    10,995,221 

1.015% due 10/26/17†

   41,000,000    40,974,445 

0.998% due 11/02/17

   10,000,000    9,991,776 

1.079% due 11/09/17†

   20,000,000    19,979,734 

0.982% due 11/16/17†

   2,000,000    1,997,613 

0.962% due 11/30/17†

   7,000,000    6,988,700 

0.987% due 12/14/17†

   18,000,000    17,964,959 

1.002% due 01/04/18

   7,000,000    6,981,357 

1.001% due 01/11/18

   25,000,000    24,929,510 

1.040% due 02/01/18

   30,000,000    29,892,234 
    

 

 

 

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

    $219,684,550 
    

 

 

 

Foreign Currency Forward Contracts^

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

Contracts to Purchase

      

Euro with Goldman Sachs International

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

Euro with UBS AG

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

 

 

 
             $(565,859) 
      

 

 

 

Contracts to Sell

      

Euro with Goldman Sachs International

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

Euro with UBS AG

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

 

 

 
             $4,465,552 
      

 

 

 

Purchased
 
 
 
 
 
 
 
Unrealized
 
 
Number of
 
 
 
 
Notional Amount
 
 
Appreciation
 
 
Contracts
 
 
 
 
at Value
 
 
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2019
  
935
  $
   
79,465,650
  $
(2,498,546
)
Total Return Swap Agreements
^
 
 
 
 
 
 
 
Unrealized
 
 
Rate Paid
 
 
Termination
 
 
Notional Amount
 
 
Appreciation
 
 
(Received)
*
 
 
Date
 
 
at Value
**
 
 
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
  
0.25
%  
10/07/19
  $
148,647,493
  $
(10,245,707
)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
  
0.30
   
10/07/19
   
84,687,175
   
(6,979,828
)
Swap agreement with UBS AG based on Bloomberg Silver Subindex
  
0.25
   
10/07/19
   
119,278,311
   
(8,221,401
)
                 
  
   
   
Total Unrealized Depreciation
  $
(25,446,936
)
                 
All or partial amount pledged as collateral for foreign currency forward contracts.swap agreements.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.​​​​​​​

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   (1,394  1,655   (3,856  37 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   4,959   2,404   8,176   33,446 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $349,392,650 

Addition of 1,800,000 shares

   41,062,646 

Redemption of 4,250,000 shares

   (105,779,074
  

 

 

 

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

   (64,716,428
  

 

 

 

Net investment income (loss)

   (461,825

Net realized gain (loss)

   (45,338,431

Change in net unrealized appreciation/depreciation

   (12,255,062
  

 

 

 

Net income (loss)

   (58,055,318
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $226,620,904 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(58,055,318 $(32,251,855

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

   

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

   —     (15,803,000

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

   (1,194,312,964  (1,046,594,054

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

   1,313,461,466   1,240,067,697 

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

   (1,452,945  (765,698

Net realized gain (loss) on investments

   3,856   (37

Change in unrealized appreciation/depreciation on investments

   12,255,062   (30,468,759

Increase (Decrease) in payable to Sponsor

   (115,455  (124,210
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   71,783,702   114,060,084 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   39,971,085   15,418,329 

Payment on shares redeemed

   (112,550,546  (139,665,636
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (72,579,461  (124,247,307
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (795,759  (10,187,223

Cash, beginning of period

   2,916,502   10,372,583 
  

 

 

  

 

 

 

Cash, end of period

  $2,120,743  $185,360 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,506,225   $3,166,988 

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

   137,818,917    257,102,313 

Unrealized appreciation on foreign currency forward contracts

   9,817,020    16,870,357 
  

 

 

   

 

 

 

Total assets

   149,142,162    277,139,658 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   112,920    232,491 

Unrealized depreciation on foreign currency forward contracts

   570,141    125,420 
  

 

 

   

 

 

 

Total liabilities

   683,061    357,911 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   148,459,101    276,781,747 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $149,142,162   $277,139,658 
  

 

 

   

 

 

 

Shares outstanding

   1,999,290    3,449,290 
  

 

 

   

 

 

 

Net asset value per share

  $74.26   $80.24 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $74.21   $80.25 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

0.998% due 10/05/17

  $15,000,000   $14,999,075 

1.075% due 10/12/17†

   39,000,000    38,989,817 

0.992% due 10/26/17

   9,000,000    8,994,390 

1.079% due 11/09/17†

   25,000,000    24,974,667 

0.962% due 11/30/17†

   17,000,000    16,972,557 

1.001% due 01/11/18

   9,000,000    8,974,624 

1.040% due 02/01/18

   24,000,000    23,913,787 
    

 

 

 

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

    $137,818,917 
    

 

 

 

Foreign Currency Forward Contracts^

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

Contracts to Purchase

      

Yen with Goldman Sachs International

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

Yen with UBS AG

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

 

 

 
      $(570,141
      

 

 

 

Contracts to Sell

      

Yen with Goldman Sachs International

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

Yen with UBS AG

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

 

 

 
      $9,817,020 
      

 

 

 

All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represents discount rate at the time of purchase.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   (1,081  (44  (3,903  (5,838
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $276,781,747 

Addition of 900,000 shares

   69,116,080 

Redemption of 2,350,000 shares

   (172,018,744
  

 

 

 

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

   (102,902,664
  

 

 

 

Net investment income (loss)

   (396,084

Net realized gain (loss)

   (17,532,916

Change in net unrealized appreciation/depreciation

   (7,490,982
  

 

 

 

Net income (loss)

   (25,419,982
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $148,459,101 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(25,419,982 $(73,267,187

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

   

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

   —     (1,274,000

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

   (919,771,798  (627,277,970

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

   1,040,131,058   625,696,408 

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

   (1,072,691  (328,442

Net realized gain (loss) on investments

   3,903   5,838 

Change in unrealized appreciation/depreciation on investments

   7,490,982   (14,046,211

Increase (Decrease) in payable to Sponsor

   (119,571  (12,929
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   101,241,901   (90,504,493
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   69,116,080   136,071,321 

Payment on shares redeemed

   (172,018,744  (45,072,219
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (102,902,664  90,999,102 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (1,660,763  494,609 

Cash, beginning of period

   3,166,988   276,968 
  

 

 

  

 

 

 

Cash, end of period

  $1,506,225  $771,577 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $3,555,077   $1,401,555 

Segregated cash balances with brokers for futures contracts

   15,457,200    20,609,600 

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

   562,359,737    885,050,007 

Unrealized appreciation on swap agreements

   40,796,900    55,358,571 

Receivable on open futures contracts

   503,050    —   
  

 

 

   

 

 

 

Total assets

   622,671,964    962,419,733 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   —      25,879,004 

Payable on open futures contracts

   —      1,993,438 

Brokerage commissions and fees payable

   —      2,332 

Payable to Sponsor

   529,199    813,099 
  

 

 

   

 

 

 

Total liabilities

   529,199    28,687,873 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   622,142,765    933,731,860 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $622,671,964   $962,419,733 
  

 

 

   

 

 

 

Shares outstanding

   34,761,317    40,013,933 
  

 

 

   

 

 

 

Net asset value per share

  $17.90   $23.34 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $17.82   $23.36 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.053% due 10/05/17

  $43,000,000   $42,997,347 

1.089% due 10/12/17

   50,000,000    49,986,945 

1.077% due 10/19/17†

   78,000,000    77,966,117 

1.055% due 10/26/17†

   92,000,000    91,942,656 

1.062% due 11/02/17†

   45,000,000    44,962,992 

1.077% due 11/09/17†

   52,000,000    51,947,309 

0.977% due 11/16/17†

   27,000,000    26,967,770 

0.982% due 11/30/17†

   49,000,000    48,920,899 

0.970% due 12/07/17†

   11,000,000    10,980,136 

0.987% due 12/14/17†

   22,000,000    21,957,173 

1.002% due 01/04/18

   40,000,000    39,893,468 

1.001% due 01/11/18

   40,000,000    39,887,216 

1.040% due 02/01/18

   14,000,000    13,949,709 
    

 

 

 

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

    $562,359,737 
    

 

 

 

Futures Contracts Purchased

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

WTI Crude Oil—NYMEX, expires November 2017

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

Swap Agreements^

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

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

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

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

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

Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index

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

Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index

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

 

 

 
       $40,796,900 
       

 

 

 

All or partial amount pledged as collateral for swap agreements and/or futures contracts.
^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown represents discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017,2019, 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.



Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

SILVER

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Swap agreements

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Swap agreements

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
1,032,102
  $
969,237
  $
2,867,840
  $
2,671,211
 
                 
Expenses
  
   
   
   
 
Management fee
  
528,976
   
480,028
   
1,393,382
   
1,581,152
 
Brokerage commissions
  
13,720
   
12
   
27,422
   
43
 
Brokerage fees
  
—  
   
—  
   
3
   
—  
 
                 
Total expenses
  
542,696
   
480,040
   
1,420,807
   
1,581,195
 
                 
Net investment income (loss)
  
489,406
   
489,197
   
1,447,033
   
1,090,016
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
8,767,983
   
(18,145
)  
7,021,085
   
(19,065
)
Swap agreements
  
60,466,029
   
—  
   
35,132,591
   
—  
 
Forward agreements
  
—  
   
(59,661,332
)  
32,366,374
   
(52,485,906
)
Short-term U.S. government and agency obligations
  
18
   
(831
)  
150
   
(1,203
)
                 
Net realized gain (loss)
  
69,234,030
   
(59,680,308
)  
74,520,200
   
(52,506,174
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
(3,576,772
)  
2,340
   
(2,839,282
)  
(7,230
)
Swap agreements
  
(32,597,679
)  
—  
   
(25,446,936
)  
—  
 
Forward agreements
  
—  
   
9,681,368
   
(26,301,717
)  
(26,202,677
)
Short-term U.S. government and agency obligations
  
11,550
   
(25,107
)  
36,097
   
9,886
 
                 
Change in net unrealized appreciation (depreciation)
  
(36,162,901
)  
9,658,601
   
(54,551,838
)  
(26,200,021
)
                 
Net realized and unrealized gain (loss)
  
33,071,129
   
(50,021,707
)  
19,968,362
   
(78,706,195
)
                 
Net income (loss)
 $
33,560,535
  $
(49,532,510
) $
21,415,395
  $
(77,616,179
)
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTSILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $933,731,860 

Addition of 65,600,000 shares

   1,105,174,037 

Redemption of 70,852,616 shares

   (1,285,506,788
  

 

 

 

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

   (180,332,751
  

 

 

 

Net investment income (loss)

   (1,483,954

Net realized gain (loss)

   (123,526,841

Change in net unrealized appreciation/depreciation

   (6,245,549
  

 

 

 

Net income (loss)

   (131,256,344
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $622,142,765 
  

 

 

 

 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
  
178,444,838
  $
208,483,138
  $
201,824,376
  $
258,244,696
 
                 
Addition of 750,000, 850,000, 2,050,000 and 1,350,000 shares, respectively
  
23,886,106
​​​​​​​
   
23,981,568
   
55,464,494
   
39,367,193
 
Redemption of 600,000, –, 2,300,000 and 1,100,000 shares, respectively
  
(19,832,736
)  
—  
   
(62,645,522
)  
(37,063,514
)
                 
Net addition (redemption) of 150,000, 850,000, (250,000) and 250,000 shares, respectively
  
4,053,370
   
23,981,568
   
(7,181,028
)  
2,303,679
 
                 
Net investment income (loss)
  
489,406
   
489,197
   
1,447,033
   
1,090,016
 
Net realized gain (loss)
  
69,234,030
   
(59,680,308
)  
74,520,200
   
(52,506,174
)
Change in net unrealized appreciation (depreciation)
  
(36,162,901
)  
9,658,601
   
(54,551,838
)  
(26,200,021
)
                 
Net income (loss)
  
33,560,535
   
(49,532,510
)  
21,415,395
   
(77,616,179
)
                 
Shareholders’ equity, end of period
  $
216,058,743
  $
182,932,196
  $
216,058,743
  $
182,932,196
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL

SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(131,256,344 $52,486,375 

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

   

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

   5,152,400   20,951,260 

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

   —     (26,365,000

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

   (3,682,731,284  (2,817,353,950

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

   4,009,879,074   2,735,827,019 

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

   (4,436,887  (1,497,225

Net realized gain (loss) on investments

   15,001   13,583 

Change in unrealized appreciation/depreciation on investments

   14,526,037   (143,032,968

Decrease (Increase) in receivable on futures contracts

   (503,050  1,997,369 

Decrease (Increase) in receivable for investments sold

   —     (17,625,333

Increase (Decrease) in payable to Sponsor

   (283,900  59,439 

Increase (Decrease) in brokerage commissions and fees payable

   (2,332  (14,848

Increase (Decrease) in payable on futures contracts

   (1,993,438  —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   208,365,277   (194,554,279
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   1,105,174,037   879,143,549 

Payment on shares redeemed

   (1,311,385,792  (683,302,233
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (206,211,755  195,841,316 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   2,153,522   1,287,037 

Cash, beginning of period

   1,401,555   4,008,379 
  

 

 

  

 

 

 

Cash, end of period

  $3,555,077  $5,295,416 
  

 

 

  

 

 

 

         
 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
21,415,395
  $
(77,616,179
)
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
  
(1,528,443,758
)  
(6,095,031,250
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
1,426,099,204
   
6,215,649,682
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(2,391,508
)  
(2,671,178
)
Net realized gain (loss) on investments
  
(150
)  
1,203
 
Change in unrealized appreciation (depreciation) on investments
  
51,712,556
   
26,192,791
 
Decrease (Increase) in receivable on futures contracts
  
—  
   
(2,000
)
Decrease (Increase) in interest receivable
  
(63,635
)  
—  
 
Increase (Decrease) in payable to Sponsor
  
42,077
   
(43,330
)
Increase (Decrease) in payable on futures contracts
  
2,944,371
   
—  
 
         
Net cash provided by (used in) operating activities
  
(28,685,448
)  
66,479,739
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
55,464,494
   
39,367,193
 
Payment on shares redeemed
  
(62,645,522
)  
(40,418,365
)
         
Net cash provided by (used in) financing activities
  
(7,181,028
)  
(1,051,172
)
         
Net increase (decrease) in cash
  
(35,866,476
)  
65,428,567
 
Cash, beginning of period
  
51,907,742
   
4,466,934
 
         
Cash, end of period
 $
16,041,266
  $
69,895,501
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
 

Assets

  

Cash

  $6,451,760 

Segregated cash balances with brokers for futures contracts

   1,161,600 

Receivable on open futures contracts

   42,870 

Offering costs (Note 5)

   71,150 

Limitation by Sponsor

   2,484 
  

 

 

 

Total assets

   7,729,864 
  

 

 

 

Liabilities and shareholders’ equity

  

Liabilities

  

Payable for offering costs

   148,400 
  

 

 

 

Total liabilities

   148,400 
  

 

 

 

Commitments and Contingencies (Note 2)

  

Shareholders’ equity

  

Shareholders’ equity

   7,581,464 
  

 

 

 

Total liabilities and shareholders’ equity

  $7,729,864 
  

 

 

 

Shares outstanding

   300,008 
  

 

 

 

Net asset value per share

  $25.27 
  

 

 

 

Market value per share (Note 2)

  $25.09 
  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

 
September 30, 2019
(unaudited)
 
 
December 31, 2018
 
Assets
 
 
 
 
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $209,627,690 and $–, respectively)
 $
209,661,089
  $
—  
 
Cash
  
234,349,800
   
104,967,557
 
Segregated cash balances with brokers for futures contracts
  
134,029,920
   
70,020,038
 
Segregated cash balances with brokers for swap agreements
  
10,851,000
   
27,933,000
 
Receivable from capital shares sold
  
—  
   
8,149,949
 
Receivable on open futures contracts
  
27,064,884
   
11,407,017
 
Interest receivable
  
286,534
   
106,307
 
         
Total assets
  
616,243,227
   
222,583,868
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
  
18,550,761
   
6,745,146
 
Payable to Sponsor
  
391,189
   
202,902
 
Unrealized depreciation on swap agreements
  
195,227
   
1,330,949
 
         
Total liabilities
  
19,137,177
   
8,278,997
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
597,106,050
   
214,304,871
 
         
Total liabilities and shareholders’ equity
 $
616,243,227
  $
222,583,868
 
         
Shares outstanding
  
23,530,912
   
2,630,912
 
         
Net asset value per share
 $
25.38
  $
81.46
 
         
Market value per share (Note 2)
 $
26.04
  $
81.73
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OILULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(35% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
19,000,000
  $
18,991,427
 
1.757% due 10/24/19
  
10,000,000
   
9,988,692
 
1.932% due 11/07/19
  
181,000,000
   
180,680,970
 
         
Total short-term U.S. government and agency obligations
(cost $209,627,690)
  
  $
209,661,089
 
         
Futures Contracts Purchased

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

WTI Crude Oil—NYMEX, expires November 2017

   440   $22,734,800   $1,272,779 

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

   

Expenses

   

Brokerage commissions and fees

  $13,100  $24,374 

Offering costs

   37,405   77,250 

Limitation by Sponsor

   —     (2,484

Reduction in Limitation by Sponsor

   5,818   —   
  

 

 

  

 

 

 

Total expenses

   56,323   99,140 
  

 

 

  

 

 

 

Net investment income (loss)

   (56,323  (99,140
  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

   

Net realized gain (loss) on

   

Futures contracts

   4,971,742   3,137,907 
  

 

 

  

 

 

 

Net realized gain (loss)

   4,971,742   3,137,907 
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

   

Futures contracts

   694,326   1,272,779 
  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

   694,326   1,272,779 
  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

   5,666,068   4,410,686 
  

 

 

  

 

 

 

Net income (loss)

  $5,609,745  $4,311,546 
  

 

 

  

 

 

 

*Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017

(unaudited)

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

  $—   

Addition of 1,400,008 shares

   29,606,619 

Redemption of 1,100,000 shares

   (26,336,701
  

 

 

 

Net addition (redemption) of 300,008 shares

   3,269,918 
  

 

 

 

Net investment income (loss)

   (99,140

Net realized gain (loss)

   3,137,907 

Change in net unrealized appreciation/depreciation

   1,272,779 
  

 

 

 

Net income (loss)

   4,311,546 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $7,581,464 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)

   January 13, 2017
(Inception) through
September 30, 2017
 

Cash flow from operating activities

  

Net income (loss)

  $4,311,546 

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

  

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

   (1,161,600

Decrease (Increase) in receivable on futures contracts

   (42,870

Decrease (Increase) in Limitation by Sponsor

   (2,484

Change in offering cost

   (71,150

Increase (Decrease) in payable for offering costs

   148,400 
  

 

 

 

Net cash provided by (used in) operating activities

   3,181,842 
  

 

 

 

Cash flow from financing activities

  

Proceeds from addition of shares

   29,606,619 

Payment on shares redeemed

   (26,336,701
  

 

 

 

Net cash provided by (used in) financing activities

   3,269,918 
  

 

 

 

Net increase (decrease) in cash

   6,451,760 

Cash, beginning of period

   —   
  

 

 

 

Cash, end of period

  $6,451,760 
  

 

 

 

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,771,889   $971,442 

Segregated cash balances with brokers for futures contracts

   6,724,079    7,612,770 

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

   42,919,932    36,183,648 
  

 

 

   

 

 

 

Total assets

   51,415,900    44,767,860 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   319,094    1,528,005 

Brokerage commissions and fees payable

   —      433 

Payable to Sponsor

   37,189    36,036 
  

 

 

   

 

 

 

Total liabilities

   356,283    1,564,474 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   51,059,617    43,203,386 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $51,415,900   $44,767,860 
  

 

 

   

 

 

 

Shares outstanding

   5,842,169    2,292,169 
  

 

 

   

 

 

 

Net asset value per share

  $8.74   $18.85 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $8.80   $18.96 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.108% due 10/12/17

  $2,000,000   $1,999,478 

1.013% due 10/19/17

   3,000,000    2,998,697 

0.992% due 10/26/17

   7,000,000    6,995,637 

1.013% due 11/02/17

   5,000,000    4,995,888 

1.023% due 11/09/17

   2,000,000    1,997,973 

0.987% due 12/14/17

   7,000,000    6,986,373 

1.001% due 01/11/18

   9,000,000    8,974,624 

1.040% due 02/01/18

   8,000,000    7,971,262 
    

 

 

 

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

    $42,919,932 
    

 

 

 

Futures Contracts Purchased

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

Natural Gas—NYMEX, expires November 2017

   3,396   $102,117,720   $(971,690

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   (454  264   (1,126  (405
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Short-term U.S. government and agency obligations

   1,692   2,064   1,284   1,913 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $43,203,386 

Addition of 6,600,000 shares

   66,608,730 

Redemption of 3,050,000 shares

   (34,012,985
  

 

 

 

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

   32,595,745 
  

 

 

 

Net investment income (loss)

   (190,949

Net realized gain (loss)

   (21,041,439

Change in net unrealized appreciation/depreciation

   (3,507,126
  

 

 

 

Net income (loss)

   (24,739,514
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $51,059,617 
  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $(24,739,514 $(1,442,007

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

   

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

   888,691   1,947,056 

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

   (172,712,634  (89,354,690

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

   166,176,382   90,362,175 

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

   (199,874  (45,257

Net realized gain (loss) on investments

   1,126   405 

Change in unrealized appreciation/depreciation on investments

   (1,284  (1,913

Decrease (Increase) in receivable on futures contracts

   —     3,065,769 

Increase (Decrease) in payable to Sponsor

   1,153   3,356 

Increase (Decrease) in brokerage commissions and fees payable

   (433  (1,236

Increase (Decrease) in payable on futures contracts

   (1,208,911  1,073,868 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (31,795,298  5,607,526 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   66,608,730   24,550,026 

Payment on shares redeemed

   (34,012,985  (30,208,996
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   32,595,745   (5,658,970
  

 

 

  

 

 

 

Net increase (decrease) in cash

   800,447   (51,444

Cash, beginning of period

   971,442   1,411,137 
  

 

 

  

 

 

 

Cash, end of period

  $1,771,889  $1,359,693 
  

 

 

  

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $188,166   $1,262,351 

Segregated cash balances with brokers for futures contracts

   10,780    13,200 

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

   101,900,580    95,356,621 
  

 

 

   

 

 

 

Total assets

   102,099,526    96,632,172 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   3,980,452    —   

Payable on open futures contracts

   780    1,280 

Payable to Sponsor

   76,924    72,585 

Unrealized depreciation on forward agreements

   8,453,427    4,431,107 
  

 

 

   

 

 

 

Total liabilities

   12,511,583    4,504,972 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   89,587,943    92,127,200 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $102,099,526   $96,632,172 
  

 

 

   

 

 

 

Shares outstanding

   2,250,000    2,800,000 
  

 

 

   

 

 

 

Net asset value per share

  $39.82   $32.90 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $39.60   $33.20 
  

 

 

   

 

 

 

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.018% due 10/05/17

  $16,000,000   $15,999,013 

1.046% due 10/12/17†

   30,000,000    29,992,167 

1.013% due 10/19/17†

   12,000,000    11,994,787 

1.079% due 11/09/17†

   10,000,000    9,989,867 

1.023% due 12/07/17†

   10,000,000    9,981,942 

0.987% due 12/14/17†

   12,000,000    11,976,639 

1.001% due 01/11/18

   12,000,000    11,966,165 
    

 

 

 

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

    $101,900,580 
    

 

 

 

Futures Contracts Purchased

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

Gold Futures—COMEX, expires December 2017

   2   $256,960   $9,520 

Forward Agreements^

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

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

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

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

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

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

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

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

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

 

 

 
         $(8,453,427
         

 

 

 

     
Unrealized
 
 
Number of
  
Notional Amount
  
Appreciation
 
 
Contracts
  
at Value
  
(Depreciation)/Value
 
VIX Futures - CBOE, expires October 2019
  
26,799
  $
458,932,875
  $
(1,685,425
)
VIX Futures - CBOE, expires November 2019
  
21,928
   
400,734,200
   
(393,521
)
             
   
   
  $
(2,078,946
)
             
Total Return Swap Agreements
^
       
Unrealized
 
 
Rate Paid
  
Termination
  
Notional Amount
  
Appreciation
 
 
(Received)
*
  
Date
  
at Value
**
  
(Depreciation)/Value
 
Swap agreement with Goldman Sachs
& Co
.
based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  
2.90
%  
10/23/19
  $
35,981,673
  $
(195,227
)
                 
  
   
   
Total Unrealized Depreciation
  $
(195,227
)
                 
All or partial amount pledged as collateral
for forward agreements and/or futures contracts.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates ​​​​​​​different counterparties for the​​​​​​​ir 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, 2019, 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.


Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Investment Income
  
   
   
   
 
Interest
 $
2,018,561
  $
1,202,062
  $
6,119,714
  $
2,441,956
 
                 
Expenses
  
   
   
   
 
Management fee
  
1,166,670
   
1,338,863
   
3,488,439
   
3,185,978
 
Brokerage commissions
  
723,766
   
987,212
   
2,119,082
   
2,530,133
 
Brokerage fees
  
—  
   
—  
   
64
   
—  
 
Non-recurring
fees and expenses
  
—  
   
—  
   
27,508
   
—  
 
                 
Total expenses
  
1,890,436
   
2,326,075
   
5,635,093
   
5,716,111
 
                 
Net investment income (loss)
  
128,125
   
(1,124,013
)  
484,621
   
(3,274,155
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts
  
(49,855,031
)  
(123,370,811
)  
(266,921,725
)  
147,966,370
 
Swap agreements
  
(5,472,509
)  
(32,400,344
)  
(38,604,974
)  
(42,944,849
)
Short-term U.S. government and agency obligations
  
11,791
   
—  
   
11,441
   
(7,731
)
                 
Net realized gain (loss)
  
(55,315,749
)  
(155,771,155
)  
(305,515,258
)  
105,013,790
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
43,186,841
   
(73,846,983
)  
(34,582,911
)  
416,566
 
Swap agreements
  
2,019,086
   
(561,143
)  
1,135,722
   
(296,663
)
Short-term U.S. government and agency obligations
  
1,358
   
—  
   
33,399
   
13,265
 
                 
Change in net unrealized appreciation (depreciation)
  
45,207,285
   
(74,408,126
)  
(33,413,790
)  
133,168
 
                 
Net realized and unrealized gain (loss)
  
(10,108,464
)  
(230,179,281
)  
(338,929,048
)  
105,146,958
 
                 
Net income (loss)
 $
(9,980,339
) $
(231,303,294
) $
(338,444,427
) $
101,872,803
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
529,341,464
  $
359,311,519
  $
214,304,871
  $
394,035,141
 
                 
Addition of 23,650,000, 14,690,000, 55,850,000 and 31,930,000 shares, respectively
  
634,964,519
   
686,757,350
   
1,949,376,975
   
1,886,334,443
 
Redemption of 17,550,000, 5,974,536, 34,950,000 and 24,974,536 shares, respectively
  
(557,219,594
)  
(282,554,794
)  
(1,228,131,369
)  
(1,850,031,606
)
                 
Net addition (redemption) of 6,100,000, 8,715,464, 20,900,000 and 6,955,464 shares, respectively
  
77,744,925
   
404,202,556
   
721,245,606
   
36,302,837
 
                 
Net investment income (loss)
  
128,125
   
(1,124,013
)  
484,621
   
(3,274,155
)
Net realized gain (loss)
  
(55,315,749
)  
(155,771,155
)  
(305,515,258
)  
105,013,790
 
Change in net unrealized appreciation (depreciation)
  
45,207,285
   
(74,408,126
)  
(33,413,790
)  
133,168
 
                 
Net income (loss)
  
(9,980,339
)  
(231,303,294
)  
(338,444,427
)  
101,872,803
 
                 
Shareholders’ equity, end of period
 $
597,106,050
  $
532,210,781
  $
597,106,050
  $
532,210,781
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(338,444,427
) $
101,872,803
 
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
  
(4,819,237,640
)  
(11,238,858,669
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
4,611,774,764
   
11,527,565,730
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(2,153,373
)  
(1,168,395
)
Net realized gain (loss) on investments
  
(11,441
)  
7,731
 
Change in unrealized appreciation (depreciation) on investments
  
(1,169,121
)  
283,398
 
Decrease (Increase) in receivable on futures contracts
  
(15,657,867
)  
(6,967,314
)
Decrease (Increase) in interest receivable
  
(180,227
)  
(33,087
)
Increase (Decrease) in payable to Sponsor
  
188,287
   
100,766
 
Increase (Decrease) in payable on futures contracts
  
11,805,615
   
10,975,245
 
Increase (Decrease) in payable to Broker
  
—  
   
8,275
 
         
Net cash provided by (used in) operating activities
  
(553,085,430
)  
393,786,483
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
1,957,526,924
   
1,886,851,373
 
Payment on shares redeemed
  
(1,228,131,369
)  
(1,850,031,606
)
         
Net cash provided by (used in) financing activities
  
729,395,555
   
36,819,767
 
         
Net increase (decrease) in cash
  
176,310,125
   
430,606,250
 
Cash, beginning of period
  
202,920,595
   
88,750,920
 
         
Cash, end of period
 $
379,230,720
  $
519,357,170
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
 
 
 
 
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Cash
 $
2,566,626
  $
2,419,531
 
Segregated cash balances with brokers for foreign currency forward contracts
  
312,000
   
307,000
 
Unrealized appreciation on foreign currency forward contracts
  
171
   
179,187
 
Receivable from capital shares sold
  
—  
   
2,846,576
 
Interest receivable
  
3,158
   
3,941
 
         
Total assets
  
2,881,955
   
5,756,235
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
  
2,259
   
2,443
 
Unrealized depreciation on foreign currency forward contracts
  
28,309
   
2,076
 
         
Total liabilities
  
30,568
   
4,519
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
2,851,387
   
5,751,716
 
         
Total liabilities and shareholders’ equity
 $
2,881,955
  $
5,756,235
 
         
Shares outstanding
  
49,970
   
99,970
 
         
Net asset value per share
 $
57.06
  $
57.53
 
         
Market value per share (Note 2)
 $
57.08
  $
57.55
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
Foreign Currency Forward Contracts
^
                 
       
Unrealized
 
       
Appreciation
 
   
Contract Amount
  
Contract Amount
  
(Depreciation)/
 
 
Settlement Date
  
in Local Currency
  
in U.S. Dollars
  
Value
 
Contracts to Purchase
  
   
   
   
 
Yen with Goldman Sachs International
  
10/04/19
   
325,804,302
  $
3,013,753
  $
(14,196
)
Yen with UBS AG
  
10/04/19
   
303,292,846
   
2,805,518
   
(14,113
)
                 
  
   
   
Total Unrealized Depreciation
  $
(28,309
)
                 
Contracts to Sell
  
   
   
   
 
Yen with UBS AG
  
10/04/19
   
(10,295,792
) $
(95,238
) $
171
 
                 
  
   
   
Total Unrealized Appreciation
  $
171
 
                 
^The positions and counterparties herein are as of September 30, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
16,771
  $
5,433
  $
62,655
  $
14,169
 
                 
Expenses
  
   
   
   
 
Management fee
  
8,325
   
6,797
   
29,970
   
21,129
 
                 
Total expenses
  
8,325
   
6,797
   
29,970
   
21,129
 
                 
Net investment income (loss)
  
8,446
   
(1,364
)  
32,685
   
(6,960
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Foreign currency forward contracts
  
37,748
   
(91,507
)  
131,724
   
(68,661
)
Short-term U.S. government and agency obligations
  
(162
)  
—  
   
(162
)  
—  
 
                 
Net realized gain (loss)
  
37,586
   
(91,507
)  
131,562
   
(68,661
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Foreign currency forward contracts
  
(76,553
)  
(85,715
)  
(205,249
)  
(75,150
)
Short-term U.S. government and agency obligations
  
352
   
(125
)  
—  
   
259
 
                 
Change in net unrealized appreciation (depreciation)
  
(76,201
)  
(85,840
)  
(205,249
)  
(74,891
)
                 
Net realized and unrealized gain (loss)
  
(38,615
)  
(177,347
)  
(73,687
)  
(143,552
)
                 
Net income (loss)
 $
(30,169
) $
(178,711
) $
(41,002
) $
(150,512
)
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
5,807,397
  $
2,892,468
  $
5,751,716
  $
2,864,269
 
                 
Addition of –, –, 100,000 and – shares, respectively
  
—  
   
—  
   
5,758,562
   
—  
 
Redemption of 50,000, –, 150,000 and – shares, respectively
  
(2,925,841
)  
—  
   
(8,617,889
)  
—  
 
                 
Net addition (redemption) of (50,000), –, (50,000​​​​​​​) and – shares, respectively
  
(2,925,841
)  
—  
   
(2,859,327
)  
—  
 
                 
Net investment income (loss)
  
8,446
   
(1,364
)  
32,685
   
(6,960
)
Net realized gain (loss)
  
37,586
   
(91,507
)  
131,562
   
(68,661
)
Change in net unrealized appreciation (depreciation)
  
(76,201
)  
(85,840
)  
(205,249
)  
(74,891
)
                 
Net income (loss)
  
(30,169
)  
(178,711
)  
(41,002
)  
(150,512
)
                 
Shareholders’ equity, end of period
 $
2,851,387
  $
2,713,757
  $
2,851,387
  $
2,713,757
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(41,002
) $
(150,512
)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
  
   
 
Purchases of short-term U.S. government and agency obligations
  
(40,320,918
)  
(35,287,312
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
40,338,736
   
36,800,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(17,980
)  
(13,885
)
Net realized gain (loss) on investments
  
162
   
—  
 
Change in unrealized appreciation (depreciation) on investments
  
205,249
   
74,891
 
Decrease (Increase) in interest receivable
  
783
   
—  
 
Increase (Decrease) in payable to Sponsor
  
(184
)  
(124
)
         
Net cash provided by (used in) operating activities
  
164,846
   
1,423,058
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
8,605,138
   
—  
 
Payment on shares redeemed
  
(8,617,889
)  
—  
 
         
Net cash provided by (used in) financing activities
  
(12,751
)  
—  
 
         
Net increase (decrease) in cash
  
152,095
   
1,423,058
 
Cash, beginning of period
  
2,726,531
   
903,472
 
         
Cash, end of period
 $
2,878,626
  $
2,326,530
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
(unaudited)
 
 
December 31,
2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $48,931,096 and $20,979,000, respectively)
 $
48,939,861
  $
20,979,876
 
Cash
  
16,728,466
   
38,690,241
 
Segregated cash balances with brokers for futures contracts
  
22,992,301
   
24,892,125
 
Receivable from capital shares sold
  
7,707,654
   
2,597,148
 
Receivable on open futures contracts
  
—  
   
551,842
 
Interest receivable
  
16,059
   
17,308
 
         
Total assets
  
96,384,341
   
87,728,540
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable on open futures contracts
  
9,208,581
   
—  
 
Payable to Sponsor
  
73,095
   
61,498
 
         
Total liabilities
  
9,281,676
   
61,498
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
87,102,665
   
87,667,042
 
         
Total liabilities and shareholders’ equity
 $
96,384,341
  $
87,728,540
 
         
Shares outstanding
  
5,650,000
   
6,700,000
 
         
Net asset value per share
 $
15.42
  $
13.08
 
         
Market value per share (Note 2)
 $
15.62
  $
13.47
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRAPRO 3X CRUDE OIL ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
  
   
 
(56% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
20,000,000
  $
19,990,976
 
2.012% due 11/07/19
  
29,000,000
   
28,948,885
 
         
Total short-term U.S. government and agency obligations
(cost $48,931,096)
  
  $
48,939,861
 
         
Futures Contracts Purchased
 
 
 
 
 
Unrealized
 
 
Number of
 
 
Notional Amount
 
 
Appreciation
 
 
Contracts
 
 
at Value
 
 
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires November 2019
  
4,830
  $
261,158,100
  $
2,641,411
 
^^Rates shown representsrepresent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017 on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.
**For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA GOLD

ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

   10   8   39   33 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   600   7,280   (5,221  45,880 

Forward agreements

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

Short-term U.S. government and agency obligations

   (61  193   487   296 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   6,520   (9,380  28,480   3,400 

Forward agreements

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

Short-term U.S. government and agency obligations

   3,100   (6,051  6,915   (4,093
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
484,215
  $
110,355
  $
1,723,210
  $
115,343
 
                 
Expenses
  
   
   
   
 
Management fee
  
239,459
   
92,674
   
811,675
   
148,366
 
Brokerage commissions
  
78,569
   
13,783
   
231,502
   
33,256
 
Offering costs
  
—  
   
—  
   
—  
   
52,846
 
Limitation by Sponsor
  
—  
   
—  
   
—  
   
(26,957
)
                 
Total expenses
  
318,028
   
106,457
   
1,043,177
   
207,511
 
                 
Net investment income (loss)
  
166,187
   
3,898
   
680,033
   
(92,168
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
4,691,349
   
4,185,376
   
30,865,755
   
7,547,152
 
Short-term U.S. government and agency obligations
  
4,161
   
—  
   
5,626
   
—  
 
                 
Net realized gain (loss)
  
4,695,510
   
4,185,376
   
30,871,381
   
7,547,152
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
(24,831,963
)  
341,411
   
26,092,772
   
8,828,897
 
Short-term U.S. government and agency obligations
  
(3,974
)  
—  
   
7,889
   
—  
 
                 
Change in net unrealized appreciation (depreciation)
  
(24,835,937
)  
341,411
   
26,100,661
   
8,828,897
 
                 
Net realized and unrealized gain (loss)
  
(20,140,427
)  
4,526,787
   
56,972,042
   
16,376,049
 
                 
Net income (loss)
 $
(19,974,240
) $
4,530,685
  $
57,652,075
  $
16,283,881
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA GOLD

STATEMENTULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $92,127,200 

Addition of 400,000 shares

   14,435,007 

Redemption of 950,000 shares

   (36,189,978
  

 

 

 

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

   (21,754,971
  

 

 

 

Net investment income (loss)

   (160,597

Net realized gain (loss)

   23,363,236 

Change in net unrealized appreciation/depreciation

   (3,986,925
  

 

 

 

Net income (loss)

   19,215,714 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $89,587,943 
  

 

 

 

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
114,953,560
  $
40,809,111
  $
87,667,042
  $
11,335,483
 
                 
Addition of 6,450,000, 450,000, 9,100,000 and 1,050,000 shares, respectively
  
105,360,630
   
22,006,338
   
159,516,428
   
51,851,095
 
Redemption of 5,900,000, 550,000, 10,150,000 and 800,008 shares, respectively
  
(113,237,285
)  
(31,519,503
)  
(217,732,880
)  
(43,643,828
)
                 
Net addition (redemption) of 550,000, (100,000), (1,050,000​​​​​​​) and 249,992 shares, respectively
  
(7,876,655
)  
(9,513,165
)  
(58,216,452
)  
8,207,267
 
                 
Net investment income (loss)
  
166,187
   
3,898
   
680,033
   
(92,168
)
Net realized gain (loss)
  
4,695,510
   
4,185,376
   
30,871,381
   
7,547,152
 
Change in net unrealized appreciation (depreciation)
  
(24,835,937
)  
341,411
   
26,100,661
   
8,828,897
 
                 
Net income (loss)
  
(19,974,240
)  
4,530,685
   
57,652,075
   
16,283,881
 
                 
Shareholders’ equity, end of period
 $
87,102,665
  $
35,826,631
  $
87,102,665
  $
35,826,631
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA GOLD

ULTRAPRO 3X CRUDE OIL ETF

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $19,215,714  $33,009,471 

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

   

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

   2,420   (3,630

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

   —     (394,000

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

   (364,397,565  (268,415,817

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

   358,392,755   238,529,754 

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

   (531,747  (178,730

Net realized gain (loss) on investments

   (487  (296

Change in unrealized appreciation/depreciation on investments

   4,015,405   211,627 

Decrease (Increase) in receivable on futures contracts

   —     80 

Increase (Decrease) in payable to Sponsor

   4,339   21,293 

Increase (Decrease) in payable on futures contracts

   (500  1,780 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   16,700,334   2,781,532 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   14,435,007   6,445,287 

Payment on shares redeemed

   (32,209,526  (9,370,304
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (17,774,519  (2,925,017
  

 

 

  

 

 

 

Net increase (decrease) in cash

   (1,074,185  (143,485

Cash, beginning of period

   1,262,351   251,524 
  

 

 

  

 

 

 

Cash, end of period

  $188,166  $108,039 
  

 

 

  

 

 

 

 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
57,652,075
  $
16,283,881
 
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
  
(1,773,562,464
)  
(1,341,902,799
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
1,746,836,257
   
1,342,000,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(1,220,263
)  
(97,201
)
Net realized gain (loss) on investments
  
(5,626
)  
—  
 
Change in unrealized appreciation (depreciation) on investments
  
(7,889
)  
—  
 
Decrease (Increase) in receivable on futures contracts
  
551,842
   
(2,371,746
)
Decrease (Increase) in receivable in Limitation by Sponsor
  
—  
   
24,342
 
Decrease (Increase) in interest receivable
  
1,249
   
(5,419
)
Amortization of offering costs
  
—  
   
52,846
 
Increase (Decrease) in payable to Sponsor
  
11,597
   
29,886
 
Increase (Decrease) in payable on futures contracts
  
9,208,581
   
—  
 
         
Net cash provided by (used in) operating activities
  
39,465,359
   
14,013,790
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
154,405,922
   
51,851,095
 
Payment on shares redeemed
  
(217,732,880
)  
(43,643,828
)
         
Net cash provided by (used in) financing activities
  
(63,326,958
)  
8,207,267
 
         
Net increase (decrease) in cash
  
(23,861,599
)  
22,221,057
 
Cash, beginning of period
  
63,582,366
   
10,968,900
 
         
Cash, end of period
 $
39,720,767
  $
33,189,957
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA SILVER

ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,616,377   $1,664,601 

Segregated cash balances with brokers for futures contracts

   12,980    14,300 

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

   270,629,525    295,300,799 
  

 

 

   

 

 

 

Total assets

   273,258,882    296,979,700 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable on open futures contracts

   2,070    2,290 

Payable to Sponsor

   207,828    221,281 

Unrealized depreciation on forward agreements

   28,243,802    20,976,189 
  

 

 

   

 

 

 

Total liabilities

   28,453,700    21,199,760 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   244,805,182    275,779,940 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $273,258,882   $296,979,700 
  

 

 

   

 

 

 

Shares outstanding

   7,196,526    8,246,526 
  

 

 

   

 

 

 

Net asset value per share

  $34.02   $33.44 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $33.15   $32.09 
  

 

 

   

 

 

 

         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $41,923,108 and $–, respectively)
 $
41,929,905
  $
—  
 
Cash
  
6,442,281
   
13,456,117
 
Segregated cash balances with brokers for futures contracts
  
17,284,951
   
5,303,112
 
Receivable on open futures contracts
  
5,442,310
   
—  
 
Interest receivable
  
31,162
   
13,748
 
         
Total assets
  
71,130,609
   
18,772,977
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable for capital shares redeemed
  
5,107,912
   
—  
 
Payable on open futures contracts
  
—  
   
89,382
 
Payable to Sponsor
  
41,386
   
18,496
 
         
Total liabilities
  
5,149,298
   
107,878
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
65,981,311
   
18,665,099
 
         
Total liabilities and shareholders’ equity
 $
71,130,609
  $
18,772,977
 
         
Shares outstanding
  
3,874,906
   
374,906
 
         
Net asset value per share
 $
17.03
  $
49.79
 
         
Market value per share (Note 2)
 $
16.80
  $
48.43
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA SILVER

ULTRAPRO 3X SHORT CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.015% due 10/05/17

  $23,000,000   $22,998,581 

1.056% due 10/12/17†

   31,000,000    30,991,906 

1.013% due 10/19/17†

   20,000,000    19,991,312 

1.036% due 10/26/17†

   26,000,000    25,983,794 

1.076% due 11/02/17†

   11,000,000    10,990,954 

1.079% due 11/09/17†

   13,000,000    12,986,827 

0.977% due 11/16/17†

   7,000,000    6,991,644 

0.962% due 11/30/17†

   12,000,000    11,980,629 

1.004% due 12/07/17†

   40,000,000    39,927,768 

0.987% due 12/14/17†

   50,000,000    49,902,665 

1.002% due 01/04/18

   9,000,000    8,976,030 

1.001% due 01/11/18

   15,000,000    14,957,706 

1.040% due 02/01/18

   14,000,000    13,949,709 
    

 

 

 

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

    $270,629,525 
    

 

 

 

 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
  
   
 
(64% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
3,000,000
  $
2,998,646
 
1.951% due 11/07/19
  
39,000,000
   
38,931,259
 
         
Total short-term U.S. government and agency obligations
(cost $41,923,108)
  
  $
41,929,905
 
         
Futures Contracts Purchased

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

Silver Futures—COMEX, expires December 2017

   2   $166,760   $(4,940

Forward Agreements^

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

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

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

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

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

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

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

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

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

 

 

 
                  $(28,243,802) 
         

 

 

 
Sold
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires November 2019
  
3,661
  $
197,950,270
  $
14,081,473
 
^^
Rates shown represent discount rate at the time of purchase
.
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Investment Income
  
   
   
   
 
Interest
 $
147,602
  $
56,224
  $
324,609
  $
62,491
 
                 
Expenses
  
   
   
   
 
Management fee
  
76,081
   
54,403
   
156,754
   
110,213
 
Brokerage commissions
  
35,260
   
9,856
   
70,351
   
40,361
 
Offering costs
  
—  
   
—  
   
—  
   
52,797
 
Limitation by Sponsor
  
—  
   
—  
   
—  
   
(176
)
                 
Total expenses
  
111,341
   
64,259
   
227,105
   
203,195
 
                 
Net investment income (loss)
  
36,261
   
(8,035
)  
97,504
   
(140,704
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts
  
(297,480
)  
(3,065,880
)  
(1,379,372
)  
(14,534,995
)
Short-term U.S. government and agency obligations
  
110
   
—  
   
232
   
—  
 
                 
Net realized gain (loss)
  
(297,370
)  
(3,065,880
)  
(1,379,140
)  
(14,534,995
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
17,634,581
   
159,888
   
7,061,998
   
(2,294,411
)
Short-term U.S. government and agency obligations
  
5,183
   
—  
   
6,797
   
—  
 
                 
Change in net unrealized appreciation (depreciation)
  
17,639,764
   
159,888
   
7,068,795
   
(2,294,411
)
                 
Net realized and unrealized gain (loss)
  
17,342,394
   
(2,905,992
)  
5,689,655
   
(16,829,406
)
                 
Net income (loss)
 $
17,378,655
  $
(2,914,027
) $
5,787,159
  $
(16,970,110
)
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
15,342,565
  $
21,723,197
  $
18,665,099
  $
21,161,176
 
                 
Addition of 8,050,000, 1,000,000, 9,750,000 and 2,287,500 shares, respectively
  
121,691,358
   
18,759,551
   
159,853,614
   
56,680,459
 
Redemption of 4,950,000, 450,000, 6,250,000 and 1,112,596 shares, respectively
  
(88,431,267
)  
(10,075,975
)  
(118,324,561
)  
(33,378,779
)
                 
Net addition (redemption) of 3,100,000, 550,000, 3,500,000 and 1,174,904 shares, respectively
  
33,260,091
   
8,683,576
   
41,529,053
   
23,301,680
 
                 
Net investment income (loss)
  
36,261
   
(8,035
)  
97,504
   
(140,704
)
Net realized gain (loss)
  
(297,370
)  
(3,065,880
)  
(1,379,140
)  
(14,534,995
)
Change in net unrealized appreciation (depreciation)
  
17,639,764
   
159,888
   
7,068,795
   
(2,294,411
)
                 
Net income (loss)
  
17,378,655
   
(2,914,027
)  
5,787,159
   
(16,970,110
)
                 
Shareholders’ equity, end of period
 $
65,981,311
  $
27,492,746
  $
65,981,311
  $
27,492,746
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
5,787,159
  $
(16,970,110
)
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
  
(380,290,329
)  
(596,956,970
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
338,535,197
   
597,000,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(167,744
)  
(43,030
)
Net realized gain (loss) on investments
  
(232
)  
—  
 
Change in unrealized appreciation (depreciation) on investments
  
(6,797
)  
—  
 
Decrease (Increase) in receivable on futures contracts
  
(5,442,310
)  
—  
 
Decrease (Increase) in receivable in Limitation by Sponsor
  
—  
   
35,309
 
Decrease (Increase) in interest receivable
  
(17,414
)  
(5,419
)
Amortization of offering costs
  
—  
   
52,797
 
Increase (Decrease) in payable to Sponsor
  
22,890
   
17,973
 
Increase (Decrease) in payable on futures contracts
  
(89,382
)  
574,518
 
         
Net cash provided by (used in) operating activities
  
(41,668,962
)  
(16,294,932
)
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
159,853,614
   
56,680,459
 
Payment on shares redeemed
  
(113,216,649
)  
(33,378,779
)
         
Net cash provided by (used in) financing activities
  
46,636,965
   
23,301,680
 
         
Net increase (decrease) in cash
  
4,968,003
   
7,006,748
 
Cash, beginning of period
  
18,759,229
   
21,600,168
 
         
Cash, end of period
 $
23,727,232
  $
28,606,916
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $–​​​​​​​ and $299,548, respectively)
 $
—  
  $
299,537
 
Cash
  
8,650,600
   
10,321,256
 
Segregated cash balances with brokers for futures contracts
  
397,980
   
433,125
 
Receivable on open futures contracts
  
24,120
   
6,300
 
Interest receivable
  
8,294
   
8,475
 
         
Total assets
  
9,080,994
   
11,068,693
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
  
5,195
   
8,360
 
         
Total liabilities
  
5,195
   
8,360
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
9,075,799
   
11,060,333
 
         
Total liabilities and shareholders’ equity
 $
9,080,994
  $
11,068,693
 
         
Shares outstanding
  
150,000
   
200,000
 
         
Net asset value per share
 $
60.51
  $
55.30
 
         
Market value per share (Note 2)
 $
60.42
  $
54.92
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
Futures Contracts Sold
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires December 2019
  
268
  $
18,138,240
  $
211,190
 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Investment Income
  
   
   
   
 
Interest
 $
38,466
  $
29,472
  $
134,230
  $
73,735
 
                 
Expenses
  
   
   
   
 
Management fee
  
17,005
   
18,194
   
57,983
   
54,862
 
Brokerage commissions
  
1,508
   
1,777
   
4,610
   
4,487
 
                 
Total expenses
  
18,513
   
19,971
   
62,593
   
59,349
 
                 
Net investment income (loss)
  
19,953
   
9,501
   
71,637
   
14,386
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts
  
312,374
   
997,012
   
825,235
   
292,391
 
Short-term U.S. government and agency obligations
  
—  
   
—  
   
—  
   
(247
)
                 
Net realized gain (loss)
  
312,374
   
997,012
   
825,235
   
292,144
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
351,366
   
(624,470
)  
(300,635
)  
660,520
 
Short-term U.S. government and agency obligations
  
(193
)  
(596
)  
11
   
692
 
                 
Change in net unrealized appreciation (depreciation)
  
351,173
   
(625,066
)  
(300,624
)  
661,212
 
                 
Net realized and unrealized gain (loss)
  
663,547
   
371,946
   
524,611
   
953,356
 
                 
Net income (loss)
 $
683,500
  $
381,447
  $
596,248
  $
967,742
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
8,364,065
  $
7,577,764
  $
11,060,333
  $
13,702,102
 
                 
Addition of 50,000, 50,000, 50,000 and 50,000 shares, respectively
  
3,004,977
   
2,477,186
   
3,004,977
   
2,477,186
 
Redemption of 50,000, 50,000, 100,000 and 200,000 shares, respectively
  
(2,976,743
)  
(2,530,619
)  
(5,585,759
)  
(9,241,252
)
                 
Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively
  
28,234
   
(53,433
)  
(2,580,782
)  
(6,764,066
)
                 
Net investment income (loss)
  
19,953
   
9,501
   
71,637
   
14,386
 
Net realized gain (loss)
  
312,374
   
997,012
   
825,235
   
292,144
 
Change in net unrealized appreciation (depreciation)
  
351,173
   
(625,066
)  
(300,624
)  
661,212
 
                 
Net income (loss)
  
683,500
   
381,447
   
596,248
   
967,742
 
                 
Shareholders’ equity, end of period
 $
9,075,799
  $
7,905,778
  $
9,075,799
  $
7,905,778
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
596,248
  $
967,742
 
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
  
(127,013,643
)  
(161,240,617
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
127,350,000
   
169,398,003
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(36,809
)  
(65,022
)
Net realized gain (loss) on investments
  
—  
   
247
 
Change in unrealized appreciation (depreciation) on investments
  
(11
)  
(692
)
Decrease (Increase) in receivable on futures contracts
  
(17,820
)  
(107,573
)
Decrease (Increase) in interest receivable
  
181
   
(2,050
)
Increase (Decrease) in payable to Sponsor
  
(3,165
)  
(5,024
)
Increase (Decrease) in payable on futures contracts
  
—  
   
(52,950
)
         
Net cash provided by (used in) operating activities
  
874,981
   
8,892,064
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
3,004,977
   
2,477,186
 
Payment on shares redeemed
  
(5,585,759
)  
(9,241,252
)
         
Net cash provided by (used in) financing activities
  
(2,580,782
)  
(6,764,066
)
         
Net increase (decrease) in cash
  
(1,705,801
)  
2,127,998
 
Cash, beginning of period
  
10,754,381
   
1,782,397
 
         
Cash, end of period
 $
9,048,580
  $
3,910,395
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
 
 
 
 
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $74,855,199 and $27,967,127​​​​​​​, respectively)
 $
74,866,912
  $
27,967,534
 
Cash
  
3,996,097
   
22,869,986
 
Segregated cash balances with brokers for futures contracts
  
3,017,700
   
2,746,147
 
Segregated cash balances with brokers for swap agreements
  
6,199,000
   
14,356,000
 
Unrealized appreciation on swap agreements
  
10,407,039
   
20,646,726
 
Receivable from capital shares sold
  
—  
   
25,458,885
 
Receivable on open futures contracts
  
492,851
   
432,627
 
Interest receivable
  
53,062
   
36,428
 
         
Total assets
  
99,032,661
   
114,514,333
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
  
5,535,471
   
—  
 
Payable on open futures contracts
  
951,583
   
48,600
 
Payable to Sponsor
  
74,334
   
88,422
 
         
Total liabilities
  
6,561,388
   
137,022
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
92,471,273
   
114,377,311
 
         
Total liabilities and shareholders’ equity
 $
99,032,661
  $
114,514,333
 
         
Shares outstanding
  
5,639,884
   
3,839,884
 
         
Net asset value per share
 $
16.40
  $
29.79
 
         
Market value per share (Note 2)
 $
16.24
  $
29.28
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(81% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
6,000,000
  $
5,997,293
 
1.942% due 11/07/19
  
63,000,000
   
62,888,956
 
1.914% due 12/05/19
  
6,000,000
   
5,980,663
 
         
Total short-term U.S. government and agency obligations
(cost $74,855,199)
  
  $
74,866,912
 
         
Futures Contracts Sold
             
     
Unrealized
 
 
Number of
  
Notional Amount
  
Appreciation
 
 
Contracts
  
at Value
  
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires November 2019
  
630
  $
34,064,100
  $
1,237,943
 
Total Return Swap Agreements
^
                 
       
Unrealized
 
 
Rate Paid
  
Termination
  
Notional Amount
  
Appreciation
 
 
(Received)
*
  
Date
  
at Value
**
  
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg WTI Crude Oil Subindex
  
0.18
%  
10/07/19
  $
(53,195,027
) $
4,057,928
 
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex
  
0.25
   
10/07/19
   
(29,730,396
)  
2,123,405
 
Swap agreement with Royal Bank of Canada based on Bloomberg WTI Crude Oil Subindex
  
0.23
   
10/07/19
   
(27,375,112
)  
1,553,185
 
Swap agreement with Societe Generale based on Bloomberg WTI Crude Oil Subindex
  
0.25
   
10/07/19
   
(8,125,464
)  
548,761
 
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex
  
0.25
   
10/07/19
   
(32,567,716
)  
2,123,760
 
                 
  
   
   
Total Unrealized Appreciation
  $
10,407,039
 
                 
All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.
*Reflects the floating financing rate, as of September 30, 2017,2019, on the notional amount of the forwardswap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**For forwardswap agreements, a positive amount represents “long” exposure to the underlying commodity.benchmark index. A negative amount represents “short” exposure to the underlying commodity.benchmark index.

See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA SILVER

ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

   10   9   49   36 
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

   2,157   15,260   (18,669  50,360 

Forward agreements

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

Short-term U.S. government and agency obligations

   (722  336   (524  2,562 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

   (2,560  (10,650  22,420   10,510 

Forward agreements

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
418,817
  $
756,932
  $
1,205,353
  $
2,275,948
 
                 
Expenses
  
   
   
   
 
Management fee
  
192,976
   
398,102
   
549,398
   
1,355,636
 
Brokerage commissions
  
25,558
   
8,555
   
54,060
   
37,057
 
                 
Total expenses
  
218,534
   
406,657
   
603,458
   
1,392,693
 
                 
Net investment income (loss)
  
200,283
   
350,275
   
601,895
   
883,255
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(2,990,011
)  
(4,789,930
)  
(8,173,917
)  
(12,919,916
)
Swap agreements
  
(9,243,269
)  
(20,100,329
)  
(3,091,400
)  
(87,730,014
)
Short-term U.S. government and agency obligations
  
—  
   
6
   
1,200
   
364
 
                 
Net realized gain (loss)
  
(12,233,280
)  
(24,890,253
)  
(11,264,117
)  
(100,649,566
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
2,788,436
   
4,117,281
   
(2,034,212
)  
917,980
 
Swap agreements
  
20,406,491
   
11,474,108
   
(10,239,687
)  
8,313,050
 
Short-term U.S. government and agency obligations
  
4,208
   
(16,865
)  
11,306
   
12,184
 
                 
Change in net unrealized appreciation (depreciation)
  
23,199,135
   
15,574,524
   
(12,262,593
)  
9,243,214
 
                 
Net realized and unrealized gain (loss)
  
10,965,855
   
(9,315,729
)  
(23,526,710
)  
(91,406,352
)
                 
Net income (loss)
 $
11,166,138
  $
(8,965,454
) $
(22,924,815
) $
(90,523,097
)
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA SILVER

STATEMENTULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $275,779,940 

Addition of 950,000 shares

   31,641,699 

Redemption of 2,000,000 shares

   (75,235,084
  

 

 

 

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

   (43,593,385
  

 

 

 

Net investment income (loss)

   (474,113

Net realized gain (loss)

   20,326,492 

Change in net unrealized appreciation/depreciation

   (7,233,752
  

 

 

 

Net income (loss)

   12,618,627 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $244,805,182 
  

 

 

 

 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
68,096,767
  $
177,512,584
  $
114,377,311
  $
225,843,284
 
                 
Addition of 8,450,000, 2,300,000, 16,700,000 and 11,000,000 shares, respectively
  
127,731,733
   
34,521,758
   
270,984,807
   
200,705,962
 
Redemption of 6,850,000, 3,150,000, 14,900,000 and 9,250,000 shares, respectively
  
(114,523,365
)  
(53,025,419
)  
(269,966,030
)  
(185,982,680
)
                 
Net addition (redemption) of 1,600,000, (850,000), 1,800,000 and 1,750,000 shares, respectively
  
13,208,368
   
(18,503,661
)  
1,018,777
   
14,723,282
 
                 
Net investment income (loss)
  
200,283
   
350,275
   
601,895
   
883,255
 
Net realized gain (loss)
  
(12,233,280
)  
(24,890,253
)  
(11,264,117
)  
(100,649,566
)
Change in net unrealized appreciation (depreciation)
  
23,199,135
   
15,574,524
   
(12,262,593
)  
9,243,214
 
                 
Net income (loss)
  
11,166,138
   
(8,965,454
)  
(22,924,815
)  
(90,523,097
)
                 
Shareholders’ equity, end of period
 $
92,471,273
  $
150,043,469
  $
92,471,273
  $
150,043,469
 
                 
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA SILVER

ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $12,618,627  $183,004,081 

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

   

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

   1,320   5,610 

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

   —     (2,561,000

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

   (1,281,165,030  (980,153,795

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

   1,307,344,193   837,326,976 

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

   (1,496,972  (587,744

Net realized gain (loss) on investments

   524   (2,562

Change in unrealized appreciation/depreciation on investments

   7,256,172   (9,833,717

Decrease (Increase) in receivable on futures contracts

   —     (260

Increase (Decrease) in payable to Sponsor

   (13,453  112,343 

Increase (Decrease) in payable on futures contracts

   (220  (1,875
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   44,545,161   27,308,057 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   31,641,699   55,483,218 

Payment on shares redeemed

   (75,235,084  (82,652,813
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (43,593,385  (27,169,595
  

 

 

  

 

 

 

Net increase (decrease) in cash

   951,776   138,462 

Cash, beginning of period

   1,664,601   243,900 
  

 

 

  

 

 

 

Cash, end of period

  $2,616,377  $382,362 
  

 

 

  

 

 

 

         
 
Nine Months Ended
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(22,924,815
) $
(90,523,097
)
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
  
(1,337,379,641
)  
(5,785,942,457
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
1,291,301,091
   
5,934,983,255
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(808,322
)  
(2,126,115
)
Net realized gain (loss) on investments
  
(1,200
)  
(364
)
Change in unrealized appreciation (depreciation) on investments
  
10,228,381
   
(8,325,234
)
Decrease (Increase) in receivable on futures contracts
  
(60,224
)  
—  
 
Decrease (Increase) in interest receivable
  
(16,634
)  
(9,629
)
Increase (Decrease) in payable to Sponsor
  
(14,088
)  
(69,415
)
Increase (Decrease) in payable on futures contracts
  
902,983
   
(25,247
)
         
Net cash provided by (used in) operating activities
  
(58,772,469
)  
47,961,697
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
296,443,692
   
197,986,961
 
Payment on shares redeemed
  
(264,430,559
)  
(185,982,680
)
         
Net cash provided by (used in) financing activities
  
32,013,133
   
12,004,281
 
         
Net increase (decrease) in cash
  
(26,759,336
)  
59,965,978
 
Cash, beginning of period
  
39,972,133
   
3,688,091
 
         
Cash, end of period
 $
13,212,797
  $
63,654,069
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA EURO

ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $2,929,230   $606,393 

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

   10,995,765    11,891,831 

Unrealized appreciation on foreign currency forward contracts

   82,079    2,548 
  

 

 

   

 

 

 

Total assets

   14,007,074    12,500,772 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   10,027    9,629 

Unrealized depreciation on foreign currency forward contracts

   291,439    576,558 
  

 

 

   

 

 

 

Total liabilities

   301,466    586,187 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   13,705,608    11,914,585 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $14,007,074   $12,500,772 
  

 

 

   

 

 

 

Shares outstanding

   800,000    850,000 
  

 

 

   

 

 

 

Net asset value per share

  $17.13   $14.02 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $17.10   $14.09 
  

 

 

   

 

 

 

 
September 30, 2019
 
 
 
 
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $
1,995,937
and $299,715​​​​​​​, respectively)
 $
1,996,475
  $
299,714
 
Cash
  
4,290,271
   
11,046,280
 
Segregated cash balances with brokers for futures contracts
  
1,462,600
   
7,709,942
 
Receivable on open futures contracts
  
337,237
   
3,096,239
 
Interest receivable
  
3,106
   
11,379
 
         
Total assets
  
8,089,689
   
22,163,554
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
  
—  
   
4,321,588
 
Payable to Sponsor
  
3,465
   
16,525
 
         
Total liabilities
  
3,465
   
4,338,113
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
8,086,224
   
17,825,441
 
         
Total liabilities and shareholders’ equity
 $
8,089,689
  $
22,163,554
 
         
Shares outstanding
  
274,832
   
824,832
 
         
Net asset value per share
 $
29.42
  $
21.61
 
         
Market value per share (Note 2)
 $
29.47
  $
21.22
 
         
See accompanying notes to financial statements.



Table of Contents
PROSHARES ULTRA EURO

ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

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

    

U.S. Treasury Bills^^:

    

1.025% due 10/12/17†

  $6,000,000   $5,998,434 

1.070% due 10/19/17†

   5,000,000    4,997,331 
    

 

 

 

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

    $10,995,765 
    

 

 

 

 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
  
   
 
(25% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.014% due 11/07/19
 $
2,000,000
  $
1,996,475
 
         
Total short-term U.S. government and agency obligations
(cost $1,995,937)
  
  $
1,996,475
 
         
Futures Contracts Sold
 
 
 
 
 
Unrealized
 
 
Number of
 
 
Notional Amount
 
 
Appreciation
 
 
Contracts
 
 
at Value
 
 
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2019
  
694
  $
16,170,200
  $
765,965
 
^^
Rates shown represent discount rate at the time of purchase.
​​​​​​​
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Investment Income
  
   
   
   
 
Interest
 $
25,657
  $
23,953
  $
133,810
  $
55,020
 
                 
Expenses
  
   
   
   
 
Management fee
  
12,382
   
17,108
   
61,451
   
46,555
 
Brokerage commissions
  
8,619
   
5,183
   
36,500
   
18,954
 
                 
Total expenses
  
21,001
   
22,291
   
97,951
   
65,509
 
                 
Net investment income (loss)
  
4,656
   
1,662
   
35,859
   
(10,489
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts
  
(68,026
)  
(265,373
)  
14,701,140
   
(277,886
)
                 
Net realized gain (loss)
  
(68,026
)  
(265,373
)  
14,701,140
   
(277,886
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
790,889
   
(12,945
)  
(10,072,024
)  
1,090,376
 
Short-term U.S. government and agency obligations
  
422
   
(511
)  
539
   
(322
)
                 
Change in net unrealized appreciation (depreciation)
  
791,311
   
(13,456
)  
(10,071,485
)  
1,090,054
 
                 
Net realized and unrealized gain (loss)
  
723,285
   
(278,829
)  
4,629,655
   
812,168
 
                 
Net income (loss)
 $
727,941
  $
(277,167
) $
4,665,514
  $
801,679
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
3,838,842
  $
6,746,849
  $
17,825,441
  $
6,902,743
 
                 
Addition of 300,000​​​​​​​, 200,000, 800,000 and 550,000 shares, respectively
  
7,960,389
   
7,126,477
   
18,993,016
   
20,267,487
 
Redemption of 150,000, 100,000, 1,350,000 and 450,000 shares, respectively
  
(4,440,948
)  
(3,811,907
)  
(33,397,747
)  
(18,187,657
)
                 
Net addition (redemption) of 150,000, 100,000, (550,000) and 100,000 shares, respectively
  
3,519,441
   
3,314,570
   
(14,404,731
)  
2,079,830
 
                 
Net investment income (loss)
  
4,656
   
1,662
   
35,859
   
(10,489
)
Net realized gain (loss)
  
(68,026
)  
(265,373
)  
14,701,140
   
(277,886
)
Change in net unrealized appreciation (depreciation)
  
791,311
   
(13,456
)  
(10,071,485
)  
1,090,054
 
                 
Net income (loss)
  
727,941
   
(277,167
)  
4,665,514
   
801,679
 
                 
Shareholders’ equity, end of period
 $
8,086,224
  $
9,784,252
  $
8,086,224
  $
9,784,252
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
Nine Months Ended
 
 
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
4,665,514
  $
801,679
 
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
  
(196,007,876
)  
(405,049,035
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
194,350,000
   
406,000,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(38,346
)  
(45,080
)
Change in unrealized appreciation (depreciation) on investments
  
(539
)  
322
 
Decrease (Increase) in receivable on futures contracts
  
2,759,002
   
—  
 
Decrease (Increase) in interest receivable
  
8,273
   
(1,400
)
Increase (Decrease) in payable to Sponsor
  
(13,060
)  
2,037
 
Increase (Decrease) in payable on futures contracts
  
—  
   
17,695
 
         
Net cash provided by (used in) operating activities
  
5,722,968
   
1,726,218
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
18,993,016
   
18,487,155
 
Payment on shares redeemed
  
(37,719,335
)  
(18,187,657
)
         
Net cash provided by (used in) financing activities
  
(18,726,319
)  
299,498
 
         
Net increase (decrease) in cash
  
(13,003,351
)  
2,025,716
 
Cash, beginning of period
  
18,756,222
   
3,010,206
 
         
Cash, end of period
 $
5,752,871
  $
5,035,922
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $121,752,272 and $121,798,837, respectively)
 $
121,779,689
  $
121,801,685
 
Cash
  
11,534,341
   
33,215,995
 
Segregated cash balances with brokers for foreign currency forward contracts
  
—  
   
3,138,000
 
Unrealized appreciation on foreign currency forward contracts
  
2,834,229
   
104,074
 
Interest receivable
  
37,897
   
15,999
 
         
Total assets
  
136,186,156
   
158,275,753
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable for capital shares redeemed
  
—  
   
2,427,020
 
Payable to Sponsor
  
103,927
   
128,696
 
Unrealized depreciation on foreign currency forward contracts
  
162,041
   
1,599,878
 
         
Total liabilities
  
265,968
   
4,155,594
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
135,920,188
   
154,120,159
 
         
Total liabilities and shareholders’ equity
 $
136,186,156
  $
158,275,753
 
         
Shares outstanding
  
4,850,000
   
6,350,000
 
         
Net asset value per share
 $
28.02
  $
24.27
 
         
Market value per share (Note 2)
 $
28.03
  $
24.25
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(90% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
6,000,000
  $
5,997,293
 
2.014% due 11/07/19
  
107,000,000
   
106,811,402
 
1.843% due 12/05/19
  
9,000,000
   
8,970,994
 
         
Total short-term U.S. government and agency obligations
(cost $121,752,272)
  
  $
121,779,689
 
         
Foreign Currency Forward Contracts^

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

Contracts to Purchase

      

Euro with Goldman Sachs International

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

Euro with UBS AG

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

 

 

 
      $(291,439
      

 

 

 

Contracts to Sell

      

Euro with Goldman Sachs International

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

Euro with UBS AG

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

 

 

 
      $82,079 
      

 

 

 

Contracts
^
 
Settlement Date
  
Contract Amount
in Local Currency
  
Contract Amount
in U.S. Dollars
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
  
   
   
   
 
Euro with UBS AG
  
10/04/19
   
9,230,205
  $
10,062,455
  $
(162,041
)
                 
  
   
   
Total Unrealized Depreciation
  $
(162,041
)
                 
Contracts to Sell
  
   
   
   
 
Euro with Goldman Sachs International
  
10/04/19
   
(115,700,269
) $
(126,132,499
) $
1,313,662
 
Euro with UBS AG
  
10/04/19
   
(142,819,935
)  
(155,697,437
)  
1,520,567
 
                 
  
   
   
Total Unrealized Appreciation
  $
2,834,229
 
                 
All or partial amount pledged as collateral for foreign currency forward contracts.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates 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.


Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Investment Income
  
   
   
   
 
Interest
 $
689,247
  $
787,334
  $
2,269,169
  $
2,188,547
 
                 
Expenses
  
   
   
   
 
Management fee
  
317,568
   
410,731
   
991,761
   
1,321,368
 
                 
Total expenses
  
317,568
   
410,731
   
991,761
   
1,321,368
 
                 
Net investment income (loss)
  
371,679
   
376,603
   
1,277,408
   
867,179
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forward contracts
  
9,363,923
   
6,358,881
   
14,640,542
   
10,370,332
 
Short-term U.S. government and agency obligations
  
1,917
   
9
   
1,910
   
(219
)
                 
Net realized gain (loss)
  
9,365,840
   
6,358,890
   
14,642,452
   
10,370,113
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Foreign currency forward contracts
  
3,612,397
   
(2,962,684
)  
4,167,992
   
6,781,535
 
Short-term U.S. government and agency obligations
  
(900
)  
(20,359
)  
24,569
   
7,536
 
                 
Change in net unrealized appreciation (depreciation)
  
3,611,497
   
(2,983,043
)  
4,192,561
   
6,789,071
 
                 
Net realized and unrealized gain (loss)
  
12,977,337
   
3,375,847
   
18,835,013
   
17,159,184
 
                 
Net income (loss)
 $
13,349,016
  $
3,752,450
  $
20,112,421
  $
18,026,363
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
134,573,471
  $
177,734,261
  $
154,120,159
  $
202,548,197
 
                 
Addition of 100,000, 500,000, 450,000 and 1,500,000 shares, respectively
  
2,628,221
   
11,685,477
   
11,462,917
   
32,439,081
 
Redemption of 550,000, 1,000,000, 1,950,000 and 3,750,000 shares, respectively
  
(14,630,520
)  
(23,084,739
)  
(49,775,309
)  
(82,926,192
)
                 
Net addition (redemption) of (450,000), (500,000), (1,500,000) and (2,250,000) shares, respectively
  
(12,002,299
)  
(11,399,262
)  
(38,312,392
)  
(50,487,111
)
                 
Net investment income (loss)
  
371,679
   
376,603
   
1,277,408
   
867,179
 
Net realized gain (loss)
  
9,365,840
   
6,358,890
   
14,642,452
   
10,370,113
 
Change in net unrealized appreciation (depreciation)
  
3,611,497
   
(2,983,043
)  
4,192,561
   
6,789,071
 
                 
Net income (loss)
  
13,349,016
   
3,752,450
   
20,112,421
   
18,026,363
 
                 
Shareholders’ equity, end of period
 $
135,920,188
  $
170,087,449
  $
135,920,188
  $
170,087,449
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
         
 
Nine Months Ended
 
 
September 30,
 
 
2019
 
 
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
20,112,421
  $
18,026,363
 
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
  
(1,359,993,207
)  
(3,523,724,795
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
1,362,077,959
   
3,616,785,001
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(2,036,277
)  
(2,015,067
)
Net realized gain (loss) on investments
  
(1,910
)  
219
 
Change in unrealized appreciation (depreciation) on investments
  
(4,192,561
)  
(6,789,071
)
Decrease (Increase) in interest receivable
  
(21,898
)  
(24,967
)
Increase (Decrease) in payable to Sponsor
  
(24,769
)  
(39,634
)
         
Net cash provided by (used in) operating activities
  
15,919,758
   
102,218,049
 
         
Cash flow from financing activities
 
 
 
 
 
 
Proceeds from addition of shares
  
11,462,917
   
32,439,081
 
Payment on shares redeemed
  
(52,202,329
)  
(82,926,192
)
         
Net cash provided by (used in) financing activities
  
(40,739,412
)  
(50,487,111
)
         
Net increase (decrease) in cash
  
(24,819,654
)  
51,730,938
 
Cash, beginning of period
  
36,353,995
   
4,293,895
 
         
Cash, end of period
 $
11,534,341
  $
56,024,833
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
(unaudited)
 
 
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $7,981,995 and $3,989,775, respectively)
 $
7,982,681
  $
3,989,563
 
Cash
  
11,708,164
   
12,563,184
 
Segregated cash balances with brokers for futures contracts
  
616,500
   
38,148
 
Segregated cash balances with brokers for forward agreements
  
—  
   
2,502,000
 
Segregated cash balances with brokers for swap agreements
  
1,207,000
   
—  
 
Unrealized appreciation on swap agreements
  
662,229
   
—  
 
Receivable on open futures contracts
  
272,802
   
1,700
 
Interest receivable
  
19,132
   
10,500
 
         
Total assets
  
22,468,508
   
19,105,095
 
         
Liabilities and shareholders’ equity
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
Payable to Sponsor
  
14,985
   
15,312
 
Unrealized depreciation on forward agreements
  
—  
   
990,786
 
         
Total liabilities
  
14,985
   
1,006,098
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
 
 
 
 
 
 
Shareholders’ equity
  
22,453,523
   
18,098,997
 
         
Total liabilities and shareholders’ equity
 $
22,468,508
  $
19,105,095
 
         
Shares outstanding
  
396,977
   
246,978
 
         
Net asset value per share
 $
56.56
  $
73.28
 
         
Market value per share (Note 2)
 $
56.01
  $
72.84
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
 
Principal Amount
 
 
Value
 
Short-term U.S. government and agency obligations
  
   
 
(36​​​​​​​% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
2,000,000
  $
1,999,098
 
2.014% due 11/07/19
  
2,000,000
   
1,996,475
 
1.843% due 12/05/19
  
4,000,000
   
3,987,108
 
         
Total short-term U.S. government and agency obligations
(cost $7,981,995)
  
  $
7,982,681
 
         
Futures Contracts Sold     
 
Number of
Contracts
 
 
Notional Amount
at Value
 
 
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2019
  
131
  $
19,294,990
  $
540,364
 
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 Gold Subindex
  
0.25
%  
10/07/19
  $
(13,544,988
) $
349,289
 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
  
0.20
   
10/07/19
   
(6,689,210
)  
172,694
 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
  
0.25
   
10/07/19
   
(5,438,600
)  
140,246
 
                 
  
   
   
Total Unrealized Appreciation
  $
662,229
 
                 
All or partial amount pledged as collateral for swap agreements.
^The positions and counterparties herein are as of September 30, 2019. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.

*Reflects the floating financing rate, as of September 30, 2019, 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.



Table of Contents
PROSHARES ULTRA EURO

ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   (13  6   134   153 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   (331  (1,819  205   (452
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

                 
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
97,539
  $
118,392
  $
295,028
  $
323,515
 
                 
Expenses
  
   
   
   
 
Management fee
  
42,251
   
67,024
   
137,269
   
201,913
 
Brokerage commissions
  
1,607
   
8
   
4,025
   
36
 
                 
Total expenses
  
43,858
   
67,032
   
141,294
   
201,949
 
                 
Net investment income (loss)
  
53,681
   
51,360
   
153,734
   
121,566
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(944,994
)  
17,879
   
(1,622,936
)  
11,739
 
Swap agreements
  
(2,527,694
)  
—  
   
(3,801,579
)  
—  
 
Forward agreements
  
—  
   
4,907,434
   
(1,118,149
)  
3,216,619
 
Short-term U.S. government and agency obligations
  
355
   
—  
   
692
   
152
 
                 
Net realized gain (loss)
  
(3,472,333
)  
4,925,313
   
(6,541,972
)  
3,228,510
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
859,992
   
(4,060
)  
572,144
   
16,480
 
Swap agreements
  
1,846,133
   
—  
   
662,229
   
—  
 
Forward agreements
  
—  
   
(1,930,705
)  
990,786
   
1,834,164
 
Short-term U.S. government and agency obligations
  
(1,082
)  
(3,289
)  
898
   
739
 
                 
Change in net unrealized appreciation (depreciation)
  
2,705,043
   
(1,938,054
)  
2,226,057
   
1,851,383
 
                 
Net realized and unrealized gain (loss)
  
(767,290
)  
2,987,259
   
(4,315,915
)  
5,079,893
 
                 
Net income (loss)
 $
(713,609
) $
3,038,619
  $
(4,162,181
) $
5,201,459
 
                 
See accompanying notes to financial statements.

81

Table of Contents
PROSHARES ULTRA EURO

STATEMENTULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $11,914,585 

Addition of 1,200,000 shares

   18,469,355 

Redemption of 1,250,000 shares

   (19,683,442
  

 

 

 

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

   (1,214,087
  

 

 

 

Net investment income (loss)

   (26,051

Net realized gain (loss)

   2,666,306 

Change in net unrealized appreciation/depreciation

   364,855 
  

 

 

 

Net income (loss)

   3,005,110 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $13,705,608 
  

 

 

 

                 
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
18,158,403
  $
26,248,001
  $
18,098,997
  $
31,497,410
 
                 
Addition of 150,000, –, 550,000 and 250,000 shares, respectively
  
8,009,298
   
—  
   
36,655,009
   
16,527,151
 
Redemption of 50,000, –, 400,001 and 350,000 shares, respectively
  
(3,000,569
)  
—  
   
(28,138,302
)  
(23,939,400
)
                 
Net addition (redemption) of 100,000, –, 149,999 and (100,000) shares, respectively
  
5,008,729
   
—  
   
8,516,707
   
(7,412,249
)
                 
Net investment income (loss)
  
53,681
   
51,360
   
153,734
   
121,566
 
Net realized gain (loss)
  
(3,472,333
)  
4,925,313
   
(6,541,972
)  
3,228,510
 
Change in net unrealized appreciation (depreciation)
  
2,705,043
   
(1,938,054
)  
2,226,057
   
1,851,383
 
                 
Net income (loss)
  
(713,609
)  
3,038,619
   
(4,162,181
)  
5,201,459
 
                 
Shareholders’ equity, end of period
 $
22,453,523
  $
29,286,620
  $
22,453,523
  $
29,286,620
 
                 
See accompanying notes to financial statements.

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Table of Contents
PROSHARES ULTRA EURO

ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $3,005,110  $447,353 

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

   

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

   (40,818,978  (36,177,928

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

   41,785,306   38,263,779 

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

   (69,923  (18,054

Net realized gain (loss) on investments

   (134  (153

Change in unrealized appreciation/depreciation on investments

   (364,855  654,956 

Increase (Decrease) in payable to Sponsor

   398   (2,532
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   3,536,924   3,167,421 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   18,469,355   831,691 

Payment on shares redeemed

   (19,683,442  (4,027,778
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   (1,214,087  (3,196,087
  

 

 

  

 

 

 

Net increase (decrease) in cash

   2,322,837   (28,666

Cash, beginning of period

   606,393   227,310 
  

 

 

  

 

 

 

Cash, end of period

  $2,929,230  $198,644 
  

 

 

  

 

 

 

         
 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(4,162,181
) $
5,201,459
 
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
  
(329,807,586
)  
(1,219,069,079
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
325,976,425
   
1,236,398,357
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(160,367
)  
(323,484
)
Net realized gain (loss) on investments
  
(692
)  
(152
)
Change in unrealized appreciation (depreciation) on investments
  
(1,653,913
)  
(1,834,903
)
Decrease (Increase) in receivable on futures contracts
  
(271,102
)  
(580
)
Decrease (Increase) in interest receivable
  
(8,632
)  
—  
 
Increase (Decrease) in payable to Sponsor
  
(327
)  
(2,842
)
Increase (Decrease) in payable on futures contracts
  
—  
   
(2,420
)
         
Net cash provided by (used in) operating activities
  
(10,088,375
)  
20,366,356
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
36,655,009
   
16,527,151
 
Payment on shares redeemed
  
(28,138,302
)  
(23,939,400
)
         
Net cash provided by (used in) financing activities
  
8,516,707
   
(7,412,249
)
         
Net increase (decrease) in cash
  
(1,571,668
)  
12,954,107
 
Cash, beginning of period
  
15,103,332
   
1,035,445
 
         
Cash, end of period
 $
13,531,664
  $
13,989,552
 
         
See accompanying notes to financial statements.

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Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $1,542,516   $604,691 

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

   4,662,411    5,282,879 

Unrealized appreciation on foreign currency forward contracts

   12,351    379 
  

 

 

   

 

 

 

Total assets

   6,217,278    5,887,949 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable to Sponsor

   4,698    4,537 

Unrealized depreciation on foreign currency forward contracts

   407,660    342,455 
  

 

 

   

 

 

 

Total liabilities

   412,358    346,992 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   5,804,920    5,540,957 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $6,217,278   $5,887,949 
  

 

 

   

 

 

 

Shares outstanding

   99,970    99,970 
  

 

 

   

 

 

 

Net asset value per share

  $58.07   $55.43 
  

 

 

   

 

 

 

Market value per share (Note 2)

  $58.17   $55.52 
  

 

 

   

 

 

 

         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $5,989,336 and $3,294,789, respectively)
 $
5,990,736
  $
3,294,766
 
Cash
  
7,141,865
   
5,677,665
 
Segregated cash balances with brokers for futures contracts
  
889,350
   
44,431
 
Segregated cash balances with brokers for forward agreements
  
—  
   
4,554,000
 
Unrealized appreciation on swap agreements
  
975,827
   
—  
 
Receivable on open futures contracts
  
441,102
   
—  
 
Interest receivable
  
12,400
   
7,847
 
         
Total assets
  
15,451,280
   
13,578,709
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable on open futures contracts
  
—  
   
5,720
 
Payable to Sponsor
  
10,187
   
11,115
 
Unrealized depreciation on forward agreements
  
—  
   
1,793,011
 
         
Total liabilities
  
10,187
   
1,809,846
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
15,441,093
   
11,768,863
 
         
Total liabilities and shareholders’ equity
 $
15,451,280
  $
13,578,709
 
         
Shares outstanding
  
516,976
   
316,976
 
         
Net asset value per share
 $
29.87
  $
37.13
 
         
Market value per share (Note 2)
 $
29.60
  $
37.10
 
         
See accompanying notes to financial statements.

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Table of Contents
PROSHARES ULTRA YEN

ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

2019

(unaudited)

   Principal Amount   Value 

Short-term U.S. government and agency obligations

 

  

(80% of shareholders’ equity)

 

  

U.S. Treasury Bills^^:

    

1.089% due 10/12/17†

  $673,000   $672,824 

0.962% due 11/30/17

   2,000,000    1,996,771 

1.040% due 02/01/18

   2,000,000    1,992,816 
    

 

 

 

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

    $4,662,411 
    

 

 

 

Foreign Currency Forward Contracts^

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

Contracts to Purchase

      

Yen with Goldman Sachs International

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

Yen with UBS AG

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

 

 

 
      $(407,660
      

 

 

 

Contracts to Sell

      

Yen with Goldman Sachs International

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

Yen with UBS AG

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

 

 

 
      $12,351 
      

 

 

 

         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(39% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
1,000,000
  $
999,549
 
2.014% due 11/07/19
  
5,000,000
   
4,991,187
 
         
Total short-term U.S. government and agency obligations
(cost $5,989,336)
  
  $
5,990,736
 
         
Futures Contracts Sold
             
 
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2019
  
172
  $
14,618,280
  $
934,581
 
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 Silver Subindex
  
0.25
%  
10/07/19
  $
(5,463,022
) $
374,866
 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
  
0.25
   
10/07/19
   
(5,692,366
)  
253,496
 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
  
0.25
   
10/07/19
   
(5,063,730
)  
347,465
 
                 
  
   
   
Total Unrealized Appreciation
  $
975,827
 
                 
All or partial amount pledged as collateral for foreign currency forward contracts.swap agreements.
^The positions and counterparties herein are as of September 30, 2017.2019. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^Rates shown representsrepresent discount rate at the time of purchase.

*Reflects the floating financing rate, as of September 30, 2019, 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.

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PROSHARES ULTRA YEN

ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   (53  72   (85  72 
  

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

   (332  679   139   716 
  

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
72,984
  $
99,348
  $
229,545
  $
242,765
 
                 
Expenses
  
   
   
   
 
Management fee
  
30,418
   
58,074
   
109,073
   
155,203
 
Brokerage commissions
  
1,895
   
8
   
6,070
   
34
 
                 
Total expenses
  
32,313
   
58,082
   
115,143
   
155,237
 
                 
Net investment income (loss)
  
40,671
   
41,266
   
114,402
   
87,528
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(1,034,054
)  
18,150
   
(887,545
)  
20,132
 
Swap agreements
  
(4,483,605
)  
—  
   
(3,406,305
)  
—  
 
Forward agreements
  
—  
   
6,395,607
   
(2,144,498
)  
5,131,269
 
Short-term U.S. government and agency obligations
  
148
   
—  
   
226
   
(2,032
)
                 
Net realized gain (loss)
  
(5,517,511
)  
6,413,757
   
(6,438,122
)  
5,149,369
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
998,892
   
(2,340
)  
979,498
   
7,280
 
Swap agreements
  
1,682,380
   
—  
   
975,827
   
—  
 
Forward agreements
  
—  
   
(926,674
)  
1,793,011
   
2,242,274
 
Short-term U.S. government and agency obligations
  
(691
)  
(2,540
)  
1,423
   
1,732
 
                 
Change in net unrealized appreciation (depreciation)
  
2,680,581
   
(931,554
)  
3,749,759
   
2,251,286
 
                 
Net realized and unrealized gain (loss)
  
(2,836,930
)  
5,482,203
   
(2,688,363
)  
7,400,655
 
                 
Net income (loss)
 $
(2,796,259
) $
5,523,469
  $
(2,573,961
) $
7,488,183
 
                 
See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)

Shareholders’ equity, at December 31, 2016

  $5,540,957 

Net investment income (loss)

   (20,949

Net realized gain (loss)

   338,006 

Change in net unrealized appreciation/depreciation

   (53,094
  

 

 

 

Net income (loss)

   263,963 
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $5,804,920 
  

 

 

 

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
14,026,041
  $
23,192,780
  $
11,768,863
  $
14,806,259
 
                 
Addition of 300,000, –, 850,000 and 650,000 shares, respectively
  
8,840,384
   
—  
   
30,574,755
   
21,143,589
 
Redemption of 150,000, 150,000, 650,000 and 600,000 shares, respectively
  
(4,629,073
)  
(6,198,374
)  
(24,328,564
)  
(20,920,156
)
                 
Net addition (redemption) of 150,000, (150,000), 200,000 and 50,000 shares, respectively
  
4,211,311
   
(6,198,374
)  
6,246,191
   
223,433
 
                 
Net investment income (loss)
  
40,671
   
41,266
   
114,402
   
87,528
 
Net realized gain (loss)
  
(5,517,511
)  
6,413,757
   
(6,438,122
)  
5,149,369
 
Change in net unrealized appreciation (depreciation)
  
2,680,581
   
(931,554
)  
3,749,759
   
2,251,286
 
                 
Net income (loss)
  
(2,796,259
)  
5,523,469
   
(2,573,961
)  
7,488,183
 
                 
Shareholders’ equity, end of period
 $
15,441,093
  $
22,517,875
  $
15,441,093
  $
22,517,875
 
                 
See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016 

Cash flow from operating activities

   

Net income (loss)

  $263,963  $1,970,080 

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

   

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

   (16,968,160  (19,949,134

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

   17,610,089   17,932,716 

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

   (21,407  (11,808

Net realized gain (loss) on investments

   85   (72

Change in unrealized appreciation/depreciation on investments

   53,094   267,574 

Increase (Decrease) in payable to Sponsor

   161   1,405 
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   937,825   210,761 
  

 

 

  

 

 

 

Cash flow from financing activities

   

Payment on shares redeemed

   —     (199
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   —     (199
  

 

 

  

 

 

 

Net increase (decrease) in cash

   937,825   210,562 

Cash, beginning of period

   604,691   147,371 
  

 

 

  

 

 

 

Cash, end of period

  $1,542,516  $357,933 
  

 

 

  

 

 

 

         
 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(2,573,961
) $
7,488,183
 
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
  
(248,501,449
)  
(786,945,031
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
245,938,061
   
792,071,519
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(130,933
)  
(242,734
)
Net realized gain (loss) on investments
  
(226
)  
2,032
 
Change in unrealized appreciation (depreciation) on investments
  
(2,770,261
)  
(2,244,006
)
Decrease (Increase) in receivable on futures contracts
  
(441,102
)  
—  
 
Decrease (Increase) in interest receivable
  
(4,553
)  
—  
 
Increase (Decrease) in payable to Sponsor
  
(928
)  
482
 
Increase (Decrease) in payable on futures contracts
  
(5,720
)  
890
 
         
Net cash provided by (used in) operating activities
  
(8,491,072
)  
10,131,335
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
30,574,755
   
21,143,589
 
Payment on shares redeemed
  
(24,328,564
)  
(24,091,933
)
         
Net cash provided by (used in) financing activities
  
6,246,191
   
(2,948,344
)
         
Net increase (decrease) in cash
  
(2,244,881
)  
7,182,991
 
Cash, beginning of period
  
10,276,096
   
1,363,644
 
         
Cash, end of period
 $
8,031,215
  $
8,546,635
 
         
See accompanying notes to financial statements.

88

Table of Contents
PROSHARES TRUST II

COMBINED ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

   September 30, 2017
(unaudited)
   December 31, 2016 

Assets

    

Cash

  $59,037,500   $39,482,473 

Segregated cash balances with brokers for futures contracts

   378,413,556    180,212,984 

Segregated cash balances with brokers for forward agreements

   738,500    —   

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

   3,181,660,408    3,038,848,441 

Unrealized appreciation on swap agreements

   40,796,900    55,358,571 

Unrealized appreciation on forward agreements

   5,114,038    4,417,812 

Unrealized appreciation on foreign currency forward contracts

   14,377,002    33,392,354 

Receivable from capital shares sold

   17,433,038    
—  
 

Receivable on open futures contracts

   58,287,553    41,862,862 

Offering costs (Note 5)

   142,300    
—  
 

Limitation by Sponsor

   37,387    
—  
 
  

 

 

   

 

 

 

Total assets

   3,756,038,182    3,393,575,497 
  

 

 

   

 

 

 

Liabilities and shareholders’ equity

    

Liabilities

    

Payable for capital shares redeemed

   118,627,346    71,525,035 

Payable on open futures contracts

   25,331,097    3,972,621 

Brokerage commissions and fees payable

   
—  
 
   2,909 

Payable to Sponsor

   2,926,556    2,722,696 

Payable for offering costs

   296,800    
—  
 

Unrealized depreciation on swap agreements

   13,678,377    12,206,881 

Unrealized depreciation on forward agreements

   36,697,229    25,407,296 

Unrealized depreciation on foreign currency forward contracts

   1,835,099    1,400,572 
  

 

 

   

 

 

 

Total liabilities

   199,392,504    117,238,010 
  

 

 

   

 

 

 

Commitments and Contingencies (Note 2)

    

Shareholders’ equity

    

Shareholders’ equity

   3,556,645,678    3,276,337,487 
  

 

 

   

 

 

 

Total liabilities and shareholders’ equity

  $3,756,038,182   $3,393,575,497 
  

 

 

   

 

 

 

Shares outstanding

   118,168,916    90,235,707 
  

 

 

   

 

 

 

         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $28,929,320 and $34,950,807, respectively)
 $
28,931,063
  $
34,951,229
 
Cash
  
11,737,227
   
21,879,254
 
Segregated cash balances with brokers for foreign currency forward contracts
  
—  
   
1,691,000
 
Unrealized appreciation on foreign currency forward contracts
  
395,855
   
678,152
 
Interest receivable
  
34,832
   
14,973
 
         
Total assets
  
41,098,977
   
59,214,608
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable to Sponsor
  
32,141
   
49,037
 
Unrealized depreciation on foreign currency forward contracts
  
20,136
   
3,801,896
 
         
Total liabilities
  
52,277
   
3,850,933
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
41,046,700
   
55,363,675
 
         
Total liabilities and shareholders’ equity
 $
41,098,977
  $
59,214,608
 
         
Shares outstanding
  
549,290
   
749,290
 
         
Net asset value per share
 $
74.73
  $
73.89
 
         
Market value per share (Note 2)
 $
74.69
  $
73.86
 
         
See accompanying notes to financial statements.

89

Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTSULTRASHORT YEN

SCHEDULE OF OPERATIONS

INVESTMENTS

SEPTEMBER 30, 2019
(unaudited)

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

Investment Income

     

Interest

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

 

 

  

 

 

  

 

 

  

 

 

 

Expenses

     

Management fee

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

Brokerage commissions and fees

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

Offering costs

   74,810   —     154,500   —   

Limitation by Sponsor

   (12,787  —     (37,387  —   

Reduction in Limitation by Sponsor

   5,818   —     —     —   
  

 

 

  

 

 

  

 

 

  

 

 

 

Total expenses

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

 

 

  

 

 

  

 

 

  

 

 

 

Net investment income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Realized and unrealized gain (loss) on investment activity

     

Net realized gain (loss) on

     

Futures contracts

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

Swap agreements

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

Forward agreements

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

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation on

     

Futures contracts

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

Swap agreements

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

Forward agreements

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

Foreign currency forward contracts

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

Short-term U.S. government and agency obligations

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

 

 

  

 

 

  

 

 

  

 

 

 

Change in net unrealized appreciation/depreciation

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

 

 

  

 

 

  

 

 

  

 

 

 

Net realized and unrealized gain (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

Net income (loss)

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

 

 

  

 

 

  

 

 

  

 

 

 

         
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(70% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
2,000,000
  $
1,999,098
 
1.871% due 11/07/19
  
13,000,000
   
12,977,086
 
1.843% due 12/05/19
  
14,000,000
   
13,954,879
 
         
Total short-term U.S. government and agency obligations
(cost $28,929,320)
  
  $
28,931,063
 
         
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 UBS AG
  
10/04/19
   
313,469,141
  $
2,899,650
  $
(20,136
)
                 
  
   
   
Total Unrealized Depreciation
  $
(20,136
)
                 
Contracts to Sell
  
   
   
   
 
Yen with Goldman Sachs International
  
10/04/19
   
(4,504,005,190
) $
(41,662,926
) $
196,246
 
Yen with UBS AG
  
10/04/19
   
(4,679,302,619
)  
(43,284,462
)  
199,609
 
                 
  
   
   
Total Unrealized Appreciation
  $
395,855
 
                 
*All or partial amount pledged as collateral for foreign currency forward contracts.
^The operations includepositions and counterparties herein are as of September 30, 2019. The Fund continually evaluates 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 activitytime of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity Fund through September 1, 2016 (dates of liquidation). See Note 1.purchase.

See accompanying notes to financial statements.

90

Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

OPERATIONS

(unaudited)

Shareholders’ equity, at December 31, 2016

  $3,276,337,487 

Addition of 196,810,016 shares

   7,589,000,140 

Redemption of 168,876,807 shares

   (6,799,453,980
  

 

 

 

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

   789,546,160 
  

 

 

 

Net investment income (loss)

   (12,249,109

Net realized gain (loss)

   (443,027,657

Change in net unrealized appreciation/depreciation

   (53,961,203
  

 

 

 

Net income (loss)

   (509,237,969
  

 

 

 

Shareholders’ equity, at September 30, 2017

  $3,556,645,678 
  

 

 

 

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
242,826
  $
369,683
  $
833,627
  $
1,041,106
 
                 
Expenses
  
   
   
   
 
Management fee
  
105,189
   
190,805
   
352,973
   
629,165
 
                 
Total expenses
  
105,189
   
190,805
   
352,973
   
629,165
 
                 
Net investment income (loss)
  
137,637
   
178,878
   
480,654
   
411,941
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Foreign currency forward contracts
  
(177,933
)  
2,520,679
   
(3,121,903
)  
(398,300
)
Short-term U.S. government and agency obligations
  
(467
)  
—  
   
(539
)  
3
 
                 
Net realized gain (loss)
  
(178,400
)  
2,520,679
   
(3,122,442
)  
(398,297
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Foreign currency forward contracts
  
792,522
   
2,284,335
   
3,499,463
   
1,450,390
 
Short-term U.S. government and agency obligations
  
(9,100
)  
(9,361
)  
1,321
   
5,875
 
                 
Change in net unrealized appreciation (depreciation)
  
783,422
   
2,274,974
   
3,500,784
   
1,456,265
 
                 
Net realized and unrealized gain (loss)
  
605,022
   
4,795,653
   
378,342
   
1,057,968
 
                 
Net income (loss)
 $
742,659
  $
4,974,531
  $
858,996
  $
1,469,909
 
                 
See accompanying notes to financial statements.

91

Table of Contents
PROSHARES TRUST II

COMBINED ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

   Nine Months Ended
September 30,
 
  2017  2016* 

Cash flow from operating activities

   

Net income (loss)

  $(509,237,969 $(1,169,968,345

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

   

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

   (198,200,572  114,083,793 

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

   —     (27,493,000

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

   (738,500  (12,334,000

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

   —     (17,077,000

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

   (15,422,910,140  (14,039,604,848

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

   15,297,219,736   13,684,559,003 

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

   (16,996,897  (6,517,397

Net realized gain (loss) on investments

   60,265   24,164 

Change in unrealized appreciation/depreciation on investments

   45,891,822   (168,952,913

Decrease (Increase) in receivable from counterparty

   —     (17,625,333

Decrease (Increase) in receivable on futures contracts

   (16,424,691  19,610,507 

Decrease (Increase) in Limitation by Sponsor

   (37,387  —   

Change in offering cost

   (142,300  —   

Increase (Decrease) in payable to Sponsor

   203,860   24,225 

Increase (Decrease) in brokerage commissions and fees payable

   (2,909  (24,694

Increase (Decrease) in payable for counterparty

   —     1,736,880 

Increase (Decrease) in payable on futures contracts

   21,358,476   30,601,598 

Increase (Decrease) in payable for offering costs

   296,800   —   
  

 

 

  

 

 

 

Net cash provided by (used in) operating activities

   (799,660,406  (1,608,957,360
  

 

 

  

 

 

 

Cash flow from financing activities

   

Proceeds from addition of shares

   7,571,567,102   8,446,268,126 

Payment on shares redeemed

   (6,752,351,669  (6,848,020,624
  

 

 

  

 

 

 

Net cash provided by (used in) financing activities

   819,215,433   1,598,247,502 
  

 

 

  

 

 

 

Net increase (decrease) in cash

   19,555,027   (10,709,858

Cash, beginning of period

   39,482,599   48,049,225 
  

 

 

  

 

 

 

Cash, end of period

  $59,037,626  $37,339,367 
  

 

 

  

 

 

 

*The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity Fund through September 1, 2016 (dates of liquidation). See Note 1.

                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
47,695,345
  $
84,457,545
  $
55,363,675
  $
131,077,453
 
                 
Addition of
,
, 450,000 and 100,000 shares, respectively
  
—  
   
—  
   
34,403,213
   
7,078,646
 
Redemption of 100,000, 150,000, 650,000 and 850,000 shares, respectively
  
(7,391,304
)  
(11,275,032
)  
(49,579,184
)  
(61,468,964
)
                 
Net addition (redemption) of (100,000), (150,000), (200,000) and (750,000) shares, respectively
  
(7,391,304
)  
(11,275,032
)  
(15,175,971
)  
(54,390,318
)
                 
Net investment income (loss)
  
137,637
   
178,878
   
480,654
   
411,941
 
Net realized gain (loss)
  
(178,400
)  
2,520,679
   
(3,122,442
)  
(398,297
)
Change in net unrealized appreciation (depreciation)
  
783,422
   
2,274,974
   
3,500,784
   
1,456,265
 
                 
Net income (loss)
  
742,659
   
4,974,531
   
858,996
   
1,469,909
 
                 
Shareholders’ equity, end of period
 $
41,046,700
  $
78,157,044
  $
41,046,700
  $
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,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
858,996
  $
1,469,909
 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
  
   
 
Purchases of short-term U.S. government and agency obligations
  
(632,231,535
)  
(2,653,216,466
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
638,904,665
   
2,738,199,781
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(652,182
)  
(1,030,832
)
Net realized gain (loss) on investments
  
539
   
(3
)
Change in unrealized appreciation (depreciation) on investments
  
(3,500,784
)  
(1,456,265
)
Decrease (Increase) in interest receivable
  
(19,859
)  
(2,703
)
Increase (Decrease) in payable to Sponsor
  
(16,896
)  
(47,726
)
         
Net cash provided by (used in) operating activities
  
3,342,944
   
83,915,695
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
34,403,213
   
7,078,646
 
Payment on shares redeemed
  
(49,579,184
)  
(65,228,947
)
         
Net cash provided by (used in) financing activities
  
(15,175,971
)  
(58,150,301
)
         
Net increase (decrease) in cash
  
(11,833,027
)  
25,765,394
 
Cash, beginning of period
  
23,570,254
   
1,582,684
 
         
Cash, end of period
 $
11,737,227
  $
27,348,078
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $
19,969,188
and $
, respectively)
 $
19,971,066
  $
—  
 
Cash
  
24,037,268
   
48,860,400
 
Segregated cash balances with brokers for futures contracts
  
1,715,657
   
8,682,024
 
Interest receivable
  
47,135
   
29,104
 
         
Total assets
  
45,771,126
   
57,571,528
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable for capital shares redeemed
  
—  
   
674,832
 
Payable on open futures contracts
  
810,277
   
565,495
 
Payable to Sponsor
  
27,785
   
32,080
 
         
Total liabilities
  
838,062
   
1,272,407
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
44,933,064
   
56,299,121
 
         
Total liabilities and shareholders’ equity
 $
45,771,126
  $
57,571,528
 
         
Shares outstanding
  
1,912,403
   
2,112,403
 
         
Net asset value per share
 $
23.50
  $
26.65
 
         
Market value per share (Note 2)
 $
23.67
  $
26.74
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(44% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
1.757% due 10/24/19
 $
10,000,000
  $
9,988,692
 
1.985% due 11/07/19
  
10,000,000
   
9,982,374
 
         
Total short-term U.S. government and agency obligations
(cost $19,969,188)
  
  $
19,971,066
 
         
Futures Contracts Purchased
 
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - CBOE, expires January 2020
  
432
  $
8,132,400
  $
789,377
 
VIX Futures - CBOE, expires February 2020
  
786
   
14,992,950
   
929,081
 
VIX Futures - CBOE, expires March 2020
  
786
   
14,992,950
   
243,813
 
VIX Futures - CBOE, expires April 2020
  
354
   
6,805,650
   
18,650
 
             
   
   
  $
1,980,921
 
             
All or partial amount pledged as collateral
for futures contracts.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
227,815
  $
61,731
  $
718,946
  $
171,777
 
                 
Expenses
  
   
   
   
 
Management fee
  
90,860
   
39,915
   
279,430
   
137,319
 
Brokerage commissions
  
5,777
   
1,277
   
25,466
   
15,635
 
Brokerage fees
  
1,681
   
—  
   
1,681
   
—  
 
                 
Total expenses
  
98,318
   
41,192
   
306,577
   
152,954
 
                 
Net investment income (loss)
  
129,497
   
20,539
   
412,369
   
18,823
 
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
1,477,618
   
(1,922,746
)  
(5,577,673
)  
2,044,708
 
Short-term U.S. government and agency obligations
  
—  
   
—  
   
8
   
—  
 
                 
Net realized gain (loss)
  
1,477,618
   
(1,922,746
)  
(5,577,665
)  
2,044,708
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
2,654,603
   
(253,265
)  
(1,777,185
)  
1,583,775
 
Short-term U.S. government and agency obligations
  
(4,586
)  
—  
   
1,878
   
(187
)
                 
Change in net unrealized appreciation (depreciation)
  
2,650,017
   
(253,265
)  
(1,775,307
)  
1,583,588
 
                 
Net realized and unrealized gain (loss)
  
4,127,635
   
(2,176,011
)  
(7,352,972
)  
3,628,296
 
                 
Net income (loss)
 $
4,257,132
  $
(2,155,472
) $
(6,940,603
) $
3,647,119
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
37,756,409
  $
19,864,692
  $
56,299,121
  $
26,347,948
 
                 
Addition of 350,000, 50,000, 1,125,000 and 700,000 shares, respectively
  
7,593,407
   
1,061,436
   
24,946,172
   
15,131,247
 
Redemption of 200,000,
, 1,325,000 and 1,025,000 shares, respectively
  
(4,673,884
)  
—  
   
(29,371,626
)  
(26,355,658
)
                 
Net addition (redemption) of 150,000, 50,000, (200,000) and (325,000) shares, respectively
  
2,919,523
   
1,061,436
   
(4,425,454
)  
(11,224,411
)
                 
Net investment income (loss)
  
129,497
   
20,539
   
412,369
   
18,823
 
Net realized gain (loss)
  
1,477,618
   
(1,922,746
)  
(5,577,665
)  
2,044,708
 
Change in net unrealized appreciation (depreciation)
  
2,650,017
   
(253,265
)  
(1,775,307
)  
1,583,588
 
                 
Net income (loss)
  
4,257,132
   
(2,155,472
)  
(6,940,603
)  
3,647,119
 
                 
Shareholders’ equity, end of period
 $
44,933,064
  $
18,770,656
  $
44,933,064
  $
18,770,656
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
 
Nine Months Ended
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(6,940,603
) $
3,647,119
 
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
  
(1,149,234,856
)  
(1,112,899,672
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
1,129,579,598
   
1,134,000,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(313,922
)  
(107,000
)
Net realized gain (loss) on investments
  
(8
)  
—  
 
Change in unrealized appreciation (depreciation) on investments
  
(1,878
)  
187
 
Decrease (Increase) in receivable on futures contracts
  
—  
   
170,015
 
Decrease (Increase) in interest receivable
  
(18,031
)  
(4,289
)
Increase (Decrease) in payable to Sponsor
  
(4,295
)  
(12,453
)
Increase (Decrease) in payable on futures contracts
  
244,782
   
95,114
 
         
Net cash provided by (used in) operating activities
  
(26,689,213
)  
24,889,021
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
24,946,172
   
15,131,247
 
Payment on shares redeemed
  
(30,046,458
)  
(27,413,967
)
         
Net cash provided by (used in) financing activities
  
(5,100,286
)  
(12,282,720
)
         
Net increase (decrease) in cash
  
(31,789,499
)  
12,606,301
 
Cash, beginning of period
  
57,542,424
   
6,266,358
 
         
Cash, end of period
 $
25,752,925
  $
18,872,659
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $191,676,882 and $114,780,333​​​​​​​, respectively)
 $
191,711,175
  $
114,785,002
 
Cash
  
110,166,843
   
23,538,353
 
Segregated cash balances with brokers for futures contracts
  
18,695,837
   
15,855,066
 
Receivable on open futures contracts
  
2,861,713
   
912,016
 
Interest receivable
  
101,793
   
16,966
 
         
Total assets
  
323,537,361
   
155,107,403
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable for capital shares redeemed
  
11,556,008
   
—  
 
Payable on open futures contracts
  
12,428,767
   
5,489,302
 
Payable to Sponsor
  
142,704
   
70,986
 
         
Total liabilities
  
24,127,479
   
5,560,288
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
299,409,882
   
149,547,115
 
         
Total liabilities and shareholders’ equity
 $
323,537,361
  $
155,107,403
 
         
Shares outstanding
  
15,601,317
   
3,876,317
 
         
Net asset value per share
 $
19.19
  $
38.58
 
         
Market value per share (Note 2)
 $
19.52
  $
38.61
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2019
(unaudited)
 
Principal Amount
  
Value
 
Short-term U.S. government and agency obligations
  
   
 
(64% of shareholders’ equity)
  
   
 
U.S. Treasury Bills
^^
:
  
   
 
2.089% due 10/10/19
 $
33,000,000
  $
32,985,110
 
1.757% due 10/24/19
  
10,000,000
   
9,988,692
 
1.969% due 11/07/19
  
149,000,000
   
148,737,373
 
         
Total short-term U.S. government and agency obligations
(cost $191,676,882)
  
  $
191,711,175
 
         
Futures Contracts Purchased
 
Number of
Contracts
  
Notional Amount
at Value
  
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - CBOE, expires October 2019
  
9,333
  $
159,827,625
  $
(2,535,512
)
VIX Futures - CBOE, expires November 2019
  
7,636
   
139,547,900
   
229,197
 
             
 
  
   
  $
(2,306,315
)
             
All or partial amount pledged as collateral for futures contracts.
^^Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
1,278,488
  $
366,829
  $
3,414,854
  $
878,858
 
                 
Expenses
  
   
   
   
 
Management fee
  
561,431
   
284,856
   
1,409,677
   
759,563
 
Brokerage commissions
  
96,608
   
31,960
   
179,790
   
133,431
 
Brokerage fees
  
5,028
   
—  
   
8,662
   
268
 
                 
Total expenses
  
663,067
   
316,816
   
1,598,129
   
893,262
 
                 
Net investment income (loss)
  
615,421
   
50,013
   
1,816,725
   
(14,404
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(15,928,298
)  
(24,690,361
)  
(82,123,131
)  
29,057,091
 
Short-term U.S. government and agency obligations
  
6,251
   
—  
   
7,980
   
(1,993
)
                 
Net realized gain (loss)
  
(15,922,047
)  
(24,690,361
)  
(82,115,151
)  
29,055,098
 
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
13,428,427
   
(16,539,938
)  
(19,684,760
)  
(2,351,601
)
Short-term U.S. government and agency obligations
  
(3,031
)  
—  
   
29,624
   
10,166
 
                 
Change in net unrealized appreciation (depreciation)
  
13,425,396
   
(16,539,938
)  
(19,655,136
)  
(2,341,435
)
                 
Net realized and unrealized gain (loss)
  
(2,496,651
)  
(41,230,299
)  
(101,770,287
)  
26,713,663
 
                 
Net income (loss)
 $
(1,881,230
) $
(41,180,286
) $
(99,953,562
) $
26,699,259
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Shareholders’ equity, beginning of period
 $
240,473,128
  $
114,097,930
  $
149,547,115
  $
137,741,560
 
                 
Addition of 8,875,000, 3,625,000, 21,000,000 and 7,300,000 shares, respectively
  
169,898,748
   
88,981,896
   
473,318,044
   
206,106,237
 
Redemption of 4,800,000, 300,000, 9,275,000 and 6,125,000 shares, respectively
  
(109,080,764
)  
(7,268,154
)  
(223,501,715
)  
(215,915,670
)
                 
Net addition (redemption) of 4,075,000, 3,325,000, 11,725,000 and 1,175,000 shares, respectively
  
60,817,984
   
81,713,742
   
249,816,329
   
(9,809,433
)
                 
Net investment income (loss)
  
615,421
   
50,013
   
1,816,725
   
(14,404
)
Net realized gain (loss)
  
(15,922,047
)  
(24,690,361
)  
(82,115,151
)  
29,055,098
 
Change in net unrealized appreciation (depreciation)
  
13,425,396
   
(16,539,938
)  
(19,655,136
)  
(2,341,435
)
                 
Net income (loss)
  
(1,881,230
)  
(41,180,286
)  
(99,953,562
)  
26,699,259
 
                 
Shareholders’ equity, end of period
 $
299,409,882
  $
154,631,386
  $
299,409,882
  $
154,631,386
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
         
 
Nine Months Ended
September 30,
 
 
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(99,953,562
) $
26,699,259
 
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
  
(1,532,412,598
)  
(4,972,527,143
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
1,457,989,132
   
5,107,914,327
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(2,465,103
)  
(533,407
)
Net realized gain (loss) on investments
  
(7,980
)  
1,993
 
Change in unrealized appreciation (depreciation) on investments
  
(29,624
)  
(10,166
)
Decrease (Increase) in receivable on futures contracts
  
(1,949,697
)  
(2,176,948
)
Decrease (Increase) in interest receivable
  
(84,827
)  
(37,100
)
Increase (Decrease) in payable to Sponsor
  
71,718
   
514
 
Increase (Decrease) in payable on futures contracts
  
6,939,465
   
3,331,846
 
         
Net cash provided by (used in) operating activities
  
(171,903,076
)  
162,663,175
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
473,318,044
   
206,106,237
 
Payment on shares redeemed
  
(211,945,707
)  
(219,347,383
)
         
Net cash provided by (used in) financing activities
  
261,372,337
   
(13,241,146
)
         
Net increase (decrease) in cash
  
89,469,261
   
149,422,029
 
Cash, beginning of period
  
39,393,419
   
3,715,132
 
         
Cash, end of period
 $
128,862,680
  $
153,137,161
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION
         
 
September 30, 2019
(unaudited)
  
December 31, 2018
 
Assets
  
   
 
Short-term U.S. government and agency obligations (Note 3) (cost $1,566,977,325 and $785,069,552, respectively)
 $
1,567,237,357
  $
785,085,860
 
Cash
  
555,200,406
   
729,259,407
 
Segregated cash balances with brokers for futures contracts
  
292,678,274
   
272,501,850
 
Segregated cash balances with brokers for forward agreements
  
—  
   
37,374,000
 
Segregated cash balances with brokers for foreign currency forward contracts
  
1,233,000
   
6,057,000
 
Segregated cash balances with brokers for swap agreements
  
34,057,000
   
53,486,000
 
Unrealized appreciation on swap agreements
  
12,045,095
   
20,646,726
 
Unrealized appreciation on forward agreements
  
—  
   
30,555,018
 
Unrealized appreciation on foreign currency forward contracts
  
3,231,612
   
1,023,384
 
Receivable from capital shares sold
  
19,471,964
   
54,572,979
 
Receivable on open futures contracts
  
99,911,172
   
79,899,070
 
Interest receivable
  
978,841
   
555,187
 
         
Total assets
  
2,586,044,721
   
2,071,016,481
 
         
Liabilities and shareholders’ equity
  
   
 
Liabilities
  
   
 
Payable for capital shares redeemed
  
22,199,391
   
11,136,094
 
Payable on open futures contracts
  
52,057,496
   
32,074,054
 
Payable to Sponsor
  
1,773,197
   
1,541,554
 
Unrealized depreciation on swap agreements
  
67,492,828
   
74,098,074
 
Unrealized depreciation on forward agreements
  
—  
   
2,783,797
 
Unrealized depreciation on foreign currency forward contracts
  
321,393
   
5,407,883
 
Non-recurring
fees and expenses payable
  
45,949
   
—  
 
         
Total liabilities
  
143,890,254
   
127,041,456
 
         
Commitments and Contingencies (Note 2)
  
 
   
 
 
Shareholders’ equity
  
   
 
Shareholders’ equity
  
2,442,154,467
   
1,943,975,025
 
         
Total liabilities and shareholders’ equity
 $
2,586,044,721
  $
2,071,016,481
 
         
Shares outstanding
  
100,867,767
   
75,842,768
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
                 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 
2019
  
2018
  
2019
  
2018
 
Investment Income
  
   
   
   
 
Interest
 $
10,780,563
  $
8,684,059
  $
33,442,044
  $
23,542,372
 
Expenses
  
   
   
   
 
Management fee
  
5,402,289
   
5,834,934
   
16,267,543
   
18,491,990
 
Brokerage commissions
  
1,246,155
   
1,360,732
   
3,525,847
   
4,925,964
 
Brokerage fees
  
8,250
   
4,836
   
11,975
   
152,026
 
Offering costs
  
—  
   
—  
   
—  
   
105,643
 
Limitation by Sponsor
  
—  
   
—  
   
—  
   
(27,133
)
Non-recurring
fees and expenses
  
—  
   
—  
   
426,058
   
—  
 
                 
Total expenses
  
6,656,694
   
7,200,502
   
20,231,423
   
23,648,490
 
                 
Net investment income (loss)
  
4,123,869
   
1,483,557
   
13,210,621
   
(106,118
)
                 
Realized and unrealized gain (loss) on investment activity
  
   
   
   
 
Net realized gain (loss) on
  
   
   
   
 
Futures contracts
  
(54,371,935
)  
(109,595,481
)  
(248,070,329
)  
(1,589,640,291
)
Swap agreements
  
116,192,266
   
(6,473,141
)  
102,855,828
   
36,862,469
 
Forward agreements
  
—  
   
(63,794,988
)  
33,894,330
   
(56,632,609
)
Foreign currency forward contracts
  
8,827,423
   
8,450,767
   
10,894,176
   
9,256,566
 
Short-term U.S. government and agency obligations
  
29,682
   
(1,130
)  
38,616
   
(272,534
)
                 
Net realized gain (loss)
  
70,677,436
   
(171,413,973
)  
(100,387,379
)  
(1,600,426,399
)
                 
Change in net unrealized appreciation (depreciation) on
  
   
   
   
 
Futures contracts
  
46,337,452
   
(49,385,316
)  
15,749,674
   
4,808,142
 
Swap agreements
  
(118,813,987
)  
(24,450,563
)  
(1,996,385
)  
(7,156,632
)
Forward agreements
  
—  
   
13,077,528
   
(27,771,221
)  
(26,671,951
)
Foreign currency forward contracts
  
4,177,793
   
(625,225
)  
7,294,718
   
7,859,408
 
Short-term U.S. government and agency obligations
  
(25,398
)  
(145,310
)  
243,724
   
114,802
 
                 
Change in net unrealized appreciation (depreciation)
  
(68,324,140
)  
(61,528,886
)  
(6,479,490
)  
(21,046,231
)
                 
Net realized and unrealized gain (loss)
  
2,353,296
   
(232,942,859
)  
(106,866,869
)  
(1,621,472,630
)
                 
Net income (loss)
 $
6,477,165
  $
(231,459,302
) $
(93,656,248
) $
(1,621,578,748
)
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
Three Months Ended
  
Nine Months Ended
 
 
September 30,
  
September 30,
 
 
2019
 
 
2018
 
 
2019
 
 
2018
 
Shareholders’ equity, beginning of period
 $
2,282,898,916
  $
2,379,161,650
  $
1,943,975,025
  $
2,947,278,212
 
                 
Addition of 74,825,000, 25,965,000, 150,475,000 and 83,967,500 shares, respectively
  
1,551,679,782
   
963,025,515
   
3,849,113,475
   
5,134,521,982
 
Redemption of 59,750,000, 20,127,729, 125,450,001 and 83,075,617 shares, respectively
  
(1,398,901,396
)  
(785,941,064
)  
(3,257,277,785
)  
(4,135,434,647
)
                 
Net addition (redemption) of 15,075,000, 5,837,271, 25,024,999 and 891,883 shares, respectively
  
152,778,386
   
177,084,451
   
591,835,690
   
999,087,335
 
                 
Net investment income (loss)
  
4,123,869
   
1,483,557
   
13,210,621
   
(106,118
)
Net realized gain (loss)
  
70,677,436
   
(171,413,973
)  
(100,387,379
)  
(1,600,426,399
)
Change in net unrealized appreciation (depreciation)
  
(68,324,140
)  
(61,528,886
)  
(6,479,490
)  
(21,046,231
)
                 
Net income (loss)
  
6,477,165
   
(231,459,302
)  
(93,656,248
)  
(1,621,578,748
)
                 
Shareholders’ equity, end of period
 $
2,442,154,467
  $
2,324,786,799
  $
2,442,154,467
  $
2,324,786,799
 
                 
See accompanying notes to financial statements.


Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
         
 
Nine Months Ended
 
 
September 30,
 
 
2019
  
2018
 
Cash flow from operating activities
  
   
 
Net income (loss)
 $
(93,656,248
) $
(1,621,578,748
)
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
  
(25,820,665,998
)  
(74,645,523,313
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
  
25,060,211,654
   
76,349,727,446
 
Net amortization and accretion on short-term U.S. government and agency obligations
  
(21,414,813
)  
(19,354,782
)
Net realized gain (loss) on investments
  
(38,616
)  
272,534
 
Change in unrealized appreciation (depreciation) on investments
  
22,229,164
   
25,854,373
 
Decrease (Increase) in receivable on futures contracts
  
(20,012,102
)  
(68,530,403
)
Decrease (Increase) in receivable in Limitation by Sponsor
  
—  
   
59,651
 
Decrease (Increase) in interest receivable
  
(423,654
)  
(212,310
)
Amortization of offering costs
  
—  
   
105,643
 
Increase (Decrease) in payable to Sponsor
  
231,643
   
(723,455
)
Increase (Decrease) in payable on futures contracts
  
19,983,442
   
14,342,630
 
Increase (Decrease) in payable to Broker
  
—  
   
8,339
 
Increase (Decrease) in
non-recurring
fees and expenses payable
  
45,949
   
—  
 
         
Net cash provided by (used in) operating activities
  
(853,509,579
)  
34,447,605
 
         
Cash flow from financing activities
  
   
 
Proceeds from addition of shares
  
3,884,214,490
   
5,130,866,019
 
Payment on shares redeemed
  
(3,246,214,488
)  
(4,208,705,204
)
         
Net cash provided by (used in) financing activities
  
638,000,002
   
922,160,815
 
         
Net increase (decrease) in cash
  
(215,509,577
)  
956,608,420
 
Cash, beginning of period
  
1,098,678,257
   
483,772,745
 
         
Cash, end of period
 $
883,168,680
  $
1,440,381,165
 
         
See accompanying notes to financial statements.


Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS

September 30, 2017

2019

(unaudited)

NOTE 1 - ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2017,2019, the following twenty20 series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF , ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

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

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

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

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

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

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

Share Splits and Reverse Share Splits

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

nine months ended September 30, 2017. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.

Fund

Execution Date

(Prior to Opening

of Trading)

Type of Split

Date Trading

Resumed at Post-

Split Price

ProShares UltraShort Bloomberg Natural Gas

July 20, 2016

3-for-1 Share  split

July 25, 2016

ProShares VIX Short-Term Futures ETF

July 25, 2016

1-for-5 reverse Share split

July 25, 2016

ProShares Ultra VIX Short-Term Futures ETF

July 25, 2016

1-for-5 reverse Share split

July 25, 2016

ProShares UltraShort Bloomberg Crude Oil

January 11, 2017

2-for-1 Share split

January 12, 2017

ProShares Ultra Bloomberg Crude Oil

January 11, 2017

1-for-2 reverse Share split

January 12, 2017

ProShares Ultra VIX Short-Term Futures ETF

January 11, 2017

1-for-5 reverse Share split

January 12, 2017

ProShares Short VIX Short-Term Futures ETF

July 12, 2017

2-for-1 Share split

July 17, 2017

ProShares VIX Short-Term Futures ETF

July 14, 2017

1-for-4 reverse Share split

July 17, 2017

ProShares Ultra VIX Short-Term Futures ETF

July 14, 2017

1-for-4 reverse Share split

July 17, 2017

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

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

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

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

with the instructions for Form10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments,

consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements

have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and

the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form10-K for the year ended December 31, 2016, as filed with the SEC on March 1, 2017.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2017, and representsnon-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

Thecut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2017 were as follows. All times are Eastern Standard Time:

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

UltraShort Silver, Ultra Silver

6:30 a.m.7:00 a.m.September 30, 2017

UltraShort Gold, Ultra Gold

9:30 a.m.10:00 a.m.September 30, 2017

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

2:00 p.m.2:30 p.m.September 30, 2017

UltraPro 3x Short Crude Oil ETF

UltraPro 3x Crude Oil ETF

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

2:00 p.m.2:30 p.m.September 30, 2017

UltraShort Australian Dollar

3:00 p.m.4:00 p.m.September 30, 2017

Short Euro

3:00 p.m.4:00 p.m.September 30, 2017

UltraShort Euro,

Ultra Euro

UltraShort Yen,

Ultra Yen

3:00 p.m.4:00 p.m.September 30, 2017

VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

Short VIX Short-Term Futures ETF

2:00 p.m.4:15 p.m.September 30, 2017

VIXMid-Term Futures ETF

2:00 p.m.4:15 p.m.September 30, 2017

*Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2017.

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2017.

Investment Valuation

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

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and fornon-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would generally be determined based on available inputs about the current

value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

Fair Value of Financial Instruments

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

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

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

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

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

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

The following table summarizes the valuation of investments at September 30, 2017 using the fair value hierarchy:

   Level I - Quoted Prices  Level II - Other Significant Observable Inputs    
   Short-Term U.S.
Government

and Agencies
   Futures
Contracts*
  Forward
Agreements
  Foreign Currency
Forward
Contracts
  Swap
Agreements
  Total 

VIX Short-Term Futures ETF

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

VIXMid-Term Futures ETF

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

Short VIX Short-Term Futures ETF

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

Ultra VIX Short-Term Futures ETF

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

UltraShort Bloomberg Crude Oil

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

UltraPro 3X Short Crude Oil ETF

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

UltraShort Bloomberg Natural Gas

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

UltraShort Gold

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

UltraShort Silver

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

Short Euro

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

UltraShort Australian Dollar

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

UltraShort Euro

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

UltraShort Yen

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

Ultra Bloomberg Crude Oil

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

UltraPro 3X Crude Oil ETF

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

Ultra Bloomberg Natural Gas

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

Ultra Gold

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

Ultra Silver

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

Ultra Euro

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

Ultra Yen

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

 

 

   

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Trust

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

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

At September 30, 2017, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

At September 30, 2017, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

The following table summarizes the valuation of investments at December 31, 2016 using the fair value hierarchy:

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

VIX Short-Term Futures ETF

  $147,991,233   $(468,652 $—    $—    $—    $147,522,581 

VIXMid-Term Futures ETF

   45,486,235    (1,288,245  —     —     —     44,197,990 

Short VIX Short-Term Futures ETF

   170,396,436    (10,309,611  —     —     —     160,086,825 

Ultra VIX Short-Term Futures ETF

   434,671,795    (7,972,237  —     —     —     426,699,558 

UltraShort Bloomberg Crude Oil

   205,694,385    (1,426,815  —     —     (12,206,881  192,060,689 

UltraShort Bloomberg Natural Gas

   2,899,151    (482,031  —     —     —     2,417,120 

UltraShort Gold

   60,540,555    18,980   3,033,566   —     —     63,593,101 

UltraShort Silver

   21,550,319    27,310   1,384,246   —     —     22,961,875 

Short Euro

   13,164,828    132,900   —     —     —     13,297,728 

UltraShort Australian Dollar

   12,909,619    1,182,340   —     —     —     14,091,959 

UltraShort Euro

   337,375,787    —     —     16,162,931   —     353,538,718 

UltraShort Yen

   257,102,313    —     —     16,744,937   —     273,847,250 

Ultra Bloomberg Crude Oil

   885,050,007    5,537,165   —     —     55,358,571   945,945,743 

Ultra Bloomberg Natural Gas

   36,183,648    2,536,720   —     —     —     38,720,368 

Ultra Gold

   95,356,621    (18,960  (4,431,107  —     —     90,906,554 

Ultra Silver

   295,300,799    (27,360  (20,976,189  —     —     274,297,250 

Ultra Euro

   11,891,831    —     —     (574,010  —     11,317,821 

Ultra Yen

   5,282,879    —     —     (342,076  —     4,940,803 
  

 

 

   

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Trust

  $3,038,848,441   $(12,558,496 $(20,989,484 $31,991,782  $43,151,690  $3,080,443,933 

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

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

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

At December 31, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

Investment Transactions and Related Income

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

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 UpdateNo. 2016-18, “Statement of Cash Flows (Topic 230): Restricted

Cash” (“ASU2016-18”), which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted

cash and restricted cash equivalents on the statement of cash flows. The ASU is effective for annual periods beginning after

December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these

changes on the financial statements.

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

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

Swap Agreements

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

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

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2017 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

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

owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2017, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulatesnon-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certainnon-deliverable forward contracts, such asnon-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 segregatedtri-party account at the Custodian to protect the counterparty againstnon-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2017, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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 dailymarking-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.

Fair Value of Derivative Instruments

as of September 30, 2017

   

Assets Derivatives

   

Liability Derivatives

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

instruments

  

Location

  

Fund

  Appreciation   

Location

  

Fund

  Depreciation 

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares Short VIX Short-Term Futures ETF

  $94,244,035*   

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $18,329,321* 
          

ProShares VIXMid-Term Futures ETF

   1,941,640* 
          

ProShares Ultra VIX Short-Term Futures ETF

   101,763,031* 

Commodities Contracts

  

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

  

ProShares UltraShort Bloomberg Natural Gas

   348,521*   

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

  

ProShares UltraShort Bloomberg Crude Oil

   19,045,866* 
    

ProShares UltraShort Gold

   2,961,605     

ProShares UltraPro 3X Short Crude Oil ETF

   2,423,370* 
    

ProShares UltraShort Silver

   2,157,373*     

ProShares UltraShort Gold

   9,540* 
    

ProShares Ultra Bloomberg Crude Oil

   54,614,553*     

ProShares Ultra Bloomberg Natural Gas

   971,690* 
    

ProShares UltraPro 3X Crude Oil ETF

   1,272,779*     

ProShares Ultra Gold

   8,453,427 
    

ProShares Ultra Gold

   9,520*     

ProShares Ultra Silver

   28,248,742* 

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

   106,206*   

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

  

ProShares UltraShort Euro

   565,859 
    

ProShares UltraShort Australian Dollar

   379,490*     

ProShares UltraShort Yen

   570,141 
    

ProShares UltraShort Euro

   4,465,552     

ProShares Ultra Euro

   291,439 
    

ProShares UltraShort Yen

   9,817,020     

ProShares Ultra Yen

   407,660 
    

ProShares Ultra Euro

   82,079       
    

ProShares Ultra Yen

   12,351       
      

 

 

       

 

 

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

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

Fair Value of Derivative Instruments

as of December 31, 2016

   

Assets Derivatives

  

Liability Derivatives

 

Derivatives not
accounted for as

hedging instruments

  

Statements of

Financial

Condition

Location

  

Fund

  Unrealized
Appreciation
  

Statements of

Financial

Condition

Location

  

Fund

  Unrealized
Depreciation
 

VIX Futures Contracts

  

Receivables on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $2,273,874 

Payable on open futures contracts

  

ProShares VIX Short-Term Futures ETF

  $2,742,526
    

ProShares VIXMid-Term Futures ETF

   68,375   

ProShares VIXMid-Term Futures ETF

   1,356,620
    

ProShares Ultra VIX Short-Term Futures ETF

   13,594,875   

ProShares Short VIX Short-Term Futures ETF

   10,309,611
         

ProShares Ultra VIX Short-Term Futures ETF

   21,567,112

Commodities Contracts

  

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

  

ProShares UltraShort Gold

   3,052,546 

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

  

ProShares UltraShort Bloomberg Crude Oil

   13,633,696
    

ProShares UltraShort Silver

   1,411,556   

ProShares UltraShort Bloomberg Natural Gas

   482,031
    

ProShares Ultra Bloomberg Crude Oil

   60,895,736   

ProShares Ultra Gold

   4,450,067
    

ProShares Ultra Bloomberg Natural Gas

   2,536,720   

ProShares Ultra Silver

   21,003,549

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

   132,900 

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

  

ProShares UltraShort Euro

   356,139 
    

ProShares UltraShort Australian Dollar

   1,182,340   

ProShares UltraShort Yen

   125,420 
    

ProShares UltraShort Euro

   16,519,070    

ProShares Ultra Euro

   576,558 
    

ProShares UltraShort Yen

   16,870,357    

ProShares Ultra Yen

   342,455 
    

ProShares Ultra Euro

   2,548      
    

ProShares Ultra Yen

   379      
      

 

 

      

 

 

 
    Total Trust  $118,541,276   Total Trust  $76,945,784

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

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2017

Derivatives not accounted for as
hedging instruments

  

Location of Gain

(Loss) on Derivatives

Recognized in Income

  

Fund

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

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

  $(27,447,205 $(17,219,461
    

ProShares VIXMid-Term Futures ETF

   (3,965,084  364,615 
    

ProShares Short VIX Short-Term Futures ETF

   188,300,727   100,033,466 
    

ProShares Ultra VIX Short-Term Futures ETF

   (126,532,816  (95,515,562

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   (9,418,807  (30,456,798
    

ProShares UltraPro 3X Short Crude Oil ETF

   (1,540,337  (2,178,096
    

ProShares UltraShort Bloomberg Natural Gas

   (151,368  615,201 
    

ProShares UltraShort Gold

   (2,644,155  299,106 
    

ProShares UltraShort Silver

   (467,171  (393,756
    

ProShares Ultra Bloomberg Crude Oil

   45,497,245   112,823,127 
    

ProShares UltraPro 3X Crude Oil ETF

   4,971,742   694,326 
    

ProShares Ultra Bloomberg Natural Gas

   (2,014,548  (1,078,511
    

ProShares Ultra Gold

   5,462,918   (549,421
    

ProShares Ultra Silver

   1,064,270   7,159,593 

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

   (599,482  291,787 
    

ProShares UltraShort Australian Dollar

   (1,453,355  837,800 
    

ProShares UltraShort Euro

   (24,505,520  10,103,133 
    

ProShares UltraShort Yen

   (1,067,853  (83,509
    

ProShares Ultra Euro

   1,259,663   (519,273
    

ProShares Ultra Yen

   (4,492  (52,440
      

 

 

  

 

 

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

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2016

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

  $(101,785,229 $6,786,934 
    

ProShares VIXMid-Term Futures ETF

   (4,899,530  (1,149,750
    

ProShares Short VIX Short-Term Futures ETF

   277,246,086   (51,813,012
    

ProShares Ultra VIX Short-Term Futures ETF

   (745,101,700  138,973,918 

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   50,281,494   (32,976,232
    

ProShares UltraShort Bloomberg Natural Gas

   (101,997  712,984 
    

ProShares UltraShort Gold

   (10,296,533  9,770,795 
    

ProShares UltraShort Silver

   (14,865,870  9,507,258 
    

ProShares Ultra Bloomberg Crude Oil

   (246,218,628  165,582,895 
    

ProShares Ultra Bloomberg Natural Gas

   1,964,411   (8,409,834
    

ProShares Ultra Gold

   12,629,891   (13,416,914
    

ProShares Ultra Silver

   119,372,366   (88,240,470

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

   327,212   (488,475
    

ProShares UltraShort Australian Dollar

   (318,842  (971,687
    

ProShares UltraShort Euro

   (5,537,097  (2,518,631
    

ProShares UltraShort Yen

   (33,476,385  23,071,090 
    

ProShares Ultra Euro

   46,252   118,030 
    

ProShares Ultra Yen

   955,047   (764,447
      

 

 

  

 

 

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

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2017

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

  $(126,202,705 $(17,860,669
    

ProShares VIXMid-Term Futures ETF

   (19,180,135  (653,395
    

ProShares Short VIX Short-Term Futures ETF

   471,128,319   104,553,646 
    

ProShares Ultra VIX Short-Term Futures ETF

   (646,036,987  (93,790,794

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   49,807,530   (5,412,170
    

ProShares UltraPro 3X Short Crude Oil ETF

   232,006   (2,423,370
    

ProShares UltraShort Bloomberg Natural Gas

   1,756,252   830,552 
    

ProShares UltraShort Gold

   (10,938,952  (100,481
    

ProShares UltraShort Silver

   (2,693,320  745,817 
    

ProShares Ultra Bloomberg Crude Oil

   (123,511,840  (6,281,183
    

ProShares UltraPro 3X Crude Oil ETF

   3,137,907   1,272,779 
    

ProShares Ultra Bloomberg Natural Gas

   (21,040,313  (3,508,410
    

ProShares Ultra Gold

   23,362,749   (3,993,840
    

ProShares Ultra Silver

   20,327,016   (7,245,193

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

   (1,334,988  (26,694
    

ProShares UltraShort Australian Dollar

   (1,920,606  (802,850
    

ProShares UltraShort Euro

   (45,334,575  (12,263,238
    

ProShares UltraShort Yen

   (17,529,013  (7,498,058
    

ProShares Ultra Euro

   2,666,172   364,650 
    

ProShares Ultra Yen

   338,091   (53,233
      

 

 

  

 

 

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

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2016

            Change in 
            Unrealized
Appreciation/
 
Derivatives not accounted  

Location of Gain

(Loss) on Derivatives

     

Realized Gain

(Loss) on Derivatives

  Depreciation on
Derivatives
 

for as hedging instruments

  

Recognized in Income

  

Fund

  Recognized in Income  Recognized in Income 

VIX Futures Contracts

  

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

  

ProShares VIX Short-Term Futures ETF

  $(134,345,928 $(8,475,358
    

ProShares VIXMid-Term Futures ETF

   (5,248,725  (1,917,790
    

ProShares Short VIX Short-Term Futures ETF

   263,024,643   16,663,427 
    

ProShares Ultra VIX Short-Term Futures ETF

   (1,269,233,467  (51,163,549

Commodity Contracts

  

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

  

ProShares UltraShort Bloomberg Crude Oil

   (36,896,214  (29,823,971
    

ProShares UltraShort Bloomberg Natural Gas

   455,516   2,803,566 
    

ProShares UltraShort Gold

   (29,965,169  (231,807
    

ProShares UltraShort Silver

   (26,655,192  (4,267,196
    

ProShares Ultra Bloomberg Crude Oil

   (132,872,456  190,316,382 
    

ProShares Ultra Bloomberg Natural Gas

   6,591,697   (7,752,693
    

ProShares Ultra Gold

   33,703,970   (204,134
    

ProShares Ultra Silver

   174,870,519   9,826,416 

Foreign Exchange Contracts

  

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

  

ProShares Short Euro

   (199,588  (270,444
    

ProShares UltraShort Australian Dollar

   (2,462,334  (495,700
    

ProShares UltraShort Euro

   (60,591,547  30,435,313 
    

ProShares UltraShort Yen

   (86,173,771  14,006,768 
    

ProShares Ultra Euro

   1,155,961   (654,504
    

ProShares Ultra Yen

   2,273,130   (268,290
      

 

 

  

 

 

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

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2017.

Fair Values of Derivative Instruments as of September 30, 2017

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

ProShares UltraShort Bloomberg Crude Oil

            

Swap agreements

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

ProShares UltraShort Gold

            

Forward agreements

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

ProShares UltraShort Silver

            

Forward agreements

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

ProShares UltraShort Euro

            

Foreign currency forward contracts

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

ProShares UltraShort Yen

            

Foreign currency forward contracts

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

ProShares Ultra Bloomberg Crude Oil

            

Swap agreements

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

ProShares Ultra Gold

            

Forward agreements

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

ProShares Ultra Silver

            

Forward agreements

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

ProShares Ultra Euro

            

Foreign currency forward contracts

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

ProShares Ultra Yen

            

Foreign currency forward contracts

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

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2017. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may beun-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2017

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

ProShares UltraShort Bloomberg Crude Oil

     

Citibank, N.A.

  $(6,092,070 $6,092,070  $—    $—   

Goldman Sachs International

   (3,900,635  3,900,635   —     —   

Societe Generale

   (514,835  514,835   —     —   

UBS AG

   (3,170,837  3,170,837   —     —   

ProShares UltraShort Gold

     

Citibank, N.A.

   1,045,390   —     —     1,045,390 

Goldman Sachs International

   835,086   (692,611  —     142,475 

Societe Generale

   267,146   (267,146  —     —   

UBS AG

   813,983   —     (660,000  153,983 

ProShares UltraShort Silver

     

Citibank, N.A.

   775,445   —     —     775,445 

Goldman Sachs International

   671,956   —     —     671,956 

Societe Generale

   143,987   —     —     143,987 

UBS AG

   561,045   —     (350,000  211,045 

ProShares UltraShort Euro

     

Goldman Sachs International

   2,034,015   (2,034,015  —     —   

UBS AG

   1,865,678   —     (1,865,678  —   

ProShares UltraShort Yen

     

Goldman Sachs International

   4,588,344   (4,588,344  —     —   

UBS AG

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

ProShares Ultra Bloomberg Crude Oil

     

Citibank, N.A.

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

Goldman Sachs International

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

Societe Generale

   4,548,744   (4,548,744  —     —   

UBS AG

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

ProShares Ultra Gold

     

Citibank, N.A.

   (2,994,458  2,994,458   —     —   

Goldman Sachs International

   (2,118,074  2,118,074   —     —   

Societe Generale

   (1,015,643  1,015,643   —     —   

UBS AG

   (2,325,252  2,325,252   —     —   

ProShares Ultra Silver

     

Citibank, N.A.

   (9,405,158  9,405,158   —     —   

Goldman Sachs International

   (7,478,422  7,478,422   —     —   

Societe Generale

   (3,531,263  3,531,263   —     —   

UBS AG

   (7,828,959  7,828,959   —     —   

ProShares Ultra Euro

     

Goldman Sachs International

   (103,093  103,093   —     —   

UBS AG

   (106,267  106,267   —     —   

ProShares Ultra Yen

     

Goldman Sachs International

   (216,458  216,458   —     —   

UBS AG

   (178,851  27,993   —     (150,858

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2016:

Fair Values of Derivative Instruments as of December 31, 2016

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

ProShares UltraShort Bloomberg Crude Oil

            

Swap agreements

  $—     $—     $—     $12,206,881   $—     $12,206,881 

ProShares UltraShort Gold

            

Forward agreements

   3,033,566    —      3,033,566    —      —      —   

ProShares UltraShort Silver

            

Forward agreements

   1,384,246    —      1,384,246    —      —      —   

ProShares UltraShort Euro

            

Foreign currency forward contracts

   16,519,070    —      16,519,070    356,139    —      356,139 

ProShares UltraShort Yen

            

Foreign currency forward contracts

   16,870,357    —      16,870,357    125,420    —      125,420 

ProShares Ultra Bloomberg Crude Oil

            

Swap agreements

   55,358,571    —      55,358,571    —      —      —   

ProShares Ultra Gold

            

Forward agreements

   —      —      —      4,431,107    —      4,431,107 

ProShares Ultra Silver

            

Forward agreements

   —      —      —      20,976,189    —      20,976,189 

ProShares Ultra Euro

            

Foreign currency forward contracts

   2,548    —      2,548    576,558    —      576,558 

ProShares Ultra Yen

            

Foreign currency forward contracts

   379    —      379    342,455    —      342,455 

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

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2016

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

ProShares UltraShort Bloomberg Crude Oil

     

Citibank, N.A.

  $(4,742,191 $4,742,191  $—    $—   

Goldman Sachs International

   (3,061,395  3,061,395   —     —   

Societe Generale

   (1,050,699  1,050,699   —     —   

UBS AG

   (3,352,596  3,352,596   —     —   

ProShares UltraShort Gold

     

Citibank, N.A.

   1,147,811   —     —     1,147,811 

Goldman Sachs International

   881,454   (874,948  —     6,506 

Societe Generale

   393,006   (393,006  —     —   

UBS AG

   611,295   —     (611,295  —   

ProShares UltraShort Silver

     

Citibank, N.A.

   610,478   —     —     610,478 

Goldman Sachs International

   323,829   (323,829  —     —   

Societe Generale

   86,543   (86,543  —     —   

UBS AG

   363,396   —     (363,396  —   

ProShares UltraShort Euro

     

Goldman Sachs International

   8,109,067   (8,109,067  —     —   

UBS AG

   8,053,864   —     (8,053,864  —   

ProShares UltraShort Yen

     

Goldman Sachs International

   8,256,779   (7,771,819  —     484,960 

UBS AG

   8,488,158   —     (7,980,000  508,158 

ProShares Ultra Bloomberg Crude Oil

     

Citibank, N.A.

   18,427,009   —     —     18,427,009 

Goldman Sachs International

   14,016,906   (14,016,906  —     —   

Societe Generale

   8,661,821   (8,661,821  —     —   

UBS AG

   14,252,835   —     (14,252,835  —   

ProShares Ultra Gold

     

Citibank, N.A.

   (1,464,982  1,464,982   —     —   

Goldman Sachs International

   (1,112,916  1,112,916   —     —   

Societe Generale

   (643,587  643,587   —     —   

UBS AG

   (1,209,622  1,209,622   —     —   

ProShares Ultra Silver

     

Citibank, N.A.

   (6,946,009  6,946,009   —     —   

Goldman Sachs International

   (5,869,092  5,869,092   —     —   

Societe Generale

   (2,532,729  2,532,729   —     —   

UBS AG

   (5,628,359  5,628,359   —     —   

ProShares Ultra Euro

     

Goldman Sachs International

   (239,256  239,256   —     —   

UBS AG

   (334,754  334,754   —     —   

ProShares Ultra Yen

     

Goldman Sachs International

   (219,736  219,736   —     —   

UBS AG

   (122,340  122,340   —     —   

NOTE 4 – AGREEMENTS

Management Fee

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

The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, any index licensors for the Funds, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual ScheduleK-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 itsnon-recurring and unusual fees and expenses, if any, as determined by the Sponsor.Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator

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

The Custodian

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

The Distributor

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

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions—is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three and nine months ended September 30, 2017 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

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

VIX Short-Term Futures ETF

  $49,381   $115,876 

VIXMid-Term Futures ETF

   5,298    8,510 

Short VIX Short-Term Futures ETF

   337,623    763,477 

Ultra VIX Short-Term Futures ETF

   385,071    837,558 

UltraShort Bloomberg Crude Oil

   54,276    172,684 

UltraPro 3X Short Crude Oil ETF

   4,627    7,826 

UltraShort Bloomberg Natural Gas

   1,138    1,903 

UltraShort Gold

   1,537    13,526 

UltraShort Silver

   —      —   

Short Euro

   —      —   

UltraShort Australian Dollar

   —      —   

UltraShort Euro

   —      —   

UltraShort Yen

   —      —   

Ultra Bloomberg Crude Oil

   135,612    531,483 

UltraPro 3X Crude Oil ETF

   9,352    18,464 

Ultra Bloomberg Natural Gas

   3,499    10,369 

Ultra Gold

   1,755    11,130 

Ultra Silver

   6,058    23,746 

Ultra Euro

   —      —   

Ultra Yen

   —      —   
  

 

 

   

 

 

 

Total Trust

  $995,227   $2,516,552 

NOTE 7 – FINANCIAL HIGHLIGHTS

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

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

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil
  UltraPro 3X
Short Crude
Oil ETF
 

Net asset value, at June 30, 2017

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   (10.11  (2.25  13.70   (18.59  (9.83  (8.87

Change in net asset value from operations

   (10.12  (2.26  13.57   (18.68  (9.83  (8.94

Net asset value, at September 30, 2017

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

Market value per share, at June 30, 2017†

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

Market value per share, at September 30, 2017†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.98  0.92  1.50  2.00  0.99  1.31

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

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

*See Note 1 of these Notes to Financial Statements.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.
(1)Amount represents less than $0.005.

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

Per Share Operating Performance

  UltraShort
Bloomberg
Natural Gas
  UltraShort Gold  UltraShort
Silver
  Short
Euro
  UltraShort
Australian
Dollar
  UltraShort
Euro
 

Net asset value, at June 30, 2017

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   0.77   (5.02  (2.76  (1.26  (2.26  (1.43

Change in net asset value from operations

   0.71   (5.02  (2.76  (1.27  (2.27  (1.43

Net asset value, at September 30, 2017

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

Market value per share, at June 30, 2017†

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

Market value per share, at September 30, 2017†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   1.34  0.95  0.95  0.96  1.01  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).

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

Per Share Operating Performance

  UltraShort Yen  Ultra
Bloomberg
Crude Oil
  UltraPro 3X
Crude Oil ETF
  Ultra
Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver 

Net asset value, at June 30, 2017

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   0.18   3.10   5.82   (1.02  2.07   0.79 

Change in net asset value from operations

   0.19   3.10   5.75   (1.03  2.07   0.79 

Net asset value, at September 30, 2017

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

Market value per share, at June 30, 2017†

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

Market value per share, at September 30, 2017†

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

Total Return, at net asset value^

   0.3  20.9  29.5  (10.5)%   5.5  2.4

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.97  1.24  1.16  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.
(1)Amount represents less than $0.005.
(2)Amount represents less than $(0.005).
(3)Amount represents less than 0.005%.

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

Per Share Operating Performance

  Ultra Euro  Ultra Yen 

Net asset value, at June 30, 2017

  $16.16  $58.68 

Net investment income (loss)

   (0.00)(2)   (0.04

Net realized and unrealized gain (loss)#

   0.97   (0.57

Change in net asset value from operations

   0.97   (0.61

Net asset value, at September 30, 2017

  $17.13  $58.07 

Market value per share, at June 30, 2017†

  $16.17  $58.68 

Market value per share, at September 30, 2017†

  $17.10  $58.17 

Total Return, at net asset value^

   6.0  (1.0)% 

Total Return, at market value^

   5.8  (0.9)% 

Ratios to Average Net Assets**

   

Expense ratio

   0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95

Net investment income (loss)

   (0.04)%   (0.28)% 

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.
(2)Amount represents less than $(0.005).

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

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

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil*
  UltraShort
Bloomberg
Natural Gas
 

Net asset value, at June 30, 2016

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

Net investment income (loss)

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

Net realized and unrealized gain
(loss)#

   (66.20  (6.14  11.49   (572.92  (0.88  2.36 

Change in net asset value from operations

   (66.44  (6.23  11.40   (574.56  (0.97  2.23 

Net asset value, at September 30, 2016

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

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.99  0.94  1.42  1.59  1.01  1.58

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

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

*See Note 1 of these Notes to Financial Statements.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

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

Per Share Operating Performance

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

Net asset value, at June 30, 2016

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

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

Change in net asset value from operations

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

Net asset value, at September 30, 2016

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

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.95  0.96  1.02  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

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

Per Share Operating Performance

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

Net asset value, at June 30, 2016

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   (3.27  (3.23  (0.30  3.56   0.27   1.92 

Change in net asset value from operations

   (3.31  (3.27  (0.38  3.47   0.24   1.79 

Net asset value, at September 30, 2016

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

Market value per share, at June 30, 2016†

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

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   1.00  1.23  0.95  0.95  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

*See Note 1 of these Notes to Financial Statements.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

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

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

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil
  UltraPro 3X
Short Crude Oil

ETF+
 

Net asset value, at December 31, 2016

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   (52.18  (16.87  48.51   (152.86  1.98   (7.32

Change in net asset value from operations

   (52.29  (16.94  48.06   (153.29  1.90   (7.48

Net asset value, at September 30, 2017

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

Market value per share, at December 31, 2016†

  $85.04  $42.34  $45.49  $175.00  $31.65  $25.00 

Market value per share, at September 30, 2017†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.97  0.89  1.52  1.88  0.99  1.34

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

   (0.30)%   (0.30)%   (0.80)%   (1.28)%   (0.29)%   (1.34)% 

*See Note 1 of these Notes to Financial Statements.
+From commencement of operations, March 24, 2017 through September 30, 2017.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.

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

Per Share Operating Performance

  UltraShort
Bloomberg
Natural Gas
  UltraShort Gold  UltraShort
Silver
  Short Euro  UltraShort
Australian
Dollar
  UltraShort Euro 

Net asset value, at December 31, 2016

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   10.97   (19.92  (5.26  (4.47  (9.60  (5.35

Change in net asset value from operations

   10.77   (20.05  (5.32  (4.59  (9.75  (5.39

Net asset value, at September 30, 2017

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

Market value per share, at December 31, 2016†

  $23.05  $90.54  $38.76  $45.12  $55.24  $27.08 

Market value per share, at September 30, 2017†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   1.32  0.95  0.95  0.96  1.01  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.

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

Per Share Operating Performance

  UltraShort Yen  Ultra Bloomberg
Crude Oil
  UltraPro 3X
Crude Oil ETF+
  Ultra Bloomberg
Natural Gas
  Ultra Gold  Ultra Silver 

Net asset value, at December 31, 2016

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   (5.84  (5.41  0.41   (10.06  6.98   0.64 

Change in net asset value from operations

   (5.98  (5.44  0.27   (10.11  6.92   0.58 

Net asset value, at September 30, 2017

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

Market value per share, at December 31, 2016†

  $80.25  $23.36  $25.00  $18.96  $33.20  $32.09 

Market value per share, at September 30, 2017†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.97  1.26  1.16  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

+From commencement of operations, March 24, 2017 through September 30, 2017.
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.
^Percentages are not annualized for the period ended September 30, 2017.

The returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Crude Oil ETF.

**Percentages are annualized.

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

Per Share Operating Performance

  Ultra Euro  Ultra Yen 

Net asset value, at December 31, 2016

  $14.02  $55.43 

Net investment income (loss)

   (0.03  (0.21

Net realized and unrealized gain (loss)#

   3.14   2.85 

Change in net asset value from operations

   3.11   2.64 

Net asset value, at September 30, 2017

  $17.13  $58.07 

Market value per share, at December 31, 2016†

  $14.09  $55.52 

Market value per share, at September 30, 2017†

  $17.10  $58.17 

Total Return, at net asset value^

   22.2  4.8

Total Return, at market value^

   21.4  4.8

Ratios to Average Net Assets**

   

Expense ratio

   0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95

Net investment income (loss)

   (0.26)%   (0.47)% 

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2017.
**Percentages are annualized.

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

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

Per Share Operating Performance

  VIX Short-Term
Futures ETF*
  VIX Mid-Term
Futures ETF
  Short VIX
Short-Term
Futures ETF*
  Ultra VIX
Short-Term
Futures ETF*
  UltraShort
Bloomberg
Crude Oil*
  UltraShort
Bloomberg
Natural Gas
 

Net asset value, at December 31, 2015

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

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

Change in net asset value from operations

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

Net asset value, at September 30, 2016

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

Market value per share, at December 31, 2015†

  $266.60  $53.99  $25.23  $2,835.00  $66.82  $46.55 

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   1.01  0.93  1.36  1.56  1.04  1.68

Expense ratio, excluding brokerage commissions

   0.85  0.85  0.95  0.95  0.95  0.95

Net investment income (loss)

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

*See Note 1 of these Notes to Financial Statements
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

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

Per Share Operating Performance

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

Net asset value, at December 31, 2015

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

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

Change in net asset value from operations

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

Net asset value, at September 30, 2016

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

Market value per share, at December 31, 2015†

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

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   0.95  0.95  0.97  1.03  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

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

Per Share Operating Performance

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

Net asset value, at December 31, 2015

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

Net investment income (loss)

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

Net realized and unrealized gain (loss)#

   (4.01  (3.97  14.90   22.15   0.70   20.07 

Change in net asset value from operations

   (4.13  (4.09  14.69   21.94   0.62   19.71 

Net asset value, at September 30, 2016

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

Market value per share, at December 31, 2015†

  $25.08  $18.48  $29.73  $27.08  $15.51  $54.70 

Market value per share, at September 30, 2016†

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

Total Return, at net asset value^

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

Total Return, at market value^

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

Ratios to Average Net Assets**

       

Expense ratio

   1.02  1.36  0.95  0.95  0.95  0.95

Expense ratio, excluding brokerage commissions

   0.95  0.95  0.95  0.95  0.95  0.95

Net investment income (loss)

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

*See Note 1 of these Notes to Financial Statements
#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated
^Percentages are not annualized for the period ended September 30, 2016.
**Percentages are annualized.

NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse(-1x), two times the inverse(-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short or UltraShort Fund is designed to return the inverse(-1x) or two times the inverse(-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present different risks than other funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;(3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,-1x,-2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

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

Counterparty Risk

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

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

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

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

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

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

The counterparty risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment.

For example, because the UltraShort Funds and Ultra Funds include a two times the inverse(-2x), or a two times (2x) multiplier, asingle-day movement in the relevant benchmark approaching 50% at any point in the day (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downwardsingle-day or intraday movements in the underlying benchmark of an Ultra Fund or upwardsingle-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2016 may specify a January 2017 expiration. As that contract nears expiration, it may be replaced by selling the January 2017 contract and purchasing the contract expiring in March 2017. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2017 contract would take place at a price that is higher than the price at which the March 2017 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver historically exhibit persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

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

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2017, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIXMid-Term

Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange ArchipelagoNYSE 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 Form10-Q.these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form10-Q.

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 ten
14
Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

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

Groups of Funds are collectively referred to in this Quarterly Report on Form10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” “UltraPro Short Funds,” “Ultra Funds” or “Ultra“UltraPro Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”,Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each Short Fund seeks daily investment results, before fees and expenses, that correspond to 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 over time, match the performance of the 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 objectives 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.


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Share Splits and Reverse Share Splits
The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2018. There were no Share splits or reverse Share splits for the Funds during the nine months ended September 30, 2019. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.
Execution Date
Date Trading
(Prior to Opening
Resumed at Post-
Fund
of Trading)
Type of Split
Split Price
ProShares Ultra 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
September 17, 2018
1-for-4 reverse Share split
September 18, 2018
ProShares Ultra VIX Short-Term Futures ETF
September 17, 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.
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.
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, 2018, as filed with the SEC on March 25, 2019.
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, these 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 each 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, 2019 and 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.


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Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2019 were typically as follows. All times are Eastern Standard Time:
Create/Redeem
NAV Calculation
NAV
Fund
Cut-off*
Time
Calculation Date
UltraShort Silver, Ultra Silver
1:00 p.m.
1:25 p.m.
September 30, 2019
UltraShort Gold, Ultra Gold
1:00 p.m.
1:30 p.m.
September 30, 2019
UltraShort Bloomberg Crude Oil,
Ultra Bloomberg Crude Oil
2:00 p.m.
2:30 p.m.
September 30, 2019
UltraPro 3x Short Crude Oil ETF,
UltraPro 3x Crude Oil ETF,
UltraShort Bloomberg Natural Gas,
Ultra Bloomberg Natural Gas
2:00 p.m.
2:30 p.m.
September 30, 2019
UltraShort Australian Dollar
3:00 p.m.
4:00 p.m.
September 30, 2019
Short Euro,
UltraShort Euro,
Ultra Euro
3:00 p.m.
4:00 p.m.
September 30, 2019
UltraShort Yen,
Ultra Yen
3:00 p.m.
4:00 p.m.
September 30, 2019
VIX Short-Term Futures ETF,
Ultra VIX Short-Term Futures ETF,
Short VIX Short-Term Futures ETF
2:00 p.m.
4:15 p.m.
September 30, 2019
VIX
Mid-Term
Futures ETF
2:00 p.m.
4:15 p.m.
September 30, 2019
*Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended September 30, 2019.
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, 2019.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally 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 generally 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


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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. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly
.
The following table summarizes the valuation of investments at September 30, 2019 using the fair value hierarchy:
     
Level II - Other Significant Observable
 
 
Level I - Quoted Prices
  
Inputs
 
     
Foreign
     
 
Short-Term
 U.S.
    
Currency
     
 
Government and
  
Futures
  
Forward
  
Swap
   
Fund
 
Agencies
  
Contracts
*
  
Contracts
  
Agreements
  
Total
 
ProShares Short Euro
 $
6,980,360
  $
263,291
  $
—  
  $
—  
  $
7,243,651
 
ProShares Short VIX Short-Term Futures ETF
  
167,710,201
   
  7,210,503
   
—  
   
—  
   
174,920,704
 
ProShares Ultra Bloomberg Crude Oil
  
297,435,798
   
2,044,987
   
—  
   
(37,929,315
)  
261,551,470
 
ProShares Ultra Bloomberg Natural Gas
  
12,973,719
   
2,680,382
   
—  
   
—  
   
15,654,101
 
ProShares Ultra Euro
  
998,237
   
—  
   
   (109,550
)  
—  
   
888,687
 
ProShares Ultra Gold
  
98,810,275
   
1,324,832
   
—  
   
(3,921,350
)  
96,213,757
 
ProShares Ultra Silver
  
   228,568,115
   
(2,498,546
)  
—  
   
(25,446,936
)  
   200,622,633
 


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ProShares Ultra VIX Short-Term Futures ETF
 $
209,661,089
  $
(2,078,946
) $
—  
  $
(195,227
) $
207,386,916
 
ProShares Ultra Yen
  
—  
   
—  
   
(28,138
)  
—  
   
(28,138
)
ProShares UltraPro 3x Crude Oil ETF
  
48,939,861
   
2,641,411
   
—  
   
—  
   
51,581,272
 
ProShares UltraPro 3x Short Crude Oil ETF
  
41,929,905
   
14,081,473
   
—  
   
—  
   
56,011,378
 
ProShares UltraShort Australian Dollar
  
—  
   
211,190
   
—  
   
—  
   
211,190
 
ProShares UltraShort Bloomberg Crude Oil
  
74,866,912
   
1,237,943
   
—  
   
10,407,039
   
86,511,894
 
ProShares UltraShort Bloomberg Natural Gas
  
1,996,475
   
765,965
   
—  
   
—  
   
2,762,440
 
ProShares UltraShort Euro
  
121,779,689
   
—  
   
2,672,188
   
—  
   
124,451,877
 
ProShares UltraShort Gold
  
7,982,681
   
540,364
   
—  
   
662,229
   
9,185,274
 
ProShares UltraShort Silver
  
5,990,736
   
934,581
   
—  
   
975,827
   
7,901,144
 
ProShares UltraShort Yen
  
28,931,063
   
—  
   
375,719
   
—  
   
29,306,782
 
ProShares VIX
Mid-Term
Futures ETF
  
19,971,066
   
1,980,921
   
—  
   
—  
   
21,951,987
 
ProShares VIX Short-Term Futures ETF
  
191,711,175
   
(2,306,315
)  
—  
   
—  
   
189,404,860
 
                     
Total Trust
 $
1,567,237,357
  $
29,034,036
  $
2,910,219
  $
(55,447,733
) $
1,543,733,879
 
*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the valuation of investments at December 31, 2018 using the fair value hierarchy:
                         
     
Level II - Other Significant Observable
   
 
Level I - Quoted Prices
  
Inputs
   
       
Foreign
     
 
Short-Term
 U.S.
      
Currency
     
 
Government and
  
Futures
  
Forward
  
Forward
  
Swap
   
Fund
 
Agencies
  
Contracts
*
  
Agreements
  
Contracts
  
Agreements
  
Total
 
ProShares Short Euro
 $
599,429
  $
(43,281
) $
—  
  $
—  
  $
—  
  $
556,148
 
ProShares Short VIX Short-Term Futures ETF
  
—  
   
(14,476,201
)  
—  
   
—  
   
—  
   
(14,476,201
)
ProShares Ultra Bloomberg Crude Oil
  
280,502,900
   
(14,040,301
)  
—  
   
—  
   
(72,767,125
)  
193,695,474
 
ProShares Ultra Bloomberg Natural Gas
  
8,380,427
   
(10,323,163
)  
—  
   
—  
   
—  
   
(1,942,736
)
ProShares Ultra Euro
  
1,496,658
   
—  
   
—  
   
57,938
   
—  
   
1,554,596
 
ProShares Ultra Gold
  
41,941,734
   
72,670
   
4,253,301
   
—  
   
—  
   
46,267,705
 
ProShares Ultra Silver
  
123,795,806
   
340,736
   
26,301,717
   
—  
   
—  
   
150,438,259
 
ProShares Ultra VIX Short-Term Futures ETF
  
—  
   
32,503,965
   
—  
   
—  
   
(1,330,949
)  
31,173,016
 
ProShares Ultra Yen
  
—  
   
—  
   
—  
   
    177,111
   
—  
   
177,111
 
ProShares UltraPro 3x Crude Oil ETF
  
20,979,876
   
(23,451,361
)  
—  
   
—  
   
—  
   
(2,471,485
)
ProShares UltraPro 3x Short Crude Oil ETF
  
—  
   
7,019,475
   
—  
   
—  
   
—  
   
7,019,475
 
ProShares UltraShort Australian Dollar
  
299,537
   
511,825
   
—  
   
—  
   
—  
   
811,362
 


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ProShares UltraShort Bloomberg Crude Oil
 $
27,967,534
  $
3,272,155
  $
—  
  $
—  
  $
20,646,726
  $
51,886,415
 
ProShares UltraShort Bloomberg Natural Gas
  
299,714
   
10,837,989
   
—  
   
—  
   
—  
   
11,137,703
 
ProShares UltraShort Euro
  
121,801,685
   
—  
   
—  
   
(1,495,804
)  
—  
   
120,305,881
 
ProShares UltraShort Gold
  
3,989,563
   
(31,780
)  
(990,786
)  
—  
   
—  
   
2,966,997
 
ProShares UltraShort Silver
  
3,294,766
   
(44,917
)  
(1,793,011
)  
—  
   
—  
   
1,456,838
 
ProShares UltraShort Yen
  
34,951,229
   
—  
   
—  
   
(3,123,744
)  
—  
   
31,827,485
 
ProShares VIX
Mid-Term
Futures ETF
  
—  
   
3,758,106
   
—  
   
—  
   
—  
   
3,758,106
 
ProShares VIX Short-Term Futures ETF
  
114,785,002
   
17,378,445
   
—  
   
—  
   
—  
   
132,163,447
 
                         
Total Trust
 $
785,085,860
  $
13,284,362
  $
27,771,221
  $
(4,384,499
) $
(53,451,348
) $
768,305,596
 
*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
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.
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 monitors 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.


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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.
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 credit risk resides with the Funds’ clearing broker or clearinghouse itself. 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.


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Swap Agreements
Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are
two-party
contracts that have traditionally been entered into primarily with institutional investors in
over-the-counter
(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.
Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund, 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 OTC 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 OTC 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 a third party 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 into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2019 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated 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 OTC derivative transactions is held for the benefit of the counterparty in a segregated
tri-party
account at the Custodian to protect the


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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 OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of 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, 2019, 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 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 the purpose 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 increased reporting requirements.
The Funds may collateralize OTC 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 a third party 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, 2019, 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 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.
Fair Value of Derivative Instruments as of September 30, 2019
 
  
Asset Derivatives
 
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
 
Fund
 
Statements of
Financial Condition
Location
 
Unrealized
Appreciation
  
Statements of
Financial Condition
Location
 
Unrealized
Depreciation
 
VIX Futures Contracts
  
Receivables on open futures contracts, unrealized appreciation on swap agreements
  
  
Payable on open futures contracts, unrealized depreciation on swap agreements
  
 
 
ProShares Short VIX Short-Term Futures ETF
   
$ 7,549,341
*
    
$ 338,838
*
 
 
ProShares Ultra VIX Short-Term Futures ETF
   
—  
    
2,274,173
 
ProShares VIX
Mid-Term
Futures ETF
   
1,980,921
   
—  
 
 
ProShares VIX Short-Term Futures ETF
   
229,197
   
2,535,512
Commodities Contracts
  
Receivables on open futures contracts and/or unrealized appreciation on swap agreements
  
  
Payable on open futures contracts and/or unrealized depreciation on swap agreements
  
 
 
ProShares Ultra Bloomberg Crude Oil
   
2,044,987
   
37,929,315
 
ProShares Ultra Bloomberg Natural Gas
   
2,680,382
   
—  
 
 
ProShares Ultra Gold
   
1,324,832
   
3,921,350
 
ProShares Ultra Silver
   
—  
    
27,945,482
 
ProShares UltraPro 3x Crude Oil ETF
   
2,641,411
   
—  
 
 
ProShares UltraPro 3x Short Crude Oil ETF
   
14,081,473
   
—  
 
 
ProShares UltraShort Bloomberg Crude Oil
   
11,644,982
   
—  
 
 
ProShares UltraShort Bloomberg Natural Gas
   
765,965
   
—  
 
 
ProShares UltraShort Gold
   
1,202,593
   
—  
 
 
ProShares UltraShort Silver
   
1,910,408
   
—  
 


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Foreign Exchange Contracts
  
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts
  
  
Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
  
 
 
ProShares Short Euro
  $
263,291
  $
—  
 
 
ProShares Ultra Euro
   
1,357
    
110,907
 
 
ProShares Ultra Yen
   
171
    
28,309
 
 
ProShares UltraShort Australian Dollar
   
211,190
   
—  
 
 
ProShares UltraShort Euro
   
2,834,229
    
162,041
 
 
ProShares UltraShort Yen
   
395,855
    
20,136
 
               
  
Total Trust
 $
51,762,585
*
 
  $
  75,266,063
*
 
*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures
.
               
Fair Value of Derivative Instruments as of December 31, 2018
 
  
Asset Derivatives
 
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
 
Fund
 
Statements of Financial
Condition Location
 
Unrealized
Appreciation
  
Statements of Financial
Condition Location
 
Unrealized
Depreciation
 
VIX Futures Contracts
  
Receivables on open futures contracts, unrealized appreciation on swap agreements
  
  
Payable on open futures contracts, unrealized depreciation on swap agreements
  
 
 
ProShares Short VIX Short-Term Futures ETF
  $
910,460
  $
  15,386,661
 
ProShares Ultra VIX Short-Term Futures ETF
   
33,798,582
   
2,625,566
 
ProShares VIX
Mid-Term
Futures ETF
   
3,888,156
   
130,050
 
ProShares VIX Short-Term Futures ETF
   
18,392,959
   
1,014,514
Commodities Contracts
  
Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements
  
  
Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements
  
 
 
ProShares Ultra Bloomberg Crude Oil
   
—  
    
86,807,426
 
ProShares Ultra Bloomberg Natural Gas
   
—  
    
10,323,163
 
ProShares Ultra Gold
   
4,325,971
   
—  
 
 
ProShares Ultra Silver
   
26,642,453
   
—  
 
 
ProShares UltraPro 3x Crude Oil ETF
   
—  
    
23,451,361
 
ProShares UltraPro 3x Short Crude Oil ETF
   
7,019,475
   
—  
 
 
ProShares UltraShort Bloomberg Crude Oil
   
23,918,881
   
—  
 


Table of Contents
               
 
ProShares UltraShort Bloomberg Natural Gas
  $
10,837,989
*
 
  $
—  
 
 
ProShares UltraShort Gold
   
—  
    
1,022,566
*
 
 
ProShares UltraShort Silver
   
—  
    
1,837,928
*
 
Foreign Exchange Contracts
  
Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts
  
  
Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
  
 
 
ProShares Short Euro
   
—  
    
43,281
*
 
 
ProShares Ultra Euro
   
61,971
    
4,033
 
 
ProShares Ultra Yen
   
179,187
    
2,076
 
 
ProShares UltraShort Australian Dollar
   
511,825
*
 
   
—  
 
 
ProShares UltraShort Euro
   
104,074
    
1,599,878
 
 
ProShares UltraShort Yen
   
678,152
    
3,801,896
 
               
  
Total Trust
 
$
131,270,135
*
 
  
$
  
148,050,399
*
 
*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
             
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2019
 
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
 $
1,173,763
  $
(5,428,459
)
  
ProShares Ultra VIX Short-Term Futures ETF
  
(55,327,540
)  
45,205,927
 
  
ProShares VIX
Mid-Term
Futures ETF
  
1,477,618
   
2,654,603
 
  
ProShares VIX Short-Term Futures ETF
  
(15,928,298
)  
13,428,427
 
Commodities Contracts
 
Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
   
   
 


Table of Contents
             
  
ProShares Ultra Bloomberg Crude Oil
 $
62,252,302
  $
(106,568,448
)
  
ProShares Ultra Bloomberg Natural Gas
  
(1,826,717
)  
3,329,755
 
  
ProShares Ultra Gold
  
16,725,025
   
(11,793,379
)
  
ProShares Ultra Silver
  
69,234,012
   
(36,174,451
)
  
ProShares UltraPro 3x Crude Oil ETF
  
4,691,349
   
(24,831,963
)
  
ProShares UltraPro 3x Short Crude Oil ETF
  
(297,480
)  
17,634,581
 
  
ProShares UltraShort Bloomberg Crude Oil
  
(12,233,280
)  
23,194,927
 
  
ProShares UltraShort Bloomberg Natural Gas
  
(68,026
)  
790,889
 
  
ProShares UltraShort Gold
  
(3,472,688
)  
2,706,125
 
  
ProShares UltraShort Silver
  
(5,517,659
)  
2,681,272
 
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
 $
625,576
  $
342,293
 
  
ProShares Ultra Euro
  
(396,315
)  
(150,573
)
  
ProShares Ultra Yen
  
37,748
   
(76,553
)
  
ProShares UltraShort Australian Dollar
  
312,374
   
351,366
 
  
ProShares UltraShort Euro
  
9,363,923
   
3,612,397
 
  
ProShares UltraShort Yen
  
(177,933
)  
792,522
 
             
  
Total Trust
 
$
 
 
70,647,754
  $
(68,298,742
)
The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2019
 
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
 $
71,706,713
  $
 
21,686,704
 
  
ProShares Ultra VIX Short-Term Futures ETF
  
(305,526,699
)  
(33,447,189
)
  
ProShares VIX
Mid-Term
Futures ETF
  
(5,577,673
)  
(1,777,185
)
  
ProShares VIX Short-Term Futures ETF
  
(82,123,131
)  
(19,684,760
)


Table of Contents
             
Commodities Contracts
 
Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
   
   
 
  
ProShares Ultra Bloomberg Crude Oil
 $
112,863,983
  $
50,923,098
 
  
ProShares Ultra Bloomberg Natural Gas
  
(23,104,608
)  
13,003,545
 
  
ProShares Ultra Gold
  
24,305,565
   
(6,922,489
)
  
ProShares Ultra Silver
  
74,520,050
   
(54,587,935
)
  
ProShares UltraPro 3x Crude Oil ETF
  
30,865,755
   
26,092,772
 
  
ProShares UltraPro 3x Short Crude Oil ETF
  
(1,379,372
)  
7,061,998
 
  
ProShares UltraShort Bloomberg Crude Oil
  
(11,265,317
)  
(12,273,899
)
  
ProShares UltraShort Bloomberg Natural Gas
  
14,701,140
   
(10,072,024
)
  
ProShares UltraShort Gold
  
(6,542,664
)  
2,225,159
 
  
ProShares UltraShort Silver
  
(6,438,348
)  
3,748,336
 
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
  
849,200
   
306,572
 
  
ProShares Ultra Euro
  
(756,187
)  
(167,488
)
  
ProShares Ultra Yen
  
131,724
   
(205,249
)
  
ProShares UltraShort Australian Dollar
  
825,235
   
(300,635
)
  
ProShares UltraShort Euro
  
14,640,542
   
4,167,992
 
  
ProShares UltraShort Yen
  
(3,121,903
)  
3,499,463
 
             
  
Total Trust
 $
(100,425,995
) $
(6,723,214
)


Table of Contents
The Effect of Derivative Instruments on the Statement 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
)
Commodities Contracts
 
Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation (depreciation) on futures, 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
)
             


Table of Contents
The Effect of Derivative Instruments on the Statement 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
)
Commodities 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
)


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, 2019.
                         
Fair Values of Derivative Instruments as of September 30, 2019
 
 
Assets
  
Liabilities
 
Fund
 
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
  
   
   
   
   
   
 
Swap agreements
 $
—  
  $
—  
  $
—  
  $
  37,929,315
  $
—  
  $
  37,929,315
 
ProShares Ultra Euro
  
   
   
   
   
   
 
Foreign currency forward contracts
  
1,357
   
—  
   
1,357
   
110,907
   
—  
   
110,907
 
ProShares Ultra Gold
  
   
   
   
   
   
 
Swap agreements
  
—  
   
—  
   
—  
   
3,921,350
   
—  
   
3,921,350
 
ProShares Ultra Silver
  
   
   
   
   
   
 
Swap agreements
  
—  
   
—  
   
—  
   
25,446,936
   
—  
   
25,446,936
 
ProShares Ultra VIX Short-Term Futures ETF
  
   
   
   
   
   
 
Swap agreements
  
—  
   
—  
   
—  
   
195,227
   
—  
   
195,227
 
ProShares Ultra Yen
  
   
   
   
   
   
 
Foreign currency forward contracts
  
171
   
—  
   
171
   
28,309
   
—  
   
28,309
 
ProShares UltraShort Bloomberg Crude Oil
  
   
   
   
   
   
 
Swap agreements
  
10,407,039
   
—  
   
10,407,039
   
—  
   
—  
   
—  
 
ProShares UltraShort Euro
  
   
   
   
   
   
 
Foreign currency forward contracts
  
2,834,229
   
—  
   
2,834,229
   
162,041
   
—  
   
162,041
 
ProShares UltraShort Gold
  
   
   
   
   
   
 
Swap agreements
  
662,229
   
—  
   
662,229
   
—  
   
—  
   
—  
 
ProShares UltraShort Silver
  
   
   
   
   
   
 
Swap agreements
  
975,827
   
—  
   
975,827
   
—  
   
—  
   
—  
 
ProShares UltraShort Yen
  
   
   
   
   
   
 
Foreign currency forward contracts
  
395,855
   
—  
   
395,855
   
20,136
   
—  
   
20,136
 
124

Table of Contents
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2019. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
                 
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2019
 
Fund
 
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.
 $
(9,747,740
) $
2,869,740
  $
6,878,000
  $
—  
 
Goldman Sachs International
  
(8,182,005
)  
8,182,005
   
—  
   
—  
 
Royal Bank of Canada
  
(8,850,714
)  
8,850,714
   
—  
   
—  
 
Societe Generale
  
(3,847,828
)  
3,847,828
   
—  
   
—  
 
UBS AG
  
(7,301,028
)  
7,301,028
   
—  
   
—  
 
ProShares Ultra Euro
  
   
   
   
 
Goldman Sachs International
  
(61,724
)  
—  
   
61,724
   
—  
 
UBS AG
  
(47,826
)  
—  
   
47,826
   
—  
 
ProShares Ultra Gold
  
   
   
   
 
Citibank, N.A.
  
(1,531,632
)  
—  
   
1,531,632
   
—  
 
Goldman Sachs International
  
(1,119,427
)  
1,119,427
   
—  
   
—  
 
UBS AG
  
(1,270,291
)  
1,270,291
   
—  
   
—  
 
ProShares Ultra Silver
  
   
   
   
 
Citibank, N.A.
  
(10,245,707
)  
4,229,707
   
6,016,000
   
—  
 
Goldman Sachs International
  
(6,979,828
)  
6,979,828
   
—  
   
—  
 
UBS AG
  
(8,221,401
)  
8,221,401
   
—  
   
—  
 
ProShares Ultra VIX Short-Term Futures ETF
  
   
   
   
 
Goldman Sachs
 & Co.
  
(195,227
)  
—  
   
195,227
   
—  
 
ProShares Ultra Yen
  
   
   
   
 
Goldman Sachs International
  
(14,196
)  
—  
   
14,196
   
—  
 
UBS AG
  
(13,942
)  
—  
   
13,942
   
—  
 
ProShares UltraShort Bloomberg Crude Oil
  
   
   
   
 
Citibank, N.A.
  
4,057,928
   
—  
   
(2,250,000
)  
1,807,928
 
Goldman Sachs International
  
2,123,405
   
(1,122,724
)  
—  
   
1,000,681
 
Royal Bank of Canada
  
1,553,185
   
—  
   
(620,000
)  
933,185
 
Societe Generale
  
548,761
   
(257,363
)  
—  
   
291,398
 
UBS AG
  
2,123,760
   
(1,032,343
)  
—  
   
1,091,417
 
ProShares UltraShort Euro
  
   
   
   
 
Goldman Sachs International
  
1,313,662
   
(777,931
)  
—  
   
535,731
 
UBS AG
  
1,358,526
   
(806,144
)  
—  
   
552,382
 
ProShares UltraShort Gold
  
   
   
   
 
Citibank, N.A.
  
349,289
   
—  
   
—  
   
349,289
 
Goldman Sachs International
  
172,694
   
—  
   
—  
   
172,694
 
UBS AG
  
140,246
   
—  
   
—  
   
140,246
 
ProShares UltraShort Silver
  
   
   
   
 
Citibank, N.A.
  
374,866
   
—  
   
—  
   
374,866
 
Goldman Sachs International
  
253,496
   
—  
   
—  
   
253,496
 
UBS AG
  
347,465
   
—  
   
—  
   
347,465
 
ProShares UltraShort Yen
  
   
   
   
 
Goldman Sachs International
  
196,246
   
(154,745
)  
—  
   
41,501
 
UBS AG
  
179,473
   
—  
   
—  
   
179,473
 
125

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, 2018:
                         
Fair Values of Derivative Instruments as of December 31, 2018
 
 
Assets
  
Liabilities
 
Fund
 
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
  
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
  
Net Amounts of
Liabilities
presented in
the Statements
of Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
  
   
   
   
   
   
 
Swap agreements
 $
—  
  $
—  
  $
—  
  $
  72,767,125
  $
—  
  $
  72,767,125
 
ProShares Ultra Euro
  
   
   
   
   
   
 
Foreign currency forward contracts
  
61,971
   
—  
   
61,971
   
4,033
   
—  
   
4,033
 
ProShares Ultra Gold
  
   
   
   
   
   
 
Forward agreements
  
4,253,301
   
—  
   
4,253,301
   
—  
   
—  
   
—  
 
ProShares Ultra Silver
  
   
   
   
   
   
 
Forward agreements
  
26,301,717
   
—  
   
26,301,717
   
—  
   
—  
   
—  
 
ProShares Ultra VIX Short-Term Futures ETF
  
   
   
   
   
   
 
Swap agreements
  
—  
   
—  
   
—  
   
1,330,949
   
—  
   
1,330,949
 
ProShares Ultra Yen
  
   
   
   
   
   
 
Foreign currency forward contracts
  
179,187
   
—  
   
179,187
   
2,076
   
—  
   
2,076
 
ProShares UltraShort Bloomberg Crude Oil
  
   
   
   
   
   
 
Swap agreements
  
20,646,726
   
—  
   
20,646,726
   
—  
   
—  
   
—  
 
ProShares UltraShort Euro
  
   
   
   
   
   
 
Foreign currency forward contracts
  
104,074
   
—  
   
104,074
   
1,599,878
   
—  
   
1,599,878
 
ProShares UltraShort Gold
  
   
   
   
   
   
 
Forward agreements
  
—  
   
—  
   
—  
   
990,786
   
—  
   
990,786
 
ProShares UltraShort Silver
  
   
   
   
   
   
 
Forward agreements
  
—  
   
—  
   
—  
   
1,793,011
   
—  
   
1,793,011
 
ProShares UltraShort Yen
  
   
   
   
   
   
 
Foreign currency forward contracts
  
678,152
   
—  
   
678,152
   
3,801,896
   
—  
   
3,801,896
 
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 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”.


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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2018
 
Fund
 
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.
 $
(22,752,565
) $
20,667,565
  $
2,085,000
  $
—  
 
Goldman Sachs International
  
(15,691,687
)  
10,417,687
   
5,274,000
   
—  
 
Royal Bank of Canada
  
(13,836,386
)  
13,836,386
   
—  
   
—  
 
Societe Generale
  
(5,206,589
)  
1,491,589
   
3,715,000
   
—  
 
UBS AG
  
(15,279,898
)  
15,156,898
   
123,000
   
—  
 
ProShares Ultra Euro
  
   
   
   
 
Goldman Sachs International
  
26,209
   
—  
   
—  
   
26,209
 
UBS AG
  
31,729
   
—  
   
—  
   
31,729
 
ProShares Ultra Gold
  
   
   
   
 
Citibank, N.A.
  
1,682,026
   
(1,682,026
)  
—  
   
—  
 
Goldman Sachs International
  
1,223,528
   
(1,223,528
)  
—  
   
—  
 
Societe Generale
  
61,260
   
—  
   
—  
   
61,260
 
UBS AG
  
1,286,487
   
(1,286,487
)  
—  
   
—  
 
ProShares Ultra Silver
  
   
   
   
 
Citibank, N.A.
  
9,662,061
   
(8,053,860
)  
—  
   
1,608,201
 
Goldman Sachs International
  
8,418,745
   
(1,655,971
)  
—  
   
6,762,774
 
Societe Generale
  
118,797
   
—  
   
—  
   
118,797
 
UBS AG
  
8,102,114
   
(6,971,401
)  
—  
   
1,130,713
 
ProShares Ultra VIX Short-Term Futures ETF
  
   
   
   
 
Goldman Sachs International
  
(1,330,949
)  
—  
   
1,330,949
   
—  
 
ProShares Ultra Yen
  
   
   
   
 
Goldman Sachs International
  
73,705
   
—  
   
—  
   
73,705
 
UBS AG
  
103,406
   
—  
   
—  
   
103,406
 
ProShares UltraShort Bloomberg Crude Oil
  
   
   
   
 
Citibank, N.A.
  
8,336,367
   
(8,336,367
)  
—  
   
—  
 
Goldman Sachs International
  
2,752,372
   
(2,752,372
)  
—  
   
—  
 
Royal Bank of Canada
  
4,237,960
   
—  
   
(4,237,960
)  
—  
 
Societe Generale
  
1,891,050
   
(1,891,050
)  
—  
   
—  
 
UBS AG
  
3,428,977
   
(3,428,977
)  
—  
   
—  
 
ProShares UltraShort Euro
  
   
   
   
 
Goldman Sachs International
  
(610,002
)  
610,002
   
—  
   
—  
 
UBS AG
  
(885,802
)  
—  
   
885,802
   
—  
 
ProShares UltraShort Gold
  
   
   
   
 
Citibank, N.A.
  
(380,655
)  
119,655
   
261,000
   
—  
 
Goldman Sachs International
  
(258,134
)  
—  
   
258,134
   
—  
 
Societe Generale
  
(63,076
)  
—  
   
63,076
   
—  
 
UBS AG
  
(288,921
)  
—  
   
288,921
   
—  
 
ProShares UltraShort Silver
  
   
   
   
 
Citibank, N.A.
  
(566,050
)  
—  
   
566,050
   
—  
 
Goldman Sachs International
  
(605,756
)  
—  
   
605,756
   
—  
 
Societe Generale
  
(119,953
)  
—  
   
119,953
   
—  
 
UBS AG
  
(501,252
)  
—  
   
501,252
   
—  
 
ProShares UltraShort Yen
  
   
   
   
 
Goldman Sachs International
  
(1,425,071
)  
—  
   
1,425,071
   
—  
 
UBS AG
  
(1,698,673
)  
1,571,673
   
127,000
   
—  
 
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.
127

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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, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include 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
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”) serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administratio
n
and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
Brown Brothers Harriman & Co. (“BBH&Co.”) served as administr
a
tor of the Funds and the Trust until replaced by BNY Mellon on October 1, 2018.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon 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 BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
BBH&Co. served as custodian of the Funds and the Trust until replaced by BNY Mellon on October 1, 2018.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
BBH&Co. served as transfer agent of the Funds and the Trust until replaced by BNY Mellon on October 1, 2018.
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. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures 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 (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
Transaction fees for the three and nine months ended September 30, 2019 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, 2019
  
Nine Months Ended
September 30, 2019
 
ProShares Short Euro
 $
—  
  $
—  
 
ProShares Short VIX Short-Term Futures ETF
  
43,815
   
111,420
 
ProShares Ultra Bloomberg Crude Oil
  
—  
   
57,619
 
ProShares Ultra Bloomberg Natural Gas
  
—  
   
5,580
 
ProShares Ultra Euro
  
—  
   
—  
 
ProShares Ultra Gold
  
—  
   
1,632
 
ProShares Ultra Silver
  
—  
   
7,332
 
ProShares Ultra VIX Short-Term Futures ETF
  
584,263
   
1,565,968
 
ProShares Ultra Yen
  
—  
   
—  
 
ProShares UltraPro 3
x
 Crude Oil ETF
  
—  
   
24,934
 
ProShares UltraPro 3
x
 Short Crude Oil ETF
  
—  
   
8,919
 
ProShares UltraShort Australian Dollar
  
—  
   
—  
 
ProShares UltraShort Bloomberg Crude Oil
  
—  
   
27,697
 
ProShares UltraShort Bloomberg Natural Gas
  
—  
   
1,378
 
ProShares UltraShort Euro
  
—  
   
—  
 
ProShares UltraShort Gold
  
—  
   
1,606
 
ProShares UltraShort Silver
  
—  
   
—  
 
ProShares UltraShort Yen
  
—  
   
—  
 
ProShares VIX
Mid-Term
Futures ETF
  
3,639
   
16,303
 
ProShares VIX Short-Term Futures ETF
  
83,398
   
147,618
 
       
Total Trust
 $
715,115
  $
1,978,006
 


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NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended September 30, 2019
                         
For the Three Months Ended September 30, 2019 (unaudited)
 
   
Short VIX
  
Ultra
  
Ultra
     
Per Share Operating
   
Short-Term
  
Bloomberg
  
Bloomberg
     
Performance
 
Short Euro
  
Futures ETF
  
Crude Oil
  
Natural Gas
  
Ultra Euro
  
Ultra Gold
 
Net asset value, at June 30, 2019
 $
44.25
  $
54.51
  $
19.63
  $
13.85
  $
14.50
  $
43.78
 
Net investment income (loss)
  
0.14
   
0.06
   
0.05
   
0.03
   
0.03
   
0.12
 
Net realized and unrealized gain (loss)#
  
2.24
   
(0.64
)  
(3.60
)  
(1.01
)  
(1.36
)  
2.63
 
Change in net asset value from operations
  
2.38
   
(0.58
)  
(3.55
)  
(0.98
)  
(1.33
)  
2.75
 
Net asset value, at September 30, 2019
 $
46.63
  $
53.93
  $
16.08
  $
12.87
  $
13.17
  $
46.53
 
Market value per share, at June 30, 2019
 $
44.26
  $
53.87
  $
19.32
  $
13.92
  $
14.51
  $
43.80
 
Market value per share, at September 30, 2019
 $
46.73
  $
53.41
  $
16.22
  $
12.87
  $
13.17
  $
46.94
 
Total Return, at net asset value^
  
5.4
%  
(1.1
)%  
(18.1
)%  
(7.1
)%  
(9.2
)%  
6.3
%
Total Return, at market value^
  
5.6
%  
(0.9
)%  
   
(7.5
)%  
(9.2
)%  
7.2
%
Ratios to Average Net Assets**
  
   
   
   
   
   
 
Expense ratio
  
0.97
%  
1.16
%  
1.01
%  
1.29
%  
0.95
%  
0.96
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
1.24
%  
0.46
%  
1.06
%  
0.75
%  
0.89
%  
0.97
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.


Table of Contents
                         
For the Three Months Ended September 30, 2019 (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, 2019
 $
24.62
  $
30.37
  $
58.09
  $
22.54
  $
19.80
  $
55.76
 
Net investment income (loss)
  
0.07
   
0.01
   
0.14
   
0.03
   
0.02
   
0.16
 
Net realized and unrealized gain (loss)#
  
4.52
   
(5.00
)  
(1.17
)  
(7.15
)  
(2.79
)  
4.59
 
Change in net asset value from operations
  
4.59
   
(4.99
)  
(1.03
)  
(7.12
)  
(2.77
)  
4.75
 
Net asset value, at September 30, 2019
 $
29.21
  $
25.38
  $
57.06
  $
15.42
  $
17.03
  $
60.51
 
Market value per share, at June 30, 2019
 $
24.65
  $
31.49
  $
58.09
  $
22.00
  $
20.28
  $
55.76
 
Market value per share, at September 30, 2019
 $
29.48
  $
26.04
  $
57.08
  $
15.62
  $
16.80
  $
60.42
 
Total Return, at net asset value^
  
18.6
%  
(16.4
)%  
(1.8
)%  
(31.6
)%  
(14.0
)%  
8.5
%
Total Return, at market value^
  
19.6
%  
(17.3
)%  
(1.7
)%  
(29.0
)%  
(17.2
)%  
 
Ratios to Average Net Assets**
  
   
   
   
   
   
 
Expense ratio
  
0.97
%  
1.54
%  
0.95
%  
1.26
%  
1.39
%  
1.03
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.88
%  
0.10
%  
0.96
%  
0.66
%  
0.45
%  
1.11
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.


Table of Contents
                         
For the Three Months Ended September 30, 2019 (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, 2019
 $
16.86
  $
30.75
  $
25.39
  $
61.14
  $
38.22
  $
73.46
 
Net investment income (loss)
  
0.04
   
0.03
   
0.07
   
0.17
   
0.10
   
0.23
 
Net realized and unrealized gain (loss)#
  
(0.50
)  
(1.36
)  
2.56
   
(4.75
)  
(8.45
)  
1.04
 
Change in net asset value from operations
  
(0.46
)  
(1.33
)  
2.63
   
(4.58
)  
(8.35
)  
1.27
 
Net asset value, at September 30, 2019
 $
16.40
  $
29.42
  $
28.02
  $
56.56
  $
29.87
  $
74.73
 
Market value per share, at June 30, 2019
 $
17.12
  $
30.58
  $
25.34
  $
61.10
  $
38.18
  $
73.46
 
Market value per share, at September 30, 2019
 $
16.24
  $
29.47
  $
28.03
  $
56.01
  $
29.60
  $
74.69
 
Total Return, at net asset value^
  
(2.7
)%  
(4.3
)%  
10.4
%  
(7.5
)%  
   
1.7
%
Total Return, at market value^
  
(5.1
)%  
(3.6
)%  
10.6
%  
(8.3
)%  
(22.5
)%  
1.7
%
Ratios to Average Net Assets**
  
   
   
   
   
   
 
Expense ratio
  
1.08
%  
1.61
%  
0.95
%  
0.99
%  
1.01
%  
0.95
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.99
%  
0.36
%  
1.11
%  
1.21
%  
1.27
%  
1.24
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.


Table of Contents
         
For the Three Months Ended September 30, 2019 (unaudited)
 
Per Share Operating
Performance
 
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at June 30, 2019
 $
21.42
  $
20.86
 
Net investment income (loss)
  
0.07
   
0.05
 
Net realized and unrealized gain (loss)#
  
2.01
   
(1.72
)
Change in net asset value from operations
  
2.08
   
(1.67
)
Net asset value, at September 30, 2019
 $
23.50
  $
19.19
 
Market value per share, at June 30, 2019
 $
21.63
  $
21.40
 
Market value per share, at September 30, 2019
 $
23.67
  $
19.52
 
Total Return, at net asset value^
  
9.7
%  
(8.0
)%
Total Return, at market value^
  
9.4
%  
(8.8
)%
Ratios to Average Net Assets**
  
   
 
Expense ratio
  
0.92
%  
1.00
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.85
%  
0.85
%
Net investment income gain (loss)
  
1.21
%  
0.93
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.


Table of Contents
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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.53
%  
(0.09
)%  
0.88
%  
0.48
%  
0.41
%  
0.97
%
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.


Table of Contents
                         
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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.97
%  
(0.80
)%  
(0.19
)%  
0.04
%  
(0.14
)%  
0.50
%
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.


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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.84
%  
0.09
%  
0.87
%  
0.73
%  
0.67
%  
0.89
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.


Table of Contents
         
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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.85
%  
0.85
%
Net investment income gain (loss)
  
0.44
%  
0.15
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.


Table of Contents
Selected data for a Share outstanding throughout the nine months ended September 30, 2019
                         
For the Nine Months Ended September 30, 2019 (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, 2018
 $
43.10
  $
42.36
  $
13.06
  $
25.28
  $
15.09
  $
37.12
 
Net investment income (loss)
  
0.43
   
0.16
   
0.16
   
0.09
   
0.11
   
0.32
 
Net realized and unrealized gain (loss)#
  
3.10
   
11.41
   
2.86
   
(12.50
)  
(2.03
)  
9.09
 
Change in net asset value from operations
  
3.53
   
11.57
   
3.02
   
(12.41
)  
(1.92
)  
9.41
 
Net asset value, at September 30, 2019
 $
46.63
  $
53.93
  $
16.08
  $
12.87
  $
13.17
  $
46.53
 
Market value per share, at December 31, 2018
 $
43.08
  $
42.30
  $
13.30
  $
25.82
  $
15.12
  $
37.41
 
Market value per share, at September 30, 2019
 $
46.73
  $
53.41
  $
16.22
  $
12.87
  $
13.17
  $
46.94
 
Total Return, at net asset value^
  
8.2
%  
27.3
%  
23.1
%  
(49.1
)%  
(12.7
)%  
25.3
%
Total Return, at market value^
  
8.5
%  
26.3
%  
22.0
%  
(50.2
)%  
(12.9
)%  
25.5
%
Ratios to Average Net Assets**
  
   
   
   
   
   
 
Expense ratio
  
0.97
%  
1.30
%^^  
0.99
%  
1.32
%  
0.95
%  
0.96
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
1.28
%  
0.41
%  
1.12
%  
0.76
%  
1.02
%  
1.05
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.
^^Expense ratio, excluding
non-recurring
fees and expense is 1.16%.


Table of Contents
                         
For the Nine Months Ended September 30, 2019 (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, 2018
 $
26.39
  $
81.46
  $
57.53
  $
13.08
  $
49.79
  $
55.30
 
Net investment income (loss)
  
0.20
   
0.03
   
0.44
   
0.13
   
0.09
   
0.49
 
Net realized and unrealized gain (loss)#
  
2.62
   
(56.11
)  
(0.91
)  
2.21
   
(32.85
)  
4.72
 
Change in net asset value from operations
  
2.82
   
(56.08
)  
(0.47
)  
2.34
   
(32.76
)  
5.21
 
Net asset value, at September 30, 2019
 $
29.21
  $
25.38
  $
57.06
  $
15.42
  $
17.03
  $
60.51
 
Market value per share, at December 31, 2018
 $
26.37
  $
81.73
  $
57.55
  $
13.47
  $
48.43
  $
54.92
 
Market value per share, at September 30, 2019
 $
29.48
  $
26.04
  $
57.08
  $
15.62
  $
16.80
  $
60.42
 
Total Return, at net asset value^
  
10.7
%  
(68.8
)%  
(0.8
)%  
17.9
%  
(65.8
)%  
9.4
%
Total Return, at market value^
  
11.8
%  
(68.1
)%  
(0.8
)%  
16.0
%  
(65.3
)%  
10.0
%
Ratios to Average Net Assets**
  
   
   
   
   
   
 
Expense ratio
  
0.97
%  
1.53
%^^  
0.95
%  
1.22
%  
1.38
%  
1.03
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.99
%  
0.13
%  
1.04
%  
0.80
%  
0.59
%  
1.17
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.
^^Expense ratio, excluding
non-recurring
fees and expense is
1.53
%.


Table of Contents
                         
For the Nine Months Ended September 30, 2019 (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, 2018
 $
29.79
  $
21.61
  $
24.27
  $
73.28
  $
37.13
  $
73.89
 
Net investment income (loss)
  
0.14
   
0.10
   
0.24
   
0.52
   
0.27
   
0.72
 
Net realized and unrealized gain (loss)#
  
(13.53
)  
7.71
   
3.51
   
(17.24
)  
(7.53
)  
0.12
 
Change in net asset value from operations
  
(13.39
)  
7.81
   
3.75
   
(16.72
)  
(7.26
)  
0.84
 
Net asset value, at September 30, 2019
 $
16.40
  $
29.42
  $
28.02
  $
56.56
  $
29.87
  $
74.73
 
Market value per share, at December 31, 2018
 $
29.28
  $
21.22
  $
24.25
  $
72.84
  $
37.10
  $
73.86
 
Market value per share, at September 30, 2019
 $
16.24
  $
29.47
  $
28.03
  $
56.01
  $
29.60
  $
74.69
 
Total Return, at net asset value^
  
(44.9
)%  
36.1
%  
15.5
%  
(22.8
)%  
(19.6
)%  
1.1
%
Total Return, at market value^
  
(44.5
)%  
38.9
%  
15.6
%  
(23.1
)%  
(20.2
)%  
1.1
%
Ratios to Average Net Assets**
  
   
   
   
   
   
 
Expense ratio
  
1.04
%  
1.51
%  
0.95
%  
0.98
%  
1.00
%  
0.95
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
1.04
%  
0.55
%  
1.22
%  
1.06
%  
0.99
%  
1.29
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.
140

Table of Contents
         
For the Nine Months Ended September 30, 2019 (unaudited)
 
Per Share Operating
Performance
 
VIX Mid-
Term Futures
ETF
  
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2018
 $
26.65
  $
38.58
 
Net investment income (loss)
  
0.21
   
0.19
 
Net realized and unrealized gain (loss)#
  
(3.36
)  
(19.58
)
Change in net asset value from operations
  
(3.15
)  
(19.39
)
Net asset value, at September 30, 2019
 $
23.50
  $
19.19
 
Market value per share, at December 31, 2018
 $
26.74
  $
38.61
 
Market value per share, at September 30, 2019
 $
23.67
  $
19.52
 
Total Return, at net asset value^
  
(11.8
)%  
(50.3
)%
Total Return, at market value^
  
(11.5
)%  
(49.4
)%
Ratios to Average Net Assets**
  
   
 
Expense ratio
  
0.93
%  
0.96
%
Expense ratio, excluding non-recurring fees and expenses, and brokerage commissions and fees
  
0.85
%  
0.85
%
Net investment income gain (loss)
  
1.25
%  
1.10
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2019.


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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.33
%  
(0.50
)%  
0.58
%  
0.24
%  
0.19
%  
0.68
%
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.
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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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.66
%  
(0.98
)%  
(0.31
)%  
(0.50
)%  
(0.82
)%  
0.25
%
*See Note 1 of these Notes to Financial Statements.
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.

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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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%  
0.95
%
Net investment income gain (loss)
  
0.62
%  
(0.21
)%  
0.62
%  
0.57
%  
0.53
%  
0.62
%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.


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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 non-recurring fees and expenses, and brokerage commissions and fees
  
0.85
%  
0.85
%
Net investment income gain (loss)
  
0.12
%  
(0.02
)%
**Percentages are annualized.
#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 NYSE Arca, which may be later than when the Funds’ net asset value is calculated.
^Percentages are not annualized for the period ended September 30, 2018.
(1)Amount represents greater than $(0.005).


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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 in amount and possibly even direction 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) 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. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. 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 of 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,
-3x,
1.5x, 2x, 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 OTC 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 materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
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 Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
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 OTC 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 OTC 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.
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


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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 a Futures Commission Merchant 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. 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 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 increases the risk of 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 opposite direction, eliminating all or a portion of the movement. For the 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.


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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 2018 may specify a January 2019 expiration. As that contract nears expiration, it may be replaced by selling the January 2019 contract and purchasing the contract expiring in March 2019. 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 2019 contract would take place at a price that is higher than the price at which the March 2019 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.
NOTE 9 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.


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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator 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, the Trustee, or the Administrator 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.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
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, 2019, 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 generally investslisted above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in Financialand 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”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.
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.
As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments (i.e.,are instruments whose value is derived from the value of an underlying asset, rate or index,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 its applicable commodity futures index, commodity, currency exchange ratethe VIX Index, natural gas, crude oil, precious metals, or equity volatility index.currencies, as applicable. Financial Instruments also are used to produce economically “inverse,”“inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.

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Each “Short”Short Fund seeks daily investment results, (beforebefore fees and expenses)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”UltraShort Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “Ultra”UltraPro Short Fund seeks daily investment results, (beforebefore fees and expenses)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, (beforebefore fees and expenses), bothexpenses, that over a single day and over time, that match the performance of itsthe corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the next.

Fund’s next NAV calculation.

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation.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 in amount and possibly even direction from
-0.5x,
-1x,
-2x,
-3x,
1.5x, 2x or 2x3x, as applicable, of the return of the indexbenchmark to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatilityVolatility 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 aredo not geared. Accordingly, theseuse leverage. Geared 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. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day.
Each Matching VIX Fund seeks investment results, (beforebefore fees and expenses), both over a single day and over time,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, (beforebefore fees and expenses)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 primarilytaking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, and ProShares Ultra Bloomberg Natural Gas each have a benchmark that is an indexare benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexesIndexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
per-Share
market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

The Sponsor maintains an Internet website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR website at www.sec.gov.


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Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, and each Fund’s trading in futures, andand/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, 20172019 and 2016,2018, each of the Funds earned interest income as follows:

Interest Income

Fund

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

ProShares VIX Short-Term Futures ETF

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

ProShares VIXMid-Term Futures ETF

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

ProShares Short VIX Short-Term Futures ETF

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

ProShares Ultra VIX Short-Term Futures ETF

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

ProShares UltraShort Bloomberg Crude Oil

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

ProShares UltraPro 3X Short Crude Oil ETF

   —      —      —      —   

ProShares UltraShort Bloomberg Natural Gas

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

ProShares UltraShort Gold

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

ProShares UltraShort Silver

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

ProShares Short Euro

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

ProShares UltraShort Australian Dollar

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

ProShares UltraShort Euro

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

ProShares UltraShort Yen

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

ProShares Ultra Bloomberg Crude Oil

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

ProShares UltraPro 3X Crude Oil ETF

   —      —      —      —   

ProShares Ultra Bloomberg Natural Gas

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

ProShares Ultra Gold

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

ProShares Ultra Silver

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

ProShares Ultra Euro

   30,171    6,257    69,923    18,054 

ProShares Ultra Yen

   10,221    4,659    21,407    11,808 

                 
Fund
 
Interest Income
Three Months
Ended
September 30, 2019
  
Interest Income
Three Months
Ended
September 30, 2018
  
Interest Income
Nine Months
Ended
September 30, 2019
  
Interest Income
Nine Months
Ended
September 30, 2018
 
ProShares Short Euro
 $
107,143
  $
31,641
  $
297,766
  $
78,667
 
ProShares Short VIX Short-Term
Futures ETF
  
1,291,477
   
1,287,659
   
4,759,836
   
4,369,182
 
ProShares Ultra Bloomberg Crude Oil
  
1,881,595
   
1,905,336
   
6,185,775
   
5,027,003
 
ProShares Ultra Bloomberg Natural Gas
  
174,945
   
103,480
   
431,788
   
357,473
 
ProShares Ultra Euro
  
25,543
   
27,379
   
100,510
   
77,134
 
ProShares Ultra Gold
  
508,770
   
371,579
   
1,333,779
   
1,076,472
 
ProShares Ultra Silver
  
1,032,102
   
969,237
   
2,867,840
   
2,671,211
 
ProShares Ultra VIX Short-Term Futures ETF
  
2,018,561
   
1,202,062
   
6,119,714
   
2,441,956
 
ProShares Ultra Yen
  
16,771
   
5,433
   
62,655
   
14,169
 
ProShares UltraPro 3x Crude Oil ETF
  
484,215
   
110,355
   
1,723,210
   
115,343
 
ProShares UltraPro 3x Short Crude Oil ETF
  
147,602
   
56,224
   
324,609
   
62,491
 
ProShares UltraShort Australian Dollar
  
38,466
   
29,472
   
134,230
   
73,735
 
ProShares UltraShort Bloomberg Crude Oil
  
418,817
   
756,932
   
1,205,353
   
2,275,948
 
ProShares UltraShort Bloomberg
Natural Gas
  
25,657
   
23,953
   
133,810
   
55,020
 
ProShares UltraShort Euro
  
689,247
   
787,334
   
2,269,169
   
2,188,547
 
ProShares UltraShort Gold
  
97,539
   
118,392
   
295,028
   
323,515
 
ProShares UltraShort Silver
  
72,984
   
99,348
   
229,545
   
242,765
 
ProShares UltraShort Yen
  
242,826
   
369,683
   
833,627
   
1,041,106
 
ProShares VIX
Mid-Term
Futures ETF
  
227,815
   
61,731
   
718,946
   
171,777
 
ProShares VIX Short-Term Futures ETF
  
1,278,488
   
366,829
   
3,414,854
   
878,858
 
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 thesuch Fund’s benchmark at a specified date and price, should it hold such derivativesderivative 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 unclearedOTC 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;

limiting the amount of margin or premium posted at a futures commission merchant (“FCM”);merchant; and

ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance
Sheet Arrangements and Contractual Obligations

As of November 2, 2017,1, 2019, 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.

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Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of paymentspayment 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 transactionsinvestments based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the three and nine monthsperiod ended September 30, 2017.

2019.

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.(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,Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and fornon-exchange-traded derivatives,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 for such day.position. 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, theThe 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 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 VIXa Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positionsinvestments 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.

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Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees,give-up 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 onin 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, 20172019 Compared to the Three Months Ended September 30, 2016

2018

ProShares VIX Short-Term Futures ETF*

Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $162,053,094  $190,955,944 

NAV end of period

  $191,364,819  $227,819,218 

Percentage change in NAV

   18.1  19.3

Shares outstanding beginning of period

   3,796,113   1,057,491 

Shares outstanding end of period

   5,876,317   1,996,113 

Percentage change in shares outstanding

   54.8  88.8

Shares created

   3,106,250   1,151,250 

Shares redeemed

   1,026,046   212,628 

Per share NAV beginning of period

  $42.69  $180.57 

Per share NAV end of period

  $32.57  $114.13 

Percentage change in per share NAV

   (23.7)%   (36.8)% 

Percentage change in benchmark

   (23.4)%   (36.8)% 

Benchmark annualized volatility

   65.8  55.1

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
22,127,403
  $
8,319,329
 
NAV end of period
 $
18,651,067
  $
8,418,243
 
Percentage change in NAV
  
(15.7
)%  
1.2
%
Shares outstanding beginning of period
  
500,000
   
200,000
 
Shares outstanding end of period
  
400,000
   
200,000
 
Percentage change in shares outstanding
  
(20.0
)%  
—  
 
Shares created
  
—  
   
—  
 
Shares redeemed
  
100,000
   
—  
 
Per share NAV beginning of period
 $
44.25
  $
41.60
 
Per share NAV end of period
 $
46.63
  $
42.09
 
Percentage change in per share NAV
  
5.4
%  
1.2
%
Percentage change in benchmark
  
(4.1
)%  
(0.6
)%
Benchmark annualized volatility
  
5.2
%  
7.1
%
During the three months ended September 30, 2017,2019, the increase in the Fund’s NAV resulted from an increase from 3,796,113 outstanding Shares at June 30, 2017 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,057,491 outstanding Shares at June 30, 2016 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $179.80 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(61,284  $(407,697

Management fee

   381,123    474,982 

Brokerage commissions

   59,243    76,959 

Net realized gain (loss)

   (27,446,786   (101,781,283

Change in net unrealized appreciation/depreciation

   (17,216,367   6,811,763 

Net income (loss)

  $(44,724,437  $(95,377,217

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share splits for the ProShares VIX Short-Term Futures ETF.

ProShares VIXMid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $30,550,943  $42,224,892 

NAV end of period

  $45,047,423  $58,894,811 

Percentage change in NAV

   47.5  39.5

Shares outstanding beginning of period

   1,112,403   812,403 

Shares outstanding end of period

   1,787,403   1,287,403 

Percentage change in shares outstanding

   60.7  58.5

Shares created

   675,000   525,000 

Shares redeemed

   —     50,000 

Per share NAV beginning of period

  $27.46  $51.98 

Per share NAV end of period

  $25.20  $45.75 

Percentage change in per share NAV

   (8.2)%   (12.0)% 

Percentage change in benchmark

   (8.0)%   (11.7)% 

Benchmark annualized volatility

   27.0  20.2

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016 was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 8.0% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 11.7% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(15,787  $(89,667

Management fee

   80,574    108,438 

Brokerage commissions

   6,764    10,935 

Net realized gain (loss)

   (3,965,084   (4,899,386

Change in net unrealized appreciation/depreciation

   365,957    (1,141,385

Net income (loss)

  $(3,614,914  $(6,130,438

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $793,060,423  $687,712,265 

NAV end of period

  $1,039,873,910  $504,798,665 

Percentage change in NAV

   31.1  (26.6)% 

Shares outstanding beginning of period

   9,900,000   27,600,000 

Shares outstanding end of period

   11,100,000   13,900,000 

Percentage change in shares outstanding

   12.1  (49.6)% 

Shares created

   17,750,000   18,500,000 

Shares redeemed

   16,550,000   32,200,000 

Per share NAV beginning of period

  $80.11  $24.92 

Per share NAV end of period

  $93.68  $36.32 

Percentage change in per share NAV

   16.9  45.7

Percentage change in benchmark

   (23.4)%   (36.8)% 

Benchmark annualized volatility

   65.8  55.1

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increasea decrease from 9,900,000500,000 outstanding Shares at June 30, 20172019 to 11,100,000400,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 27,600,000 outstanding Shares at June 30, 2016 to 13,900,000 outstanding Shares at September 30, 2016.2019. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to the inverse

(-1x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.

spot price of the euro versus the U.S. dollar. By comparison, 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.
For the three months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.9%5.4% for the three months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV increase of 45.7%1.2% for the three months ended September 30, 2016,2018, was primarily due to a lessergreater appreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on August 18, 2017 at $70.05 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on July 5, 2016 at $25.02 per Share.

2019.

The benchmark’s decline of 23.4%4.1% for the three months ended September 30, 2017,2019, as compared to the benchmark’s decline of 36.8%0.6% for the three months ended September 30, 2016,2018, can be attributed to a lesser declinegreater decrease in the value of the prices ofeuro versus the near-term futures contracts on the VIX futures curveU.S. dollar during the three monthsperiod ended September 30, 2017.

2019.



Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,640,811  $(1,171,428

Management fee

   2,376,444    951,001 

Brokerage commissions

   1,366,561    469,401 

Net realized gain (loss)

   188,307,524    277,233,576 

Change in net unrealized appreciation/depreciation

   100,090,454    (51,779,349

Net income (loss)

  $286,757,167   $224,282,799 

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
60,251
  $
11,261
 
Management fee
  
46,129
   
20,064
 
Brokerage commission
  
763
   
316
 
Net realized gain (loss)
  
625,576
   
173,885
 
Change in net unrealized appreciation (depreciation)
  
337,705
   
(86,232
)
Net Income (loss)
 $
1,023,532
  $
98,914
 
The Fund’s net income increased for the three months ended September 30, 2017,2019 as compared to the three months ended September 30, 2016,2018, primarily due to a greater decrease in the pricesvalue of the euro versus the U.S. dollar during the three months ended September 30, 2019.
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, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
337,102,327
  $
528,238,767
 
NAV end of period
 $
338,896,125
  $
392,109,157
 
Percentage change in NAV
  
0.5
%  
(25.8
)%
Shares outstanding beginning of period
  
6,184,307
   
10,337,500
 
Shares outstanding end of period
  
6,284,307
   
6,634,307
 
Percentage change in shares outstanding
  
1.6
%  
(35.8
)%
Shares created
  
850,000
   
—  
 
Shares redeemed
  
750,000
   
3,703,193
 
Per share NAV beginning of period
 $
54.51
  $
51.10
 
Per share NAV end of period
 $
53.93
  $
59.10
 
Percentage change in per share NAV
  
(1.1
)%  
15.7
%
Percentage change in benchmark
  
(7.8
)%  
(27.8
)%
Benchmark annualized volatility
  
76.4
%  
43.7
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 6,184,307 outstanding Shares at June 30, 2019 to 6,284,307 outstanding Shares at September 30, 2019. 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-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, 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.
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.1% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 15.7% for the three months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.


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The benchmark’s decline of 7.8% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 27.8% for the three months ended September 30, 2018, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
366,033
  $
(101,161
)
Management fee
  
757,124
   
1,111,482
 
Brokerage commission
  
166,779
   
272,502
 
Net realized gain (loss)
  
1,175,732
   
38,096,229
 
Change in net unrealized appreciation (depreciation)
  
(5,426,565
)  
33,660,002
 
Net Income (loss)
 $
(3,884,800
) $
71,655,070
 
The Fund’s net income decreased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a lesser decrease in conjunction with an increase in shares outstanding,the value of futures prices during the three months ended September 30, 2017.

2019.
*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 VIX Short-Term Futures ETF*

Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $378,714,636  $839,613,853 

NAV end of period

  $535,095,732  $738,749,800 

Percentage change in NAV

   41.3  (12.0)% 

Shares outstanding beginning of period

   9,631,952   920,025 

Shares outstanding end of period

   25,927,238   2,185,383 

Percentage change in shares outstanding

   169.2  137.5

Shares created

   33,400,000   2,356,500 

Shares redeemed

   17,104,14   1,091,142 

Per share NAV beginning of period

  $39.32  $912.60 

Per share NAV end of period

  $20.64  $338.04 

Percentage change in per share NAV

   (47.5)%   (63.0)% 

Percentage change in benchmark

   (23.4)%   (36.8)% 

Benchmark annualized volatility

   65.8  55.1

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
381,980,628
  $
455,274,935
 
NAV end of period
 $
307,227,999
  $
397,342,621
 
Percentage change in NAV
  
(19.6
)%  
(12.7
)%
Shares outstanding beginning of period
  
19,461,317
   
13,261,317
 
Shares outstanding end of period
  
19,111,317
   
11,111,317
 
Percentage change in shares outstanding
  
(1.8
)%  
(16.2
)%
Shares created
  
15,250,000
   
2,050,000
 
Shares redeemed
  
15,600,000
   
4,200,000
 
Per share NAV beginning of period
 $
19.63
  $
34.33
 
Per share NAV end of period
 $
16.08
  $
35.76
 
Percentage change in per share NAV
  
(18.1
)%  
4.2
%
Percentage change in benchmark
  
(6.6
)%  
3.3
%
Benchmark annualized volatility
  
47.5
%  
23.7
%
During the three months ended September 30, 2017,2019, the increasedecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 19,461,317
158

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outstanding Shares at June 30, 2019 to 19,111,317 outstanding Shares at September 30, 2019. By comparison, during the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from an increasea decrease from 9,631,95213,261,317 outstanding Shares at June 30, 20172018 to 25,927,23811,111,317 outstanding Shares at September 30, 2017.2018. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2xtwo times (2x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 920,025 outstanding Shares at June 30, 2016 to 2,185,383 outstanding Shares at September 30, 2016.

Bloomberg WTI Crude Oil Subindex

SM
.
For the three months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.5%18.1% for the three months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV decreaseincrease of 63.0%4.2% for the three months ended September 30, 2016,2018, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $43.94 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $904.80 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

2019.

The benchmark’s decline of 23.4%6.6% for the three months ended September 30, 2017,2019, as compared to the benchmark’s declinerise of 36.8%3.3% for the three months ended September 30, 2016,2018, can be attributed to a lesser declinedecrease in pricesthe value of the near-term futures contracts on the VIX futures curveWTI Crude Oil during the three monthsperiod ended September 30, 2017.

2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,324,516  $(2,326,627

Management fee

   1,040,567    1,625,260 

Brokerage commissions

   1,150,806    1,102,098 

Net realized gain (loss)

   (126,538,682   (745,085,668

Change in net unrealized appreciation/depreciation

   (95,494,039   139,001,218 

Net income (loss)

  $(223,357,237  $(608,411,077

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
964,368
  $
907,471
 
Management fee
  
864,705
   
981,939
 
Brokerage commission
  
52,522
   
15,926
 
Net realized gain (loss)
  
62,255,941
   
50,283,340
 
Change in net unrealized appreciation (depreciation)
  
(106,597,827
)  
(32,414,911
)
Net Income (loss)
 $
(43,377,518
) $
18,775,900
 
The Fund’s net income increaseddecreased for the three months ended September 30, 2017,2019 as compared to the three months ended September 30, 2016,2018, primarily due to a lesser declinedecrease in the pricesvalue of the near-term futures contracts on the VIX futures curveWTI Crude Oil during the three months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

2019.



Table of Contents
ProShares UltraShortUltra Bloomberg Crude Oil*

Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $121,175,298  $165,504,746 

NAV end of period

  $238,227,025  $189,577,580 

Percentage change in NAV

   96.6  14.5

Shares outstanding beginning of period

   2,789,884   4,039,884 

Shares outstanding end of period

   7,089,884   4,739,884 

Percentage change in shares outstanding

   154.1  17.3

Shares created

   5,400,000   3,100,000 

Shares redeemed

   1,100,000   2,400,000 

Per share NAV beginning of period

  $43.43  $40.97 

Per share NAV end of period

  $33.60  $40.00 

Percentage change in per share NAV

   (22.6)%   (2.4)% 

Percentage change in benchmark

   11.2  (5.0)% 

Benchmark annualized volatility

   25.6  40.5

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
33,637,758
  $
25,715,598
 
NAV end of period
 $
24,820,631
  $
23,608,774
 
Percentage change in NAV
  
(26.2
)%  
(8.2
)%
Shares outstanding beginning of period
  
2,428,150
   
878,150
 
Shares outstanding end of period
  
1,928,150
   
778,150
 
Percentage change in shares outstanding
  
(20.6
)%  
(11.4
)%
Shares created
  
800,000
   
200,000
 
Shares redeemed
  
1,300,000
   
300,000
 
Per share NAV beginning of period
 $
13.85
  $
29.28
 
Per share NAV end of period
 $
12.87
  $
30.34
 
Percentage change in per share NAV
  
(7.1
)%  
3.6
%
Percentage change in benchmark
  
(1.7
)%  
2.9
%
Benchmark annualized volatility
  
34.4
%  
21.4
%
During the three months ended September 30, 2017,2019, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 2,428,150 outstanding Shares at June 30, 2019 to 1,928,150 outstanding Shares at September 30, 2019. 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) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2018, the decrease in the Fund’s NAV resulted from an increasea decrease from 2,789,884878,150 outstanding Shares at June 30, 20172018 to 7,089,884778,150 outstanding Shares at September 30, 2017.2018. The increasedecrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the inversetwo times (2x) of the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
.
For the three months ended September 30, 2019 and 2018, 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 7.1% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 3.6% for the three months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 1.7% for the three months ended September 30, 2019, as compared to the benchmark’s rise of 2.9% for the three months ended September 30, 2018, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
64,345
  $
30,444
 
Management fee
  
81,234
   
60,687
 
Brokerage commission
  
29,366
   
12,349
 
Net realized gain (loss)
  
(1,826,765
)  
801,033
 
Change in net unrealized appreciation (depreciation)
  
3,331,086
   
693,375
 
Net Income (loss)
 $
1,568,666
  $
1,524,852
 
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a decrease in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2019.


Table of Contents
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
5,801,170
  $
8,848,596
 
NAV end of period
 $
5,266,883
  $
7,852,376
 
Percentage change in NAV
  
(9.2
)%  
(11.3
)%
Shares outstanding beginning of period
  
400,000
   
550,000
 
Shares outstanding end of period
  
400,000
   
500,000
 
Percentage change in shares outstanding
  
—  
   
(9.1
)%
Shares created
  
—  
   
—  
 
Shares redeemed
  
—  
   
50,000
 
Per share NAV beginning of period
 $
14.50
  $
16.09
 
Per share NAV end of period
 $
13.17
  $
15.70
 
Percentage change in per share NAV
  
(9.2
)%  
(2.4
)%
Percentage change in benchmark
  
(4.1
)%  
(0.6
)%
Benchmark annualized volatility
  
5.2
%  
7.1
%
During the three months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) 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, 2019 to September 30, 2019. By comparison, during the three months ended September 30, 2016,2018, 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.
For the three months ended September 30, 2019 and 2018, 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 9.2% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 2.4% for the three months ended September 30, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 4.1% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 0.6% for the three months ended September 30, 2018, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2019.


Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
12,333
  $
8,290
 
Management fee
  
13,210
   
19,089
 
Net realized gain (loss)
  
(396,315
)  
(337,286
)
Change in net unrealized appreciation (depreciation)
  
(150,305
)  
138,276
 
Net Income (loss)
 $
(534,287
) $
(190,720
)
The Fund’s net income decreased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2019.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
85,377,335
  $
82,112,586
 
NAV end of period
 $
109,353,860
  $
73,094,988
 
Percentage change in NAV
  
28.1
%  
(11.0
)%
Shares outstanding beginning of period
  
1,950,000
   
2,250,000
 
Shares outstanding end of period
  
2,350,000
   
2,250,000
 
Percentage change in shares outstanding
  
20.5
%  
—  
 
Shares created
  
450,000
   
—  
 
Shares redeemed
  
50,000
   
—  
 
Per share NAV beginning of period
 $
43.78
  $
36.49
 
Per share NAV end of period
 $
46.53
  $
32.49
 
Percentage change in per share NAV
  
6.3
%  
(11.0
)%
Percentage change in benchmark
  
3.8
%  
(5.1
)%
Benchmark annualized volatility
  
14.3
%  
8.3
%
On December 20, 2018, the Trust announced that the ProShares Ultra Gold Fund would change its benchmark. The ProShares Ultra Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Gold Fund is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares Ultra Gold Fund was the LBMA Gold Price PM.
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 4,039,8841,950,000 outstanding Shares at June 30, 20162019 to 4,739,8842,350,000 outstanding Shares at September 30, 2016.2019. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the inverse oftwo times (2x) the daily performance of the Bloomberg WTI Crude OilGold Subindex
SM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.6% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $46.80 per Share and reached its low for the period on September 25, 2017 at $32.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $60.42 per Share and reached its low for the period on July 1, 2016 at $39.90 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(15,678  $(321,432

Management fee

   456,582    405,879 

Brokerage commissions

   17,992    27,568 

Net realized gain (loss)

   (9,418,914   50,285,292 

Change in net unrealized appreciation/depreciation

   (30,446,676   (32,963,803

Net income (loss)

  $(39,881,268  $17,000,057 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the Share split for the ProShares UltraShort Bloomberg Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

NAV beginning of period

  $5,292,315 

NAV end of period

  $15,768,728 

Percentage change in NAV

   198.0

Shares outstanding beginning of period

   200,008 

Shares outstanding end of period

   900,008 

Percentage change in shares outstanding

   350.0

Shares created

   700,000 

Shares redeemed

   —   

Per share NAV beginning of period

  $26.46 

Per share NAV end of period

  $17.52 

Percentage change in per share NAV

   (33.8)% 

Percentage change in benchmark

   11.2

Benchmark annualized volatility

   25.6

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 200,008 outstanding Shares at June 30, 2017 to 900,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

Net investment income (loss)

  $(34,013

Brokerage commissions

   9,395 

Offering costs

   37,405 

Limitation by Sponsor

   (12,787

Net realized gain (loss)

   (1,540,337

Change in net unrealized appreciation/depreciation

   (2,178,096

Net income (loss)

  $(3,752,446

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $7,455,967  $2,550,965 

NAV end of period

  $5,921,434  $6,349,132 

Percentage change in NAV

   (20.6)%   148.9

Shares outstanding beginning of period

   224,832   74,832 

Shares outstanding end of period

   174,832   174,832 

Percentage change in shares outstanding

   (22.2)%   133.6

Shares created

   150,000   400,000 

Shares redeemed

   200,000   300,000 

Per share NAV beginning of period

  $33.16  $34.09 

Per share NAV end of period

  $33.87  $36.32 

Percentage change in per share NAV

   2.1  6.5

Percentage change in benchmark

   (4.1)%   (8.0)% 

Benchmark annualized volatility

   29.6  36.5

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM

. By comparison, during the three months ended September 30, 2016,2018, the increasedecrease in the Fund’s NAV resulted primarily from an increase from 74,832 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.1% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 6.5% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 4, 2017 at $38.35 per Share and reached its low for the period on September 18, 2017 at $30.27 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 4.1%for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(13,899  $(19,256

Management fee

   18,019    13,043 

Brokerage commissions

   7,316    8,608 

Net realized gain (loss)

   (151,443   (101,563

Change in net unrealized appreciation/depreciation

   615,756    712,823 

Net income (loss)

  $450,414   $592,004 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas, during the three months ended September 30, 2017.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $37,919,363  $56,037,110 

NAV end of period

  $35,426,783  $76,364,786 

Percentage change in NAV

   (6.6)%   36.3

Shares outstanding beginning of period

   496,978   796,978 

Shares outstanding end of period

   496,978   1,096,978 

Percentage change in shares outstanding

   0.0  37.6

Shares created

   50,000   300,000 

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $76.30  $70.31 

Per share NAV end of period

  $71.28  $69.61 

Percentage change in per share NAV

   (6.6)%   (1.0)% 

Percentage change in benchmark

   3.3  0.1

Benchmark annualized volatility

   10.6  10.8

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inversetwo 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, 20172018 to September 30, 2017.2018.



Table of Contents
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.3% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 11.0% for the three months ended September 30, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The new benchmark’s rise of 3.8% for the three months ended September 30, 2019, as compared to the former LBMA Gold Price benchmark’s decline of 5.1% for the three months ended September 30, 2018, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
254,636
  $
187,472
 
Management fee
  
250,296
   
184,099
 
Brokerage commission
  
3,838
   
8
 
Net realized gain (loss)
  
16,725,025
   
(15,454,618
)
Change in net unrealized appreciation (depreciation)
  
(11,787,819
)  
6,249,548
 
Net Income (loss)
 $
5,191,842
  $
(9,017,598
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to an increase in the value of futures prices during the three months ended September 30, 2019.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
178,444,838
  $
208,483,138
 
NAV end of period
 $
216,058,743
  $
182,932,196
 
Percentage change in NAV
  
21.1
%  
(12.3
)%
Shares outstanding beginning of period
  
7,246,526
   
7,096,526
 
Shares outstanding end of period
  
7,396,526
   
7,946,526
 
Percentage change in shares outstanding
  
2.1
%  
12.0
%
Shares created
  
750,000
   
850,000
 
Shares redeemed
  
600,000
   
—  
 
Per share NAV beginning of period
 $
24.62
  $
29.38
 
Per share NAV end of period
 $
29.21
  $
23.02
 
Percentage change in per share NAV
  
18.6
%  
(21.6
)%
Percentage change in benchmark
  
10.5
%  
(10.8
)%
Benchmark annualized volatility
  
27.9
%  
13.2
%
On December 20, 2018, the Trust announced that the ProShares Ultra Silver Fund would change its benchmark. The ProShares Ultra Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Silver Fund is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares Ultra Silver Fund was the London Silver Price.


Table of Contents
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 7,246,526 outstanding Shares at June 30, 2019 to 7,396,526 outstanding Shares at September 30, 2019. By comparison, during the three months ended September 30, 2016,2018, 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.
For the three months ended September 30, 2019 and 2018, 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 18.6% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 21.6% for the three months ended September 30, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The new benchmark’s rise of 10.5% for the three months ended September 30, 2019, as compared to the former London Silver Price benchmark’s decline of 10.8% for the three months ended September 30, 2018, can be attributed to an increase in the value of silver futures contracts during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
489,406
  $
489,197
 
Management fee
  
528,976
   
480,028
 
Brokerage commission
  
13,720
   
12
 
Net realized gain (loss)
  
69,234,030
   
(59,680,308
)
Change in net unrealized appreciation (depreciation)
  
(36,162,901
)  
9,658,601
 
Net Income (loss)
 $
33,560,535
  $
(49,532,510
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to an increase in the value of futures prices during the three months ended September 30, 2019.


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ProShares Ultra VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
529,341,464
  $
359,311,519
 
NAV end of period
 $
597,106,050
  $
532,210,781
 
Percentage change in NAV
  
12.8
%  
48.1
%
Shares outstanding beginning of period
  
17,430,912
   
5,865,448
 
Shares outstanding end of period
  
23,530,912
   
14,580,912
 
Percentage change in shares outstanding
  
35.0
%  
148.6
%
Shares created
  
23,650,000
   
14,690,000
 
Shares redeemed
  
17,550,000
   
5,974,536
 
Per share NAV beginning of period
 $
30.37
  $
61.26
 
Per share NAV end of period
 $
25.38
  $
36.50
 
Percentage change in per share NAV
  
(16.4
)%  
(40.4
)%
Percentage change in benchmark
  
(7.8
)%  
(27.8
)%
Benchmark annualized volatility
  
76.4
%  
43.7
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 796,97817,430,912 outstanding Shares at June 30, 20162019 to 1,096,97823,530,912 outstanding Shares at September 30, 2016.2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, 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.
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.4% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 40.4% for the three months ended September 30, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 7.8% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 27.8% for the three months ended September 30, 2018, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
128,125
  $
(1,124,013
)
Management fee
  
1,166,670
   
1,338,863
 
Brokerage commission
  
723,766
   
987,212
 
Net realized gain (loss)
  
(55,315,749
)  
(155,771,155
)
Change in net unrealized appreciation (depreciation)
  
45,207,285
   
(74,408,126
)
Net Income (loss)
 $
(9,980,339
) $
(231,303,294
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2019.
*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.


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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
5,807,397
  $
2,892,468
 
NAV end of period
 $
2,851,387
  $
2,713,757
 
Percentage change in NAV
  
(50.9
)%  
(6.2
)%
Shares outstanding beginning of period
  
99,970
   
49,970
 
Shares outstanding end of period
  
49,970
   
49,970
 
Percentage change in shares outstanding
  
(50.0
)%  
—  
 
Shares created
  
—  
   
—  
 
Shares redeemed
  
50,000
   
—  
 
Per share NAV beginning of period
 $
58.09
  $
57.88
 
Per share NAV end of period
 $
57.06
  $
54.31
 
Percentage change in per share NAV
  
(1.8
)%  
(6.2
)%
Percentage change in benchmark
  
(0.3
)%  
(2.5
)%
Benchmark annualized volatility
  
7.0
%  
5.3
%
During the three months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at June 30, 2019 to 49,970 outstanding Shares at September 30, 2019. 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) 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, 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.
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.8% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 0.3% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 2.5% for the three months ended September 30, 2018, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2019.


Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
8,446
  $
(1,364
)
Management fee
  
8,325
   
6,797
 
Net realized gain (loss)
  
37,586
   
(91,507
)
Change in net unrealized appreciation (depreciation)
  
(76,201
)  
(85,840
)
Net Income (loss)
 $
(30,169
) $
(178,711
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2019.
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, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
114,953,560
  $
40,809,111
 
NAV end of period
 $
87,102,665
  $
35,826,631
 
Percentage change in NAV
  
(24.2
)%  
(12.2
)%
Shares outstanding beginning of period
  
5,100,000
   
650,000
 
Shares outstanding end of period
  
5,650,000
   
550,000
 
Percentage change in shares outstanding
  
10.8
%  
(15.4
)%
Shares created
  
6,450,000
   
450,000
 
Shares redeemed
  
5,900,000
   
550,000
 
Per share NAV beginning of period
 $
22.54
  $
62.78
 
Per share NAV end of period
 $
15.42
  $
65.14
 
Percentage change in per share NAV
  
(31.6
)%  
3.8
%
Percentage change in benchmark
  
(6.6
)%  
3.3
%
Benchmark annualized volatility
  
47.5
%  
23.7
%
During the three months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to three times (3x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 5,100,000 outstanding Shares at June 30, 2019 to 5,650,000 outstanding Shares at September 30, 2019. By comparison, 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 Subindex
SM
.
For the three months ended September 30, 2019 and 2018, 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 decrease of 31.6% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 3.8% for the three months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
167

Table of Contents
The benchmark’s decline of 6.6% for the three months ended September 30, 2019, as compared to the benchmark’s rise of 3.3% for the three months ended September 30, 2018, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
166,187
  $
3,898
 
Management fee
  
239,459
   
92,674
 
Brokerage commission
  
78,569
   
13,783
 
Net realized gain (loss)
  
4,695,510
   
4,185,376
 
Change in net unrealized appreciation (depreciation)
  
(24,835,937
)  
341,411
 
Net Income (loss)
 $
(19,974,240
) $
4,530,685
 
The Fund’s net income decreased for the three months ended September
 30, 2019 as compared to the three months ended
September
 30, 2018, primarily due to a
decrease in the value of WTI Crude Oil during the three months ended September 30, 2019.
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, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
15,342,565
  $
21,723,197
 
NAV end of period
 $
65,981,311
  $
27,492,746
 
Percentage change in NAV
  
330.1
%  
26.6
%
Shares outstanding beginning of period
  
774,906
   
1,124,906
 
Shares outstanding end of period
  
3,874,906
   
1,674,906
 
Percentage change in shares outstanding
  
400.0
%  
48.9
%
Shares created
  
8,050,000
   
1,000,000
 
Shares redeemed
  
4,950,000
   
450,000
 
Per share NAV beginning of period
 $
19.80
  $
19.31
 
Per share NAV end of period
 $
17.03
  $
16.41
 
Percentage change in per share NAV
  
(14.0
)%  
(15.0
)%
Percentage change in benchmark
  
(6.6
)%  
3.3
%
Benchmark annualized volatility
  
47.5
%  
23.7
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 774,906 outstanding Shares at June 30, 2019 to 3,874,906 outstanding Shares at September 30, 2019. 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 Subindex
SM
. By comparison, 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 Subindex
SM
.


Table of Contents
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of gold bullionits benchmark. The Fund’s per Share NAV decrease of 14.0% for the three months ended September 30, 2019, as measuredcompared to the Fund’s per Share NAV decrease of 15.0% for the three months ended September 30, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 6.6% for the three months ended September 30, 2019, as compared to the benchmark’s rise of 3.3% for the three months ended September 30, 2018, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
36,261
  $
(8,035
)
Management fee
  
76,081
   
54,403
 
Brokerage commission
  
35,260
   
9,856
 
Net realized gain (loss)
  
(297,370
)  
(3,065,880
)
Change in net unrealized appreciation (depreciation)
  
17,639,764
   
159,888
 
Net Income (loss)
 $
17,378,655
  $
(2,914,027
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2019.


Table of Contents
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
8,364,065
  $
7,577,764
 
NAV end of period
 $
9,075,799
  $
7,905,778
 
Percentage change in NAV
  
8.5
%  
4.3
%
Shares outstanding beginning of period
  
150,000
   
150,000
 
Shares outstanding end of period
  
150,000
   
150,000
 
Percentage change in shares outstanding
  
—  
   
—  
 
Shares created
  
50,000
   
50,000
 
Shares redeemed
  
50,000
   
50,000
 
Per share NAV beginning of period
 $
55.76
  $
50.52
 
Per share NAV end of period
 $
60.51
  $
52.71
 
Percentage change in per share NAV
  
8.5
%  
4.3
%
Percentage change in benchmark
  
(3.8
)%  
(2.3
)%
Benchmark annualized volatility
  
6.4
%  
9.5
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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, 2019 to September 30, 2019. By comparison, 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 p.m. LBMA Gold Price.

versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2018 to September 30, 2018.

For the three months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.5% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2018, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 3.8% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2018, can be attributed to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
19,953
  $
9,501
 
Management fee
  
17,005
   
18,194
 
Brokerage commission
  
1,508
   
1,777
 
Net realized gain (loss)
  
312,374
   
997,012
 
Change in net unrealized appreciation (depreciation)
  
351,173
   
(625,066
)
Net Income (loss)
 $
683,500
  $
381,447
 
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2019.


Table of Contents
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
68,096,767
  $
177,512,584
 
NAV end of period
 $
92,471,273
  $
150,043,469
 
Percentage change in NAV
  
35.8
%  
(15.5
)%
Shares outstanding beginning of period
  
4,039,884
   
11,889,884
 
Shares outstanding end of period
  
5,639,884
   
11,039,884
 
Percentage change in shares outstanding
  
39.6
%  
(7.1
)%
Shares created
  
8,450,000
   
2,300,000
 
Shares redeemed
  
6,850,000
   
3,150,000
 
Per share NAV beginning of period
 $
16.86
  $
14.93
 
Per share NAV end of period
 $
16.40
  $
13.59
 
Percentage change in per share NAV
  
(2.7
)%  
(9.0
)%
Percentage change in benchmark
  
(6.6
)%  
3.3
%
Benchmark annualized volatility
  
47.5
%  
23.7
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 4,039,884 outstanding Shares at June 30, 2019 to 5,639,884 outstanding Shares at September 30, 2019. 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 Subindex
SM
. By comparison, 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 Subindex
SM
.
For the three months ended September 30, 2019 and 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 decrease of 6.6%2.7% for the three months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV decrease of 1.0%9.0% for the three months ended September 30, 2016,2018, was primarily due to a greaterlesser depreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.

During2019.

The benchmark’s decline of 6.6% for the three months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016,2018, can be attributed to a greater increasedecrease in the pricevalue of spot gold in U.S. dollar termsWTI Crude Oil during the three monthsperiod ended September 30, 2017.

2019.



Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(974  $(119,115

Management fee

   86,766    163,622 

Brokerage commissions

   10    8 

Net realized gain (loss)

   (2,644,251   (10,296,369

Change in net unrealized appreciation/depreciation

   300,334    9,773,255 

Net income (loss)

  $(2,344,891  $(642,229

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
200,283
  $
350,275
 
Management fee
  
192,976
   
398,102
 
Brokerage commission
  
25,558
   
8,555
 
Net realized gain (loss)
  
(12,233,280
)  
(24,890,253
)
Change in net unrealized appreciation (depreciation)
  
23,199,135
   
15,574,524
 
Net Income (loss)
 $
11,166,138
  $
(8,965,454
)
The Fund’s net income decreasedincreased for the three months ended September 30, 2017,2019 as compared to the three months ended September 30, 2016,2018, primarily due to a greater increasedecrease in the pricevalue of spot gold in U.S. dollar termsWTI Crude Oil during the three months ended September 30, 2017.

2019.

ProShares UltraShort Silver

Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $23,175,549  $32,067,220 

NAV end of period

  $22,933,677  $39,589,348 

Percentage change in NAV

   (1.0)%   23.5

Shares outstanding beginning of period

   666,976   966,976 

Shares outstanding end of period

   716,976   1,416,976 

Percentage change in shares outstanding

   7.5  46.5

Shares created

   200,000   600,000 

Shares redeemed

   150,000   150,000 

Per share NAV beginning of period

  $34.75  $33.16 

Per share NAV end of period

  $31.99  $27.94 

Percentage change in per share NAV

   (7.9)%   (15.7)% 

Percentage change in benchmark

   2.4  5.4

Benchmark annualized volatility

   23.7  30.1

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
3,838,842
  $
6,746,849
 
NAV end of period
 $
8,086,224
  $
9,784,252
 
Percentage change in NAV
  
110.6
%  
45.0
%
Shares outstanding beginning of period
  
124,832
   
174,832
 
Shares outstanding end of period
  
274,832
   
274,832
 
Percentage change in shares outstanding
  
120.2
%  
57.2
%
Shares created
  
300,000
   
200,000
 
Shares redeemed
  
150,000
   
100,000
 
Per share NAV beginning of period
 $
30.75
  $
38.59
 
Per share NAV end of period
 $
29.42
  $
35.60
 
Percentage change in per share NAV
  
(4.3
)%  
(7.7
)%
Percentage change in benchmark
  
(1.7
)%  
2.9
%
Benchmark annualized volatility
  
34.4
%  
21.4
%
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 666,976 outstanding Shares at June 30, 2017 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016,2019, the increase in the Fund’s NAV resulted primarily from an increase from 966,976124,832 outstanding Shares at June 30, 20162019 to 1,416,976274,832 outstanding Shares at September 30, 2016.2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of silver bullion as measuredthe Bloomberg Natural Gas Subindex
SM
. By comparison, 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 London Silver Price.

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 Subindex
SM
.
For the three months ended September 30, 20172019 and 2016,2018, 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 decrease of 7.9%4.3% for the three months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV decrease of 15.7%7.7% for the three months ended September 30, 2016,2018, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(2,336  $(64,078

Management fee

   46,737    86,864 

Brokerage commissions

   10    8 

Net realized gain (loss)

   (467,217   (14,865,805

Change in net unrealized appreciation/depreciation

   (393,727   9,509,304 

Net income (loss)

  $(863,280  $(5,420,579

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $10,433,992  $17,125,648 

NAV end of period

  $8,093,438  $14,775,779 

Percentage change in NAV

   (22.4)%   (13.7)% 

Shares outstanding beginning of period

   250,000   400,000 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (20.0)%   (12.5)% 

Shares created

   —     —   

Shares redeemed

   50,000   50,000 

Per share NAV beginning of period

  $41.74  $42.81 

Per share NAV end of period

  $40.47  $42.22 

Percentage change in per share NAV

   (3.0)%   (1.4)% 

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,071  $(29,155

Management fee

   21,606    36,752 

Brokerage commissions

   330    580 

Net realized gain (loss)

   (599,589   327,210 

Change in net unrealized appreciation/depreciation

   292,113    (487,210

Net income (loss)

  $(310,547  $(189,155

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $11,974,974  $18,713,405 

NAV end of period

  $9,125,205  $17,389,549 

Percentage change in NAV

   (23.8)%   (7.1)% 

Shares outstanding beginning of period

   250,000   350,000 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (20.0)%   0.0

Shares created

   —     —   

Shares redeemed

   50,000   —   

Per share NAV beginning of period

  $47.90  $53.47 

Per share NAV end of period

  $45.63  $49.68 

Percentage change in per share NAV

   (4.7)%   (7.1)% 

Percentage change in benchmark

   2.1  2.7

Benchmark annualized volatility

   7.3  9.7

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share.

2019.



Table of Contents
The benchmark’s risedecline of 2.1%1.7% for the three months ended September 30, 2017,2019, as compared to the benchmark’s rise of 2.7%2.9% for the three months ended September 30, 2016,2018, can be attributed to a lesser risedecrease in the value of the Australian dollar versus the U.S. dollarHenry Hub Natural Gas during the three monthsperiod ended September 30, 2017.

2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,456  $(33,889

Management fee

   24,991    42,820 

Brokerage commissions

   1,555    3,267 

Net realized gain (loss)

   (1,453,377   (318,841

Change in net unrealized appreciation/depreciation

   837,786    (971,126

Net income (loss)

  $(619,047  $(1,323,856

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
4,656
  $
1,662
 
Management fee
  
12,382
   
17,108
 
Brokerage commission
  
8,619
   
5,183
 
Net realized gain (loss)
  
(68,026
)  
(265,373
)
Change in net unrealized appreciation (depreciation)
  
791,311
   
(13,456
)
Net Income (loss)
 $
727,941
  $
(277,167
)
The Fund’s net income increased for the three months ended September 30, 2017,2019 as compared to the three months ended September 30, 2016,2018, primarily due to a lesser risedecrease in the value of Henry Hub Natural Gas in conjunction with the Australian dollar versus the U.S. dollartiming of shareholder activity, during the three months ended September 30, 2017.

2019.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $237,012,906  $386,660,905 

NAV end of period

  $226,620,904  $370,915,586 

Percentage change in NAV

   (4.4)%   (4.1)% 

Shares outstanding beginning of period

   10,250,000   15,900,000 

Shares outstanding end of period

   10,450,000   15,600,000 

Percentage change in shares outstanding

   2.0  (1.9)% 

Shares created

   1,350,000   200,000 

Shares redeemed

   1,150,000   500,000 

Per share NAV beginning of period

  $23.12  $24.32 

Per share NAV end of period

  $21.69  $23.78 

Percentage change in per share NAV

   (6.2)%   (2.2)% 

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
134,573,471
  $
177,734,261
 
NAV end of period
 $
135,920,188
  $
170,087,449
 
Percentage change in NAV
  
1.0
%  
(4.3
)%
Shares outstanding beginning of period
  
5,300,000
   
7,800,000
 
Shares outstanding end of period
  
4,850,000
   
7,300,000
 
Percentage change in shares outstanding
  
(8.5
)%  
(6.4
)%
Shares created
  
100,000
   
500,000
 
Shares redeemed
  
550,000
   
1,000,000
 
Per share NAV beginning of period
 $
25.39
  $
22.79
 
Per share NAV end of period
 $
28.02
  $
23.30
 
Percentage change in per share NAV
  
10.4
%  
2.2
%
Percentage change in benchmark
  
(4.1
)%  
(0.6
)%
Benchmark annualized volatility
  
5.2
%  
7.1
%
During the three months ended September 30, 2017,2019, the decreaseincrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. The decreaseincrease in the Fund’s NAV was offset by an increasea decrease from 10,250,0005,300,000 outstanding Shares at June 30, 20172019 to 10,450,0004,850,000 outstanding Shares at September 30, 2017.2019. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $22,669   $(657,657

Management fee

   537,193    906,488 

Net realized gain (loss)

   (24,506,914   (5,535,442

Change in net unrealized appreciation/depreciation

   10,108,092    (2,516,227

Net income (loss)

  $(14,376,153  $(8,709,326

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $170,316,152  $193,732,080 

NAV end of period

  $148,459,101  $263,899,544 

Percentage change in NAV

   (12.8)%   36.2

Shares outstanding beginning of period

   2,299,290   3,049,290 

Shares outstanding end of period

   1,999,290   4,349,290 

Percentage change in shares outstanding

   (13.0)%   42.6

Shares created

   150,000   1,300,000 

Shares redeemed

   450,000   —   

Per share NAV beginning of period

  $74.07  $63.53 

Per share NAV end of period

  $74.26  $60.68 

Percentage change in per share NAV

   0.3  (4.5)% 

Percentage change in benchmark

   —^   1.8

Benchmark annualized volatility

   8.3  13.4

^Amount represents less than (0.05%)

During the three months ended September 30, 2017,2018, the decrease in the Fund’s NAV resulted from a decrease from 2,299,2907,800,000 outstanding Shares at June 30, 20172018 to 1,999,2907,300,000 outstanding Shares at September 30, 2017. 2018.



Table of Contents
The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yeneuro versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,049,290 outstanding Shares at June 30, 2016 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 20172019 and 2016,2018, 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 0.3%10.4% for the three months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV decreaseincrease of 4.5%2.2% for the three months ended September 30, 2016,2018, was primarily due to angreater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.

2019.

The benchmark’s decline of 0.03%4.1% for the three months ended September 30, 2017,2019, as compared to the benchmark’s risedecline of 1.8%0.6% for the three months ended September 30, 2016,2018, can be attributed to a declinegreater decrease in the value of the Japanese yeneuro versus the U.S. dollar during the three monthsperiod ended September 30, 2017.

2019.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $12,821   $(408,214

Management fee

   376,339    563,817 

Net realized gain (loss)

   (1,068,934   (33,476,429

Change in net unrealized appreciation/depreciation

   (79,932   23,085,942 

Net income (loss)

  $(1,136,045  $(10,798,701

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
371,679
  $
376,603
 
Management fee
  
317,568
   
410,731
 
Net realized gain (loss)
  
9,365,840
   
6,358,890
 
Change in net unrealized appreciation (depreciation)
  
3,611,497
   
(2,983,043
)
Net Income (loss)
 $
13,349,016
  $
3,752,450
 
The Fund’s net income increased for the three months ended September 30, 2017,2019 as compared to the three months ended September 30, 2016,2018, primarily due to a declinegreater decrease in the value of the Japanese yeneuro versus the U.S. dollar during the three months ended September 30, 2017.

2019.



Table of Contents
ProShares Ultra Bloomberg Crude Oil*

UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 20172019 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $958,703,511  $898,563,742 

NAV end of period

  $622,142,765  $979,757,506 

Percentage change in NAV

   (35.1)%   9.0

Shares outstanding beginning of period

   64,761,317   36,938,933 

Shares outstanding end of period

   34,761,317   46,613,933 

Percentage change in shares outstanding

   (46.3)%   26.2

Shares created

   4,400,000   17,800,000 

Shares redeemed

   34,400,000   8,125,000 

Per share NAV beginning of period

  $14.80  $24.33 

Per share NAV end of period

  $17.90  $21.02 

Percentage change in per share NAV

   20.9  13.6

Percentage change in benchmark

   11.2  (5.0)% 

Benchmark annualized volatility

   25.6  40.5

2018:

         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
18,158,403
  $
26,248,001
 
NAV end of period
 $
22,453,523
  $
29,286,620
 
Percentage change in NAV
  
23.7
%  
11.6
%
Shares outstanding beginning of period
  
296,977
   
346,978
 
Shares outstanding end of period
  
396,977
   
346,978
 
Percentage change in shares outstanding
  
33.7
%  
—  
 
Shares created
  
150,000
   
—  
 
Shares redeemed
  
50,000
   
—  
 
Per share NAV beginning of period
 $
61.14
  $
75.65
 
Per share NAV end of period
 $
56.56
  $
84.40
 
Percentage change in per share NAV
  
(7.5
)%  
11.6
%
Percentage change in benchmark
  
3.8
%  
(5.1
)%
Benchmark annualized volatility
  
14.3
%  
8.3
%
On December 20, 2018, the Trust announced that the ProShares UltraShort Gold Fund would change its benchmark. The ProShares UltraShort Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Gold Fund is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Gold Fund was the LBMA Gold Price PM.
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 64,761,317 outstanding Shares at June 30, 2017 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the three months ended September 30, 2016,2019, the increase in the Fund’s NAV resulted primarily from an increase from 36,938,933296,977 outstanding Shares at June 30, 20162019 to 46,613,933396,977 outstanding Shares at September 30, 2016.2019. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude OilGold Subindex
SM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 20.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 13.6% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $18.28 per Share and reached its low for the period on July 7, 2017 at $13.57 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $24.96 per Share and reached its low for the period on August 2, 2016 at $15.56 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(19,527  $(1,683,430

Management fee

   1,798,486    2,118,318 

Brokerage commissions

   40,850    112,742 

Net realized gain (loss)

   45,488,493    (246,216,521

Change in net unrealized appreciation/depreciation

   112,829,499    165,591,081 

Net income (loss)

  $158,298,465   $(82,308,870

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 30, 2016.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

NAV beginning of period

  $20,499,886 

NAV end of period

  $7,581,464 

Percentage change in NAV

   (63.0)% 

Shares outstanding beginning of period

   1,050,008 

Shares outstanding end of period

   300,008 

Percentage change in shares outstanding

   (71.4)% 

Shares created

   250,000 

Shares redeemed

   1,000,000 

Per share NAV beginning of period

  $19.52 

Per share NAV end of period

  $25.27 

Percentage change in per share NAV

   29.5

Percentage change in benchmark

   11.2

Benchmark annualized volatility

   25.6

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,050,008 outstanding Shares at June 30, 2017 to 300,008 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $26.10 per Share and reached its low for the period on July 7, 2017 at $17.04 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:

   Three Months Ended
September 30, 2017
 

Net investment income (loss)

  $(56,323

Brokerage commissions

   13,100 

Offering costs

   37,405 

Reduction to Limitation by Sponsor

   5,818 

Net realized gain (loss)

   4,971,742 

Change in net unrealized appreciation/depreciation

   694,326 

Net income (loss)

  $5,609,745 

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $43,886,614  $43,355,961 

NAV end of period

  $51,059,617  $31,750,207 

Percentage change in NAV

   16.3  (26.8)% 

Shares outstanding beginning of period

   4,492,169   2,442,169 

Shares outstanding end of period

   5,842,169   2,192,169 

Percentage change in shares outstanding

   30.1  (10.2)% 

Shares created

   2,600,000   700,000 

Shares redeemed

   1,250,000   950,000 

Per share NAV beginning of period

  $9.77  $17.75 

Per share NAV end of period

  $8.74  $14.48 

Percentage change in per share NAV

   (10.5)%   (18.4)% 

Percentage change in benchmark

   (4.1)%   (8.0)% 

Benchmark annualized volatility

   29.6  36.5

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 4,492,169 outstanding Shares at June 30, 2017 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM

. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $9.98 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share.

The benchmark’s decline of 4.1% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(42,774  $(93,432

Management fee

   110,894    85,894 

Brokerage commissions

   24,919    25,652 

Net realized gain (loss)

   (2,015,002   1,964,675 

Change in net unrealized appreciation/depreciation

   (1,076,819   (8,407,770

Net income (loss)

  $(3,134,595  $(6,536,527

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $88,717,834  $100,789,893 

NAV end of period

  $89,587,943  $99,949,269 

Percentage change in NAV

   1.0  (0.8)% 

Shares outstanding beginning of period

   2,350,000   2,250,000 

Shares outstanding end of period

   2,250,000   2,250,000 

Percentage change in shares outstanding

   (4.3)%   0.0

Shares created

   50,000   50,000 

Shares redeemed

   150,000   50,000 

Per share NAV beginning of period

  $37.75  $44.80 

Per share NAV end of period

  $39.82  $44.42 

Percentage change in per share NAV

   5.5  (0.8)% 

Percentage change in benchmark

   3.3  0.1

Benchmark annualized volatility

   10.6  10.8

During the three months ended September 30, 2017,2018, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x 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, 20162018 to September 30, 2016.

2018.

For the three months ended September 30, 20172019 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $7,054   $(172,490

Management fee

   224,583    245,192 

Brokerage commissions

   10    8 

Net realized gain (loss)

   5,462,857    12,630,084 

Change in net unrealized appreciation/depreciation

   (546,321   (13,422,965

Net income (loss)

  $4,923,590   $(965,371

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $245,798,564  $386,838,399 

NAV end of period

  $244,805,182  $372,251,128 

Percentage change in NAV

   (0.4)%   (3.8)% 

Shares outstanding beginning of period

   7,396,526   8,496,526 

Shares outstanding end of period

   7,196,526   7,596,526 

Percentage change in shares outstanding

   (2.7)%   (10.6)% 

Shares created

   300,000   150,000 

Shares redeemed

   500,000   1,050,000 

Per share NAV beginning of period

  $33.23  $45.53 

Per share NAV end of period

  $34.02  $49.00 

Percentage change in per share NAV

   2.4  7.6

Percentage change in benchmark

   2.4  5.4

Benchmark annualized volatility

   23.7  30.1

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.4% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $543   $(701,202

Management fee

  ��612,285    978,671 

Brokerage commissions

   10    9 

Net realized gain (loss)

   1,063,548    119,372,702 

Change in net unrealized appreciation/depreciation

   7,164,374    (88,236,402

Net income (loss)

  $8,228,465   $30,435,098 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $12,928,079  $9,532,904 

NAV end of period

  $13,705,608  $9,678,714 

Percentage change in NAV

   6.0  1.5

Shares outstanding beginning of period

   800,000   600,000 

Shares outstanding end of period

   800,000   600,000 

Percentage change in shares outstanding

   0.0  0.0

Shares created

   450,000   —   

Shares redeemed

   450,000   —   

Per share NAV beginning of period

  $16.16  $15.89 

Per share NAV end of period

  $17.13  $16.13 

Percentage change in per share NAV

   6.0  1.5

Percentage change in benchmark

   3.5  1.2

Benchmark annualized volatility

   7.3  5.9

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on July 5, 2017 at $15.93 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,256  $(16,659

Management fee

   31,427    22,916 

Net realized gain (loss)

   1,259,650    46,258 

Change in net unrealized appreciation/depreciation

   (519,604   116,211 

Net income (loss)

  $738,790   $145,810 

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
  Three Months Ended
September 30, 2016
 

NAV beginning of period

  $5,866,403  $7,265,264 

NAV end of period

  $5,804,920  $7,443,729 

Percentage change in NAV

   (1.0)%   2.5

Shares outstanding beginning of period

   99,970   99,970 

Shares outstanding end of period

   99,970   99,970 

Percentage change in shares outstanding

   0.0  0.0

Shares created

   —     —   

Shares redeemed

   —     —   

Per share NAV beginning of period

  $58.68  $72.67 

Per share NAV end of period

  $58.07  $74.46 

Percentage change in per share NAV

   (1.0)%   2.5

Percentage change in benchmark

   —^   1.8

Benchmark annualized volatility

   8.3  13.4

^Amount represents less than (0.05%)

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:

   Three Months Ended
September 30, 2017
   Three Months Ended
September 30, 2016
 

Net investment income (loss)

  $(4,166  $(12,886

Management fee

   14,387    17,545 

Net realized gain (loss)

   (4,545   955,119 

Change in net unrealized appreciation/depreciation

   (52,772   (763,768

Net income (loss)

  $(61,483  $178,465 

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $174,160,146  $105,272,823 

NAV end of period

  $191,364,819  $227,819,218 

Percentage change in NAV

   9.9  116.4

Shares outstanding beginning of period

   2,052,363   397,491 

Shares outstanding end of period

   5,876,317   1,996,113 

Percentage change in shares outstanding

   186.3  402.2

Shares created

   6,125,000   2,497,500 

Shares redeemed

   2,301,046   898,878 

Per share NAV beginning of period

  $84.86  $264.84 

Per share NAV end of period

  $32.57  $114.13 

Percentage change in per share NAV

   (61.6)%   (56.9)% 

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(356,273  $(1,116,018

Management fee

   1,004,091    1,210,844 

Brokerage commission

   138,487    229,993 

Net realized gain (loss)

   (126,203,648   (134,339,691

Change in net unrealized appreciation/depreciation

   (17,854,285   (8,439,809

Net income (loss)

  $(144,414,206  $(143,895,518

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIXMid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $45,818,914  $27,650,638 

NAV end of period

  $45,047,423  $58,894,811 

Percentage change in NAV

   (1.7)%   113.0

Shares outstanding beginning of period

   1,087,403   512,404 

Shares outstanding end of period

   1,787,403   1,287,403 

Percentage change in shares outstanding

   64.4  151.2

Shares created

   850,000   950,000 

Shares redeemed

   150,000   175,001 

Per share NAV beginning of period

  $42.14  $53.96 

Per share NAV end of period

  $25.20  $45.75 

Percentage change in per share NAV

   (40.2)%   (15.2)% 

Percentage change in benchmark

   (39.7)%   (14.5)% 

Benchmark annualized volatility

   21.3  36.6

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,087,403 outstanding Shares at December 31, 2016 to 1,787,403 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.2% for the nine months ended September 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 39.7% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 14.5% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(83,495  $(210,903

Management fee

   235,818    251,163 

Brokerage commission

   11,815    23,544 

Net realized gain (loss)

   (19,180,662   (5,248,593

Change in net unrealized appreciation/depreciation

   (651,228   (1,908,048

Net income (loss)

  $(19,915,385  $(7,367,544

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $228,075,387  $642,811,361 

NAV end of period

  $1,039,873,910  $504,798,665 

Percentage change in NAV

   355.9  (21.5)% 

Shares outstanding beginning of period

   5,000,000   25,300,080 

Shares outstanding end of period

   11,100,000   13,900,000 

Percentage change in shares outstanding

   122.0  (45.1)% 

Shares created

   46,750,000   88,100,000 

Shares redeemed

   40,650,000   99,500,080 

Per share NAV beginning of period

  $45.62  $25.41 

Per share NAV end of period

  $93.68  $36.32 

Percentage change in per share NAV

   105.3  42.9

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000 outstanding Shares at December 31, 2016 to 11,100,000 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 25,300,080 outstanding Shares at December 31, 2015 to 13,900,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 105.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 42.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.

The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline of the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,913,203  $(4,236,471

Management fee

   4,636,720    3,561,744 

Brokerage commission

   2,761,371    1,522,859 

Net realized gain (loss)

   471,123,858    262,990,607 

Change in net unrealized appreciation/depreciation

   104,609,483    16,725,819 

Net income (loss)

  $571,820,138   $275,479,955 

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the Share split for the ProShares Short VIX Short-Term Futures ETF.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $515,758,754  $547,708,740 

NAV end of period

  $535,095,732  $738,749,800 

Percentage change in NAV

   3.7  34.9

Shares outstanding beginning of period

   2,965,383   195,025 

Shares outstanding end of period

   25,927,238   2,185,383 

Percentage change in shares outstanding

   774.3  1,020.6

Shares created

   51,185,000   3,857,000 

Shares redeemed

   28,223,145   1,866,642 

Per share NAV beginning of period

  $173.93  $2,808.40 

Per share NAV end of period

  $20.64  $338.04 

Percentage change in per share NAV

   (88.1)%   (88.0)% 

Percentage change in benchmark

   (61.5)%   (56.7)% 

Benchmark annualized volatility

   53.1  78.7

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,965,383 outstanding Shares at December 31, 2016 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 2,185,383 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.1% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $147.20 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $5,715.40 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(3,866,250  $(7,007,927

Management fee

   2,880,339    5,006,558 

Brokerage commission

   2,819,322    3,228,763 

Net realized gain (loss)

   (646,063,604   (1,269,208,841

Change in net unrealized appreciation/depreciation

   (93,756,755   (51,154,812

Net income (loss)

  $(743,686,609  $(1,327,371,580

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $200,958,303  $95,897,894 

NAV end of period

  $238,227,025  $189,577,580 

Percentage change in NAV

   18.5  97.7

Shares outstanding beginning of period

   6,339,884   1,439,888 

Shares outstanding end of period

   7,089,884   4,739,884 

Percentage change in shares outstanding

   11.8  229.2

Shares created

   10,700,000   13,100,000 

Shares redeemed

   9,950,000   9,800,004 

Per share NAV beginning of period

  $31.70  $66.60 

Per share NAV end of period

  $33.60  $40.00 

Percentage change in per share NAV

   6.0  (39.9)% 

Percentage change in benchmark

   (9.4)%   (0.3)% 

Benchmark annualized volatility

   25.4  47.3

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,739,884 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $116.11 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.

The benchmark’s decline of 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(426,772  $(1,070,888

Management fee

   1,374,438    1,291,075 

Brokerage commission

   50,772    125,327 

Net realized gain (loss)

   49,805,940    (36,901,010

Change in net unrealized appreciation/depreciation

   (5,398,492   (29,797,685

Net income (loss)

  $43,980,676   $(67,769,583

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the Share split for the ProShares UltraShort Bloomberg Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

  $200 

NAV end of period

  $15,768,728 

Percentage change in NAV

   NM 

Shares outstanding beginning of period

   8 

Shares outstanding end of period

   900,008 

Percentage change in shares outstanding

   NM 

Shares created

   1,050,008 

Shares redeemed

   150,000 

Per share NAV beginning of period

  $25.00 

Per share NAV end of period

  $17.52 

Percentage change in per share NAV

   (29.9)% 

Percentage change in benchmark

   (4.8)% 

Benchmark annualized volatility

   26.1

NM — Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 900,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

  $(59,643

Brokerage commission

   17,296 

Offering costs

   77,250 

Limitation by Sponsor

   (34,903

Net realized gain (loss)

   232,006 

Change in net unrealized appreciation/depreciation

   (2,423,370

Net income (loss)

  $(2,251,007

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $4,038,794  $10,462,856 

NAV end of period

  $5,921,434  $6,349,132 

Percentage change in NAV

   46.6  (39.3)% 

Shares outstanding beginning of period

   174,832   224,856 

Shares outstanding end of period

   174,832   174,832 

Percentage change in shares outstanding

   0.0  (22.2)% 

Shares created

   300,000   850,000 

Shares redeemed

   300,000   900,024 

Per share NAV beginning of period

  $23.10  $46.53 

Per share NAV end of period

  $33.87  $36.32 

Percentage change in per share NAV

   46.6  (21.9)% 

Percentage change in benchmark

   (27.9)%   (5.9)% 

Benchmark annualized volatility

   34.64  39.6

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 46.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 21.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(44,874  $(107,463

Management fee

   51,110    70,066 

Brokerage commission

   19,673    53,910 

Net realized gain (loss)

   1,755,918    458,954 

Change in net unrealized appreciation/depreciation

   830,801    2,803,491 

Net income (loss)

  $2,541,845   $3,154,982 

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstanding during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $63,653,647  $74,971,764 

NAV end of period

  $35,426,783  $76,364,786 

Percentage change in NAV

   (44.3)%   1.9

Shares outstanding beginning of period

   696,978   646,978 

Shares outstanding end of period

   496,978   1,096,978 

Percentage change in shares outstanding

   (28.7)%   69.6

Shares created

   300,000   1,000,000 

Shares redeemed

   500,000   550,000 

Per share NAV beginning of period

  $91.33  $115.88 

Per share NAV end of period

  $71.28  $69.61 

Percentage change in per share NAV

   (22.0)%   (39.9)% 

Percentage change in benchmark

   12.0  24.8

Benchmark annualized volatility

   11.7  17.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(66,015  $(350,865

Management fee

   268,125    469,612 

Brokerage commission

   39    33 

Net realized gain (loss)

   (10,940,120   (29,965,948

Change in net unrealized appreciation/depreciation

   (99,988   (225,049

Net income (loss)

  $(11,106,123  $(30,541,862

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $23,017,656  $55,987,938 

NAV end of period

  $22,933,677  $39,589,348 

Percentage change in NAV

   (0.4)%   (29.3)% 

Shares outstanding beginning of period

   616,976   866,978 

Shares outstanding end of period

   716,976   1,416,976 

Percentage change in shares outstanding

   16.2  63.4

Shares created

   700,000   1,600,000 

Shares redeemed

   600,000   1,050,002 

Per share NAV beginning of period

  $37.31  $64.58 

Per share NAV end of period

  $31.99  $27.94 

Percentage change in per share NAV

   (14.3)%   (56.7)% 

Percentage change in benchmark

   3.8  40.0

Benchmark annualized volatility

   19.6  27.1

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(40,264  $(210,102

Management fee

   143,542    281,605 

Brokerage commission

   39    33 

Net realized gain (loss)

   (2,693,510   (26,657,499

Change in net unrealized appreciation/depreciation

   745,784    (4,263,685

Net income (loss)

  $(1,987,990  $(31,131,286

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $15,770,088  $17,510,898 

NAV end of period

  $8,093,438  $14,775,779 

Percentage change in NAV

   (48.7)%   (15.6)% 

Shares outstanding beginning of period

   350,000   400,005 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (42.9)%   (12.5)% 

Shares created

   —     50,000 

Shares redeemed

   150,000   100,005 

Per share NAV beginning of period

  $45.06  $43.78 

Per share NAV end of period

  $40.47  $42.22 

Percentage change in per share NAV

   (10.2)%   (3.6)% 

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(36,347  $(95,407

Management fee

   92,259    116,244 

Brokerage commission

   1,433    2,009 

Net realized gain (loss)

   (1,335,372   (199,557

Change in net unrealized appreciation/depreciation

   (26,290   (268,792

Net income (loss)

  $(1,398,009  $(563,756

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $16,613,473  $20,460,679 

NAV end of period

  $9,125,205  $17,389,549 

Percentage change in NAV

   (45.1)%   (15.0)% 

Shares outstanding beginning of period

   300,000   350,005 

Shares outstanding end of period

   200,000   350,000 

Percentage change in shares outstanding

   (33.3)%   —^ 

Shares created

   —     —   

Shares redeemed

   100,000   5 

Per share NAV beginning of period

  $55.38  $58.46 

Per share NAV end of period

  $45.63  $49.68 

Percentage change in per share NAV

   (17.6)%   (15.0)% 

Percentage change in benchmark

   8.7  5.1

Benchmark annualized volatility

   7.7  12.1
   

^Amount represents less than 0.05%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(42,311  $(115,076

Management fee

   94,837    136,306 

Brokerage commission

   6,088    11,011 

Net realized gain (loss)

   (1,920,783   (2,462,114

Change in net unrealized appreciation/depreciation

   (802,007   (493,626

Net income (loss)

  $(2,765,101  $(3,070,816

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $349,392,650  $522,306,518 

NAV end of period

  $226,620,904  $370,915,586 

Percentage change in NAV

   (35.1)%   (29.0)% 

Shares outstanding beginning of period

   12,900,000   20,450,014 

Shares outstanding end of period

   10,450,000   15,600,000 

Percentage change in shares outstanding

   (19.0)%   (23.7)% 

Shares created

   1,800,000   650,000 

Shares redeemed

   4,250,000   5,500,014 

Per share NAV beginning of period

  $27.08  $25.54 

Per share NAV end of period

  $21.69  $23.78 

Percentage change in per share NAV

   (19.9)%   (6.9)% 

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(461,825  $(2,129,104

Management fee

   1,914,770    2,894,802 

Net realized gain (loss)

   (45,338,431   (60,591,510

Change in net unrealized appreciation/depreciation

   (12,255,062   30,468,759 

Net income (loss)

  $(58,055,318  $(32,251,855

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $276,781,747  $237,372,900 

NAV end of period

  $148,459,101  $263,899,544 

Percentage change in NAV

   (46.4)%   11.2

Shares outstanding beginning of period

   3,449,290   2,699,294 

Shares outstanding end of period

   1,999,290   4,349,290 

Percentage change in shares outstanding

   (42.0)%   61.1

Shares created

   900,000   2,100,000 

Shares redeemed

   2,350,000   450,004 

Per share NAV beginning of period

  $80.24  $87.94 

Per share NAV end of period

  $74.26  $60.68 

Percentage change in per share NAV

   (7.5)%   (31.0)% 

Percentage change in benchmark

   3.9  18.5

Benchmark annualized volatility

   8.7  13.0

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2017 and 2016,2018, 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 decrease of 7.5% for the ninethree months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV increase of 11.6% for the three months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.

The new benchmark’s rise of 3.8% for the three months ended September 30, 2019, as compared to the former LBMA Gold Price benchmark’s decline of 5.1% for the three months ended September 30, 2018, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
Net investment income (loss)
 $
53,681
  $
51,360
 
Management fee
  
42,251
   
67,024
 
Brokerage commission
  
1,607
   
8
 
Net realized gain (loss)
  
(3,472,333
)  
4,925,313
 
Change in net unrealized appreciation (depreciation)
  
2,705,043
   
(1,938,054
)
Net Income (loss)
 $
(713,609
) $
3,038,619
 


Table of Contents
The Fund’s net income decreased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to an increase in the value of the futures prices during the three months ended September 30, 2019.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
September 30, 2019
  
Three Months Ended
September 30, 2018
 
NAV beginning of period
 $
14,026,041
  $
23,192,780
 
NAV end of period
 $
15,441,093
  $
22,517,875
 
Percentage change in NAV
  
10.1
%  
(2.9
)%
Shares outstanding beginning of period
  
366,976
   
666,976
 
Shares outstanding end of period
  
516,976
   
516,976
 
Percentage change in shares outstanding
  
40.9
%  
(22.5
)%
Shares created
  
300,000
   
—  
 
Shares redeemed
  
150,000
   
150,000
 
Per share NAV beginning of period
 $
38.22
  $
34.77
 
Per share NAV end of period
 $
29.87
  $
43.56
 
Percentage change in per share NAV
  
(21.8
)%  
25.3
%
Percentage change in benchmark
  
10.5
%  
(10.8
)%
Benchmark annualized volatility
  
27.9
%  
13.2
%
On December 20, 2018, the Trust announced that the ProShares UltraShort Silver Fund would change its benchmark. The ProShares UltraShort Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Silver Fund is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Silver Fund was the London Silver Price.
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 366,976 outstanding Shares at June 30, 2019 to 516,976 outstanding Shares at September 30, 2019. 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 Silver Subindex
SM
. By comparison, 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.
For the three months ended September 30, 2019 and 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 decrease of 21.8% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 25.3% for the three months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.


Table of Contents
The new benchmark’s rise of 10.5% for the three months ended September 30, 2019, as compared to the former London Silver Price benchmark’s decline of 10.8% for the three months ended September 30, 2018, can be attributed to an increase in the value of the silver futures contracts during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
40,671
  $
41,266
 
Management fee
  
30,418
   
58,074
 
Brokerage commission
  
1,895
   
8
 
Net realized gain (loss)
  
(5,517,511
)  
6,413,757
 
Change in net unrealized appreciation (depreciation)
  
2,680,581
   
(931,554
)
Net Income (loss)
 $
(2,796,259
) $
5,523,469
 
The Fund’s net income decreased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to an increase in the value of futures prices during the three months ended September 30, 2019.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
47,695,345
  $
84,457,545
 
NAV end of period
 $
41,046,700
  $
78,157,044
 
Percentage change in NAV
  
(13.9
)%  
(7.5
)%
Shares outstanding beginning of period
  
649,290
   
1,149,290
 
Shares outstanding end of period
  
549,290
   
999,290
 
Percentage change in shares outstanding
  
(15.4
)%  
(13.1
)%
Shares created
  
—  
   
—  
 
Shares redeemed
  
100,000
   
150,000
 
Per share NAV beginning of period
 $
73.46
  $
73.49
 
Per share NAV end of period
 $
74.73
  $
78.21
 
Percentage change in per share NAV
  
1.7
%  
6.4
%
Percentage change in benchmark
  
(0.3
)%  
(2.5
)%
Benchmark annualized volatility
  
7.0
%  
5.3
%
During the three months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 649,290 outstanding Shares at June 30, 2019 to 549,290 outstanding Shares at September 30, 2019. 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, 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.


Table of Contents
For the three months ended September 30, 2019 and 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 1.7% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 6.4% for the three months ended September 30, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 0.3% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 2.5% for the three months ended September 30, 2018, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
137,637
  $
178,878
 
Management fee
  
105,189
   
190,805
 
Net realized gain (loss)
  
(178,400
)  
2,520,679
 
Change in net unrealized appreciation (depreciation)
  
783,422
   
2,274,974
 
Net Income (loss)
 $
742,659
  $
4,974,531
 
The Fund’s net income decreased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2019.


Table of Contents
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, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
37,756,409
  $
19,864,692
 
NAV end of period
 $
44,933,064
  $
18,770,656
 
Percentage change in NAV
  
19.0
%  
(5.5
)%
Shares outstanding beginning of period
  
1,762,403
   
862,403
 
Shares outstanding end of period
  
1,912,403
   
912,403
 
Percentage change in shares outstanding
  
8.5
%  
5.8
%
Shares created
  
350,000
   
50,000
 
Shares redeemed
  
200,000
   
—  
 
Per share NAV beginning of period
 $
21.42
  $
23.03
 
Per share NAV end of period
 $
23.50
  $
20.57
 
Percentage change in per share NAV
  
9.7
%  
(10.7
)%
Percentage change in benchmark
  
10.0
%  
(10.3
)%
Benchmark annualized volatility
  
31.4
%  
20.2
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 1,762,403 outstanding Shares at June 30, 2019 to 1,912,403 outstanding Shares at September 30, 2019. By comparison, 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.
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.7% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 31.0%10.7% for the three months ended September 30, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s rise of 10.0% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 10.3% for the three months ended September 30, 2018, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
129,497
  $
20,539
 
Management fee
  
90,860
   
39,915
 
Brokerage commission
  
5,777
   
1,277
 
Net realized gain (loss)
  
1,477,618
   
(1,922,746
)
Change in net unrealized appreciation (depreciation)
  
2,650,017
   
(253,265
)
Net Income (loss)
 $
4,257,132
  $
(2,155,472
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to an increase in the value of the futures prices during the three months ended September 30, 2019.


Table of Contents
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, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
240,473,128
  $
114,097,930
 
NAV end of period
 $
299,409,882
  $
154,631,386
 
Percentage change in NAV
  
24.5
%  
35.5
%
Shares outstanding beginning of period
  
11,526,317
   
3,751,317
 
Shares outstanding end of period
  
15,601,317
   
7,076,317
 
Percentage change in shares outstanding
  
35.4
%  
88.6
%
Shares created
  
8,875,000
   
3,625,000
 
Shares redeemed
  
4,800,000
   
300,000
 
Per share NAV beginning of period
 $
20.86
  $
30.42
 
Per share NAV end of period
 $
19.19
  $
21.85
 
Percentage change in per share NAV
  
(8.0
)%  
(28.2
)%
Percentage change in benchmark
  
(7.8
)%  
(27.8
)%
Benchmark annualized volatility
  
76.4
%  
43.7
%
During the three months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 11,526,317 outstanding Shares at June 30, 2019 to 15,601,317 outstanding Shares at September 30, 2019. 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, 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.
For the three months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.0% for the three months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 28.2% for the three months ended September 30, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2019.
The benchmark’s decline of 7.8% for the three months ended September 30, 2019, as compared to the benchmark’s decline of 27.8% for the three months ended September 30, 2018, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2019.


Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2019 and 2018:
         
 
Three Months Ended
  
Three Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
615,421
  $
50,013
 
Management fee
  
561,431
   
284,856
 
Brokerage commission
  
96,608
   
31,960
 
Net realized gain (loss)
  
(15,922,047
)  
(24,690,361
)
Change in net unrealized appreciation (depreciation)
  
13,425,396
   
(16,539,938
)
Net Income (loss)
 $
(1,881,230
) $
(41,180,286
)
The Fund’s net income increased for the three months ended September 30, 2019 as compared to the three months ended September 30, 2018, primarily due to a lesser decrease in the value of the futures prices during the three months ended September 30, 2019.


Table of Contents
Results of Operations for the Nine Months Ended September 30, 2019 Compared to the Nine Months Ended September 30, 2018
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2016,2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
8,619,686
  $
7,991,880
 
NAV end of period
 $
18,651,067
  $
8,418,243
 
Percentage change in NAV
  
116.4
%  
5.3
%
Shares outstanding beginning of period
  
200,000
   
200,000
 
Shares outstanding end of period
  
400,000
   
200,000
 
Percentage change in shares outstanding
  
100.0
%  
—  
 
Shares created
  
300,000
   
—  
 
Shares redeemed
  
100,000
   
—  
 
Per share NAV beginning of period
 $
43.10
  $
39.96
 
Per share NAV end of period
 $
46.63
  $
42.09
 
Percentage change in per share NAV
  
8.2
%  
5.3
%
Percentage change in benchmark
  
(4.9
)%  
(3.2
)%
Benchmark annualized volatility
  
5.4
%  
7.4
%
During the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 200,000 outstanding Shares at December 31, 2018 to 400,000 outstanding Shares at September 30, 2019. 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 spot price of the euro versus the U.S. dollar. By comparison, 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.
For the nine months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.2% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 5.3% for the nine months ended September 30, 2018, was primarily due to a lesser depreciationgreater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $81.40 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.

2019.

The benchmark’s risedecline of 3.9%4.9% for the nine months ended September 30, 2017,2019, as compared to the benchmark’s risedecline of 18.5%3.2% for the nine months ended September 30, 2016,2018, can be attributed to a lesser risegreater decrease in the value of the Japanese yeneuro versus the U.S. dollar during the nine monthsperiod ended September 30, 2017.

2019.



Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(396,084  $(1,133,789

Management fee

   1,468,775    1,462,231 

Net realized gain (loss)

   (17,532,916   (86,179,609

Change in net unrealized appreciation/depreciation

   (7,490,982   14,046,211 

Net income (loss)

  $(25,419,982  $(73,267,187

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
169,742
  $
20,103
 
Management fee
  
125,906
   
57,645
 
Brokerage commission
  
2,118
   
919
 
Net realized gain (loss)
  
849,200
   
238,110
 
Change in net unrealized appreciation (depreciation)
  
307,157
   
168,150
 
Net Income (loss)
 $
1,326,099
  $
426,363
 
The Fund’s net income increased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to a lesser risegreater decrease in the value of the Japanese yeneuro versus the U.S. dollar during the nine months ended September 30, 2017.

2019.

ProShares Ultra Bloomberg Crude Oil*

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, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $933,731,860  $783,922,475 

NAV end of period

  $622,142,765  $979,757,506 

Percentage change in NAV

   (33.4)%   25.0

Shares outstanding beginning of period

   40,013,933   31,163,934 

Shares outstanding end of period

   34,761,317   46,613,933 

Percentage change in shares outstanding

   (13.1)%   49.6

Shares created

   65,600,000   50,475,000 

Shares redeemed

   70,852,616   35,025,001 

Per share NAV beginning of period

  $23.34  $25.15 

Per share NAV end of period

  $17.90  $21.02 

Percentage change in per share NAV

   (23.3)%   (16.4)% 

Percentage change in benchmark

   (9.4)%   (0.3)% 

Benchmark annualized volatility

   25.4  47.3

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
344,596,263
  $
770,163,871
 
NAV end of period
 $
338,896,125
  $
392,109,157
 
Percentage change in NAV
  
(1.7
)%  
(49.1
)%
Shares outstanding beginning of period
  
8,134,307
   
1,512,500
 
Shares outstanding end of period
  
6,284,307
   
6,634,307
 
Percentage change in shares outstanding
  
(22.7
)%  
338.6
%
Shares created
  
1,150,000
   
17,500,000
 
Shares redeemed
  
3,000,000
   
12,378,193
 
Per share NAV beginning of period
 $
42.36
  $
509.20
 
Per share NAV end of period
 $
53.93
  $
59.10
 
Percentage change in per share NAV
  
27.3
%  
(88.4
)%
Percentage change in benchmark
  
(49.9
)%  
(5.0
)%
Benchmark annualized volatility
  
63.5
%  
129.9
%
During the nine months ended September 30, 2017,2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 40,013,9338,134,307 outstanding Shares at December 31, 20162018 to 34,761,3176,284,307 outstanding Shares at September 30, 2017.2019. 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 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.
For the nine months ended September 30, 2019 and 2018, 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. The Fund’s per Share NAV increase of 27.3% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 88.4% for the nine months ended September 30, 2018, was primarily due to appreciation the value of the assets held by the Fund during the nine months ended September 30, 2019.


Table of Contents
The benchmark’s decline of 49.9% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 5.0% for the nine months ended September 30, 2018, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
1,136,974
  $
(2,496,914
)
Management fee
  
2,647,947
   
4,725,775
 
Brokerage commission
  
574,800
   
1,988,563
 
Non-recurring
fees and expenses
  
398,550
   
—  
 
Net realized gain (loss)
  
71,708,674
   
(1,789,680,237
)
Change in net unrealized appreciation (depreciation)
  
21,713,381
   
(5,857,980
)
Net Income (loss)
 $
94,559,029
  $
(1,798,035,131
)
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2019.
*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.


Table of Contents
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
368,399,654
  $
524,445,526
 
NAV end of period
 $
307,227,999
  $
397,342,621
 
Percentage change in NAV
  
(16.6
)%  
(24.2
)%
Shares outstanding beginning of period
  
28,211,317
   
22,161,317
 
Shares outstanding end of period
  
19,111,317
   
11,111,317
 
Percentage change in shares outstanding
  
(32.3
)%  
(49.9
)%
Shares created
  
25,650,000
   
6,350,000
 
Shares redeemed
  
34,750,000
   
17,400,000
 
Per share NAV beginning of period
 $
13.06
  $
23.66
 
Per share NAV end of period
 $
16.08
  $
35.76
 
Percentage change in per share NAV
  
23.1
%  
51.1
%
Percentage change in benchmark
  
18.1
%  
27.2
%
Benchmark annualized volatility
  
36.4
%  
24.0
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 28,211,317 outstanding Shares at December 31, 2018 to 19,111,317 outstanding Shares at September 30, 2019. 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) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, 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 Subindex
SM
.
For the nine months ended September 30, 2019 and 2018, 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 23.1% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 51.1% for the nine months ended September 30, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s rise of 18.1% for the nine months ended September 30, 2019, as compared to the benchmark’s rise of 27.2% for the nine months ended September 30, 2018, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
3,291,479
  $
1,892,694
 
Management fee
  
2,788,455
   
3,073,296
 
Brokerage commission
  
105,841
   
61,013
 
Net realized gain (loss)
  
112,871,495
   
202,021,950
 
Change in net unrealized appreciation (depreciation)
  
50,962,728
   
(6,827,810
)
Net Income (loss)
 $
167,125,702
  $
197,086,834
 
The Fund’s net income decreased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a lesser increase in the value of WTI Crude Oil during the nine months ended September 30, 2019.


Table of Contents
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
14,617,440
  $
63,268,950
 
NAV end of period
 $
24,820,631
  $
23,608,774
 
Percentage change in NAV
  
69.8
%  
(62.7
)%
Shares outstanding beginning of period
  
578,150
   
1,938,434
 
Shares outstanding end of period
  
1,928,150
   
778,150
 
Percentage change in shares outstanding
  
233.5
%  
(59.9
)%
Shares created
  
3,650,000
   
950,000
 
Shares redeemed
  
2,300,000
   
2,110,284
 
Per share NAV beginning of period
 $
25.28
  $
32.64
 
Per share NAV end of period
 $
12.87
  $
30.34
 
Percentage change in per share NAV
  
(49.1
)%  
(7.0
)%
Percentage change in benchmark
  
(24.2
)%  
(0.1
)%
Benchmark annualized volatility
  
35.2
%  
24.2
%
During the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 578,150 outstanding Shares at December 31, 2018 to 1,928,150 outstanding Shares at September 30, 2019. 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 Bloomberg Natural Gas Subindex
SM
. By comparison, 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, (beforebefore fees and expenses)expenses, that correspond to 2xtwo times (2x) of the daily performance of the Bloomberg WTI Crude OilNatural Gas Subindex
SM
. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 46,613,933 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the nine months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.3%49.1% for the nine months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV decrease of 16.4%7.0% for the nine months ended September 30, 2016,2018, was primarily due to a greater depreciation in the value of the assets ofheld by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 6, 2017 at $23.49 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on February 11, 2016 at $12.02 per Share.

2019.

The benchmark’s decline of 9.4%24.2% for the nine months ended September 30, 2017,2019, as compared to the benchmark’s decline of 0.3%0.1% for the nine months ended September 30, 2016,2018, can be attributed to a greater decrease in the pricevalue of WTI Crude OilHenry Hub Natural Gas during the nine monthsperiod ended September 30, 2017.

2019.



Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(1,483,954  $(4,978,159

Management fee

   5,773,725    6,031,448 

Brokerage commission

   147,117    443,936 

Net realized gain (loss)

   (123,526,841   (132,886,039

Change in net unrealized appreciation/depreciation

   (6,245,549   190,350,573 

Net income (loss)

  $(131,256,344  $52,486,375 

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
158,274
  $
59,670
 
Management fee
  
196,929
   
235,797
 
Brokerage commission
  
76,585
   
62,006
 
Net realized gain (loss)
  
(23,104,631
)  
5,881,776
 
Change in net unrealized appreciation (depreciation)
  
13,005,391
   
(6,646,841
)
Net Income (loss)
 $
(9,940,966
) $
(705,395
)
The Fund’s net income decreased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to a greater decrease in the pricevalue of WTI Crude OilHenry Hub Natural Gas during the nine months ended September 30, 2017.

*See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

NAV beginning of period

  $200 

NAV end of period

  $7,581,464 

Percentage change in NAV

   NM 

Shares outstanding beginning of period

   8 

Shares outstanding end of period

   300,008 

Percentage change in shares outstanding

   NM 

Shares created

   1,400,008 

Shares redeemed

   1,100,000 

Per share NAV beginning of period

  $25.00 

Per share NAV end of period

  $25.27 

Percentage change in per share NAV

   1.1

Percentage change in benchmark

   (4.8)% 

Benchmark annualized volatility

   26.1

NM – Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:

   March 24, 2017
(Commencement of
Operations) through
September 30, 2017
 

Net investment income (loss)

  $(99,140

Brokerage commission

   24,374 

Offering costs

   77,250 

Limitation by Sponsor

   (2,484

Net realized gain (loss)

   3,137,907 

Change in net unrealized appreciation/depreciation

   1,272,779 

Net income (loss)

  $4,311,546 

2019.

ProShares Ultra Bloomberg Natural Gas

Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $43,203,386  $38,851,184 

NAV end of period

  $51,059,617  $31,750,207 

Percentage change in NAV

   18.2  (18.3)% 

Shares outstanding beginning of period

   2,292,169   2,092,170 

Shares outstanding end of period

   5,842,169   2,192,169 

Percentage change in shares outstanding

   154.9  4.8

Shares created

   6,600,000   2,200,000 

Shares redeemed

   3,050,000   2,100,001 

Per share NAV beginning of period

  $18.85  $18.57 

Per share NAV end of period

  $8.74  $14.48 

Percentage change in per share NAV

   (53.6)%   (22.0)% 

Percentage change in benchmark

   (27.9)%   (5.9)% 

Benchmark annualized volatility

   34.6  39.6

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
7,544,569
  $
9,591,516
 
NAV end of period
 $
5,266,883
  $
7,852,376
 
Percentage change in NAV
  
(30.2
)%  
(18.1
)%
Shares outstanding beginning of period
  
500,000
   
550,000
 
Shares outstanding end of period
  
400,000
   
500,000
 
Percentage change in shares outstanding
  
(20.0
)%  
(9.1
)%
Shares created
  
50,000
   
150,000
 
Shares redeemed
  
150,000
   
200,000
 
Per share NAV beginning of period
 $
15.09
  $
17.44
 
Per share NAV end of period
 $
13.17
  $
15.70
 
Percentage change in per share NAV
  
(12.7
)%  
(10.0
)%
Percentage change in benchmark
  
(4.9
)%  
(3.2
)%
Benchmark annualized volatility
  
5.4
%  
7.4
%
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 5,842,169 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2016,2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 500,000 outstanding Shares at December 31, 2018 to 400,000 outstanding Shares at September 30, 2019. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2xtwo times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, 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 Bloomberg Natural Gas SubindexSM. The decrease inspot price of the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.

euro versus the U.S. dollar.

For the nine months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 53.6%12.7% for the nine months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV decrease of 22.0%10.0% for the nine months ended September 30, 2016,2018, was primarily due to a greater depreciation in the value of the assets ofheld by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $15.76 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share.

2019.



Table of Contents
The benchmark’s decline of 27.9%4.9% for the nine months ended September 30, 2017,2019, as compared to the benchmark’s decline of 5.9%3.2% for the nine months ended September 30, 2016,2018, can be attributed to a greater decrease in the pricevalue of Henry Hub Natural Gasthe euro versus the U.S. dollar during the nine monthsperiod ended September 30, 2017.

2019.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(190,949  $(282,519

Management fee

   318,839    229,760 

Brokerage commission

   71,984    98,016 

Net realized gain (loss)

   (21,041,439   6,591,292 

Change in net unrealized appreciation/depreciation

   (3,507,126   (7,750,780

Net income (loss)

  $(24,739,514  $(1,442,007

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
52,085
  $
13,113
 
Management fee
  
48,425
   
64,021
 
Net realized gain (loss)
  
(756,187
)  
(646,798
)
Change in net unrealized appreciation (depreciation)
  
(167,213
)  
(297,362
)
Net Income (loss)
 $
(871,315
) $
(931,047
)
The Fund’s net income decreasedincreased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to a greater decrease in the pricevalue of Henry Hub Natural Gasthe euro versus the U.S. dollar, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2017.

2019.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $92,127,200  $69,864,815 

NAV end of period

  $89,587,943  $99,949,269 

Percentage change in NAV

   (2.8)%   43.1

Shares outstanding beginning of period

   2,800,000   2,350,014 

Shares outstanding end of period

   2,250,000   2,250,000 

Percentage change in shares outstanding

   (19.6)%   (4.3)% 

Shares created

   400,000   150,000 

Shares redeemed

   950,000   250,014 

Per share NAV beginning of period

  $32.90  $29.73 

Per share NAV end of period

  $39.82  $44.42 

Percentage change in per share NAV

   21.0  49.4

Percentage change in benchmark

   12.0  24.8

Benchmark annualized volatility

   11.6  17.0

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
83,523,294
  $
93,708,748
 
NAV end of period
 $
109,353,860
  $
73,094,988
 
Percentage change in NAV
  
30.9
%  
(22.0
)%
Shares outstanding beginning of period
  
2,250,000
   
2,350,000
 
Shares outstanding end of period
  
2,350,000
   
2,250,000
 
Percentage change in shares outstanding
  
4.4
%  
(4.3
)%
Shares created
  
850,000
   
300,000
 
Shares redeemed
  
750,000
   
400,000
 
Per share NAV beginning of period
 $
37.12
  $
39.88
 
Per share NAV end of period
 $
46.53
  $
32.49
 
Percentage change in per share NAV
  
25.4
%  
(18.5
)%
Percentage change in benchmark
  
14.2
%  
(8.0
)%
Benchmark annualized volatility
  
12.0
%  
(8.8
)%
On December 20, 2018, the Trust announced that the ProShares Ultra Gold Fund would change its benchmark. The ProShares Ultra Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Gold Fund is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares Ultra Gold Fund was the LBMA Gold Price PM.


Table of Contents
During the nine months ended September 30, 2017,2019, the decreaseincrease in the Fund’s NAV resulted primarily 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, (beforebefore fees and expenses)expenses, that correspond to 2xtwo times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,250,000 outstanding Shares at December 31, 2018 to 2,350,000 outstanding Shares at September 30, 2019. By comparison, 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, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.0%25.4% for the nine months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV increasedecrease of 49.4%18.5% for the nine months ended September 30, 20162018, was primarily due to a lesser appreciation in the value of the assets ofheld by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.

2019.

The new benchmark’s rise of 12.0%14.2% for the nine months ended September 30, 2017,2019, as compared to the former LBMA Gold Price benchmark’s risedecline of 24.8%8.0% for the nine months ended September 30, 2016,2018, can be attributed to a lesseran increase in the pricevalue of spot gold in U.S. dollar termsfutures contracts during the nine monthsperiod ended September 30, 2017.

2019.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(160,597  $(486,568

Management fee

   692,340    665,265 

Brokerage commission

   39    33 

Net realized gain (loss)

   23,363,236    33,704,266 

Change in net unrealized appreciation/depreciation

   (3,986,925   (208,227

Net income (loss)

  $19,215,714   $33,009,471 

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
695,508
  $
449,402
 
Management fee
  
630,646
   
627,034
 
Brokerage commission
  
7,625
   
36
 
Net realized gain (loss)
  
24,305,967
   
(12,506,505
)
Change in net unrealized appreciation (depreciation)
  
(6,903,529
)  
(4,561,768
)
Net Income (loss)
 $
18,097,946
  $
(16,618,871
)
The Fund’s net income decreasedincreased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to lesseran increase in the pricevalue of spot gold in U.S. dollar terms in conjunction with share transactionsfutures prices during the nine months ended September 30, 2017.

2019.



Table of Contents
ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $275,779,940  $216,416,642 

NAV end of period

  $244,805,182  $372,251,128 

Percentage change in NAV

   (11.2)%   72.0

Shares outstanding beginning of period

   8,246,526   7,996,533 

Shares outstanding end of period

   7,196,526   7,596,526 

Percentage change in shares outstanding

   (12.7)%   (5.0)% 

Shares created

   950,000   1,500,000 

Shares redeemed

   2,000,000   1,900,007 

Per share NAV beginning of period

  $33.44  $27.06 

Per share NAV end of period

  $34.02  $49.00 

Percentage change in per share NAV

   1.7  81.1

Percentage change in benchmark

   3.8  40.0

Benchmark annualized volatility

   19.6  27.1

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
201,824,376
  $
258,244,696
 
NAV end of period
 $
216,058,743
  $
182,932,196
 
Percentage change in NAV
  
7.1
%  
(29.2
)%
Shares outstanding beginning of period
  
7,646,526
   
7,696,526
 
Shares outstanding end of period
  
7,396,526
   
7,946,526
 
Percentage change in shares outstanding
  
(3.3
)%  
3.2
%
Shares created
  
2,050,000
   
1,350,000
 
Shares redeemed
  
2,300,000
   
1,100,000
 
Per share NAV beginning of period
 $
26.39
  $
33.55
 
Per share NAV end of period
 $
29.21
  $
23.02
 
Percentage change in per share NAV
  
10.7
%  
(31.4
)%
Percentage change in benchmark
  
8.5
%  
(15.2
)%
Benchmark annualized volatility
  
20.5
%  
13.5
%
On December 20, 2018, the Trust announced that the ProShares Ultra Silver Fund would change its benchmark. The ProShares Ultra Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares Ultra Silver Fund is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares Ultra Silver Fund was the London Silver Price.
During the nine months ended September 30, 2017,2019, the decreaseincrease in the Fund’s NAV resulted primarily from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times (2x) the daily performance of silver bullion as measuredthe Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by the London Silver Price.a decrease from 7,646,526 outstanding Shares at December 31, 2018 to 7,396,526 outstanding Shares at September 30, 2019. By comparison, during the nine months ended September 30, 2016,2018, the increasedecrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2xtwo times (2x) of the daily performance of silver bullion as measured by the London Silver Price. The increasedecrease in the Fund’s NAV was offset by a decreasean increase from 7,996,5337,696,526 outstanding Shares at December 31, 20152017 to 7,596,5267,946,526 outstanding Shares at September 30, 2016.

2018.

For the nine months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.7%10.7% for the nine months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV increasedecrease of 81.1%31.4% for the nine months ended September 30, 2016,2018, was primarily due to a lesser appreciation in the value of the assets ofheld by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.

2019.

The new benchmark’s rise of 3.8%8.5% for the nine months ended September 30, 2017,2019, as compared to the former London Silver Price benchmark’s risedecline of 40.0%15.2% for the nine months ended September 30, 2016,2018, can be attributed to a lesser risean increase in the pricevalue of spot silver in U.S. dollar termsfutures contracts during the nine monthsperiod ended September 30, 2017.

2019.



Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(474,113  $(1,713,227

Management fee

   1,971,071    2,300,935 

Brokerage commission

   49    36 

Net realized gain (loss)

   20,326,492    174,873,081 

Change in net unrealized appreciation/depreciation

   (7,233,752   9,844,227 

Net income (loss)

  $12,618,627   $183,004,081 

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
1,447,033
  $
1,090,016
 
Management fee
  
1,393,382
   
1,581,152
 
Brokerage commission
  
27,422
   
43
 
Net realized gain (loss)
  
74,520,200
   
(52,506,174
)
Change in net unrealized appreciation (depreciation)
  
(54,551,838
)  
(26,200,021
)
Net Income (loss)
 $
21,415,395
  $
(77,616,179
)
The Fund’s net income decreasedincreased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to a lesser risean increase in the pricevalue of spot silver in U.S. dollar termsfutures prices during the nine months ended September 30, 2017.

2019.

ProShares Ultra Euro

VIX Short-Term Futures ETF

*
Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $11,914,585  $10,857,730 

NAV end of period

  $13,705,608  $9,678,714 

Percentage change in NAV

   15.0  (10.9)% 

Shares outstanding beginning of period

   850,000   700,014 

Shares outstanding end of period

   800,000   600,000 

Percentage change in shares outstanding

   (5.9)%   (14.3)% 

Shares created

   1,200,000   50,000 

Shares redeemed

   1,250,000   150,014 

Per share NAV beginning of period

  $14.02  $15.51 

Per share NAV end of period

  $17.13  $16.13 

Percentage change in per share NAV

   22.2  4.0

Percentage change in benchmark

   12.3  3.4

Benchmark annualized volatility

   7.4  8.3

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
214,304,871
  $
394,035,141
 
NAV end of period
 $
597,106,050
  $
532,210,781
 
Percentage change in NAV
  
178.6
%  
35.1
%
Shares outstanding beginning of period
  
2,630,912
   
7,625,448
 
Shares outstanding end of period
  
23,530,912
   
14,580,912
 
Percentage change in shares outstanding
  
794.4
%  
91.2
%
Shares created
  
55,850,000
   
31,930,000
 
Shares redeemed
  
34,950,000
   
24,974,536
 
Per share NAV beginning of period
 $
81.46
  $
51.67
 
Per share NAV end of period
 $
25.38
  $
36.50
 
Percentage change in per share NAV
  
(68.8
)%  
(29.4
)%
Percentage change in benchmark
  
(49.9
)%  
(5.0
)%
Benchmark annualized volatility
  
63.5
%  
129.9
%
During the nine months ended September 30, 2017,2019, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. Thean increase in the Fund’s NAV was offset by a decrease from 850,0002,630,912 outstanding Shares at December 31, 20162018 to 800,00023,530,912 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at September 30, 2016.2019. The decreaseincrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2xone and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, 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 spot priceS&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 euro versusdaily performance of the U.S. dollar.

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.



Table of Contents
For the nine months ended September 30, 20172019 and 2016,2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.benchmark prior to close of business on February 27, 2018, and 1.5x 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 increase
decrease of 22.2%68.8% for the nine months ended September 30, 2017,2019, as compared to the Fund’s per Share NAV increasedecrease of 4.0%29.4% for the nine months ended September 30, 2016,2018, was primarily due to a greater appreciationdepreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share.

2019.

The benchmark’s risedecline of 12.3%49.9% for the nine months ended September 30, 2017,2019, as compared to the benchmark’s risedecline of 3.4%5.0% for the nine months ended September 30, 2016,2018, can be attributed to a greater risedecrease in the value of near-term futures contracts on the euro versus the U.S. dollarVIX futures curve during the nine monthsperiod ended September 30, 2017.

2019.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(26,051  $(53,805

Management fee

   95,974    71,859 

Net realized gain (loss)

   2,666,306    1,156,114 

Change in net unrealized appreciation/depreciation

   364,855    (654,956

Net income (loss)

  $3,005,110   $447,353 

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
484,621
  $
(3,274,155
)
Management fee
  
3,488,439
   
3,185,978
 
Brokerage commission
  
2,119,082
   
2,530,133
 
Non-recurring
fees and expenses
  
27,508
   
—  
 
Net realized gain (loss)
  
(305,515,258
)  
105,013,790
 
Change in net unrealized appreciation (depreciation)
  
(33,413,790
)  
133,168
 
Net Income (loss)
 $
(338,444,427
) $
101,872,803
 
The Fund’s net income increaseddecreased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to a greater risedecrease in the value of the euro versus the U.S. dollarfutures prices during the nine months ended September 30, 2017.

2019.

*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.


Table of Contents
ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 20172019 and 2016:

   Nine Months Ended
September 30, 2017
  Nine Months Ended
September 30, 2016
 

NAV beginning of period

  $5,540,957  $5,473,848 

NAV end of period

  $5,804,920  $7,443,729 

Percentage change in NAV

   4.8  36.0

Shares outstanding beginning of period

   99,970   99,974 

Shares outstanding end of period

   99,970   99,970 

Percentage change in shares outstanding

   —^   —^ 

Shares created

   —     —   

Shares redeemed

   —     4 

Per share NAV beginning of period

  $55.43  $54.75 

Per share NAV end of period

  $58.07  $74.46 

Percentage change in per share NAV

   4.8  36.0

Percentage change in benchmark

   3.9  18.5

Benchmark annualized volatility

   8.7  13.0

^Amount represents less than 0.05%

2018:

         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
5,751,716
  $
2,864,269
 
NAV end of period
 $
2,851,387
  $
2,713,757
 
Percentage change in NAV
  
(50.4
)%  
(5.3
)%
Shares outstanding beginning of period
  
99,970
   
49,970
 
Shares outstanding end of period
  
49,970
   
49,970
 
Percentage change in shares outstanding
  
(50.0
)%  
—  
 
Shares created
  
100,000
   
—  
 
Shares redeemed
  
150,000
   
—  
 
Per share NAV beginning of period
 $
57.53
  $
57.32
 
Per share NAV end of period
 $
57.06
  $
54.31
 
Percentage change in per share NAV
  
(0.8
)%  
(5.3
)%
Percentage change in benchmark
  
1.4
%  
(0.8
)%
Benchmark annualized volatility
  
6.1
%  
6.6
%
During the nine months ended September 30, 2017,2019, the increasedecrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2018 to 49,970 outstanding Shares at September 30, 2019. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which 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 spot price of the Japanese yen versus the U.S. dollar. By comparison, 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, (beforebefore fees and expenses)expenses, that correspond to 2xtwo 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, 20162017 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at September 30, 2016.

2018.

For the nine months ended September 30, 20172019 and 2016,2018, 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 increasedecrease of 4.8%0.8% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 5.3% for the nine months ended September 30, 2018, was primarily due to lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s rise of 1.4% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 0.8% for the nine months ended September 30, 2018, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
32,685
  $
(6,960
)
Management fee
  
29,970
   
21,129
 
Net realized gain (loss)
  
131,562
   
(68,661
)
Change in net unrealized appreciation (depreciation)
  
(205,249
)  
(74,891
)
Net Income (loss)
 $
(41,002
) $
(150,512
)
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2019.


Table of Contents
ProShares UltraPro 3x Crude Oil ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
87,667,042
  $
11,335,483
 
NAV end of period
 $
87,102,665
  $
35,826,631
 
Percentage change in NAV
  
(0.6
)%  
216.1
%
Shares outstanding beginning of period
  
6,700,000
   
300,008
 
Shares outstanding end of period
  
5,650,000
   
550,000
 
Percentage change in shares outstanding
  
(15.7
)%  
83.3
%
Shares created
  
9,100,000
   
1,050,000
 
Shares redeemed
  
10,150,000
   
800,008
 
Per share NAV beginning of period
 $
13.08
  $
37.78
 
Per share NAV end of period
 $
15.42
  $
65.14
 
Percentage change in per share NAV
  
17.9
%  
72.4
%
Percentage change in benchmark
  
18.1
%  
27.2
%
Benchmark annualized volatility
  
36.4
%  
24.0
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,700,000 outstanding Shares at December 31, 2018 to 5,650,000 outstanding Shares at September 30, 2019. 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) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. By comparison, 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 Subindex
SM
.
For the nine months ended September 30, 2019 and 2018, 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 17.9% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 36.0%72.4% for the nine months ended September 30, 2016,2018, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on January 3, 2017 at $54.62 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share.

2019.

The benchmark’s rise of 3.9%18.1% for the nine months ended September 30, 2017,2019, as compared to the benchmark’s rise of 18.5%27.2% for the nine months ended September 30, 2016,2018, can be attributed to a lesser riseincrease in the value of the Japanese yen versus the U.S. dollarWTI Crude Oil during the nine monthsperiod ended September 30, 2017.

2019.



Table of Contents
Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
680,033
  $
(92,168
)
Management fee
  
811,675
   
148,366
 
Brokerage commission
  
231,502
   
33,256
 
Offering costs
  
—  
   
52,846
 
Limitation by sponsor
  
—  
   
(26,957
)
Net realized gain (loss)
  
30,871,381
   
7,547,152
 
Change in net unrealized appreciation (depreciation)
  
26,100,661
   
8,828,897
 
Net Income (loss)
 $
57,652,075
  $
16,283,881
 
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with a significant increase in average shares outstanding, during the nine months ended September 30, 2019.
ProShares UltraPro 3x Short Crude Oil ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
18,665,099
  $
21,161,176
 
NAV end of period
 $
65,981,311
  $
27,492,746
 
Percentage change in NAV
  
253.5
%  
29.9
%
Shares outstanding beginning of period
  
374,906
   
500,002
 
Shares outstanding end of period
  
3,874,906
   
1,674,906
 
Percentage change in shares outstanding
  
933.6
%  
235.0
%
Shares created
  
9,750,000
   
2,287,500
 
Shares redeemed
  
6,250,000
   
1,112,596
 
Per share NAV beginning of period
 $
49.79
  $
42.32
 
Per share NAV end of period
 $
17.03
  $
16.41
 
Percentage change in per share NAV
  
(65.8
)%  
(61.2
)%
Percentage change in benchmark
  
18.1
%  
27.2
%
Benchmark annualized volatility
  
36.4
%  
24.0
%
During the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 374,906 outstanding Shares at December 31, 2018 to 3,874,906 outstanding Shares at September 30, 2019. 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 Subindex
SM
. By comparison, 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 2016:

   Nine Months Ended
September 30, 2017
   Nine Months Ended
September 30, 2016
 

Net investment income (loss)

  $(20,949  $(35,548

Management fee

   42,356    47,356 

Net realized gain (loss)

   338,006    2,273,202 

Change in net unrealized appreciation/depreciation

   (53,094   (267,574

Net income (loss)

  $263,963   $1,970,080 

expenses, that correspond to three times the inverse

(-3x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the nine months ended September 30, 2019 and 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 65.8% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 61.2% for the nine months ended September 30, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.


Table of Contents
The benchmark’s rise of 18.1% for the nine months ended September 30, 2019, as compared to the benchmark’s rise of 27.2% for the nine months ended September 30, 2018, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
97,504
  $
(140,704
)
Management fee
  
156,754
   
110,213
 
Brokerage commission
  
70,351
   
40,361
 
Offering costs
  
—  
   
52,797
 
Limitation by sponsor
  
—  
   
(176
)
Net realized gain (loss)
  
(1,379,140
)  
(14,534,995
)
Change in net unrealized appreciation (depreciation)
  
7,068,795
   
(2,294,411
)
Net Income (loss)
 $
5,787,159
  $
(16,970,110
)
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a lesser increase in the value of WTI Crude Oil in conjunction with the timing of shareholder activity during the nine months ended September 30, 2019.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
11,060,333
  $
13,702,102
 
NAV end of period
 $
9,075,799
  $
7,905,778
 
Percentage change in NAV
  
(17.9
)%  
(42.3
)%
Shares outstanding beginning of period
  
200,000
   
300,000
 
Shares outstanding end of period
  
150,000
   
150,000
 
Percentage change in shares outstanding
  
(25.0
)%  
(50.0
)%
Shares created
  
50,000
   
50,000
 
Shares redeemed
  
100,000
   
200,000
 
Per share NAV beginning of period
 $
55.30
  $
45.67
 
Per share NAV end of period
 $
60.51
  $
52.71
 
Percentage change in per share NAV
  
9.4
%  
15.4
%
Percentage change in benchmark
  
(4.2
)%  
(7.4
)%
Benchmark annualized volatility
  
7.2
%  
8.7
%


Table of Contents
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,000 outstanding Shares at December 31, 2018 to 150,000 outstanding Shares at September 30, 2019. 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, 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.
For the nine months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.4% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 15.4% for the nine months ended September 30, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s decline of 4.2% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 7.4% for the nine months ended September 30, 2018, can be attributed to a lesser decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
71,637
  $
14,386
 
Management fee
  
57,983
   
54,862
 
Brokerage commission
  
4,610
   
4,487
 
Net realized gain (loss)
  
825,235
   
292,144
 
Change in net unrealized appreciation (depreciation)
  
(300,624
)  
661,212
 
Net Income (loss)
 $
596,248
  $
967,742
 
The Fund’s net income decreased for the nine months ended September 30, 2017,2019 as compared to the nine months ended September 30, 2016,2018, primarily due to a lesser decrease in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2019.


Table of Contents
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
114,377,311
  $
225,843,284
 
NAV end of period
 $
92,471,273
  $
150,043,469
 
Percentage change in NAV
  
(19.2
)%  
(33.6
)%
Shares outstanding beginning of period
  
3,839,884
   
9,289,884
 
Shares outstanding end of period
  
5,639,884
   
11,039,887
 
Percentage change in shares outstanding
  
46.9
%  
18.8
%
Shares created
  
16,700,000
   
11,000,000
 
Shares redeemed
  
14,900,000
   
9,250,000
 
Per share NAV beginning of period
 $
29.79
  $
24.31
 
Per share NAV end of period
 $
16.40
  $
13.59
 
Percentage change in per share NAV
  
(44.9
)%  
(44.1
)%
Percentage change in benchmark
  
18.1
%  
27.2
%
Benchmark annualized volatility
  
36.4
%  
24.0
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,839,884 outstanding Shares at December 31, 2018 to 5,639,884 outstanding Shares at September 30, 2019. By comparison, 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 Subindex
SM
. 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.
For the nine months ended September 30, 2019 and 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 decrease of 44.9% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 44.1% for the nine months ended September 30, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s rise of 18.1% for the nine months ended September 30, 2019, as compared to the benchmark’s rise of 27.2% for the nine months ended September 30, 2018, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
601,895
  $
883,255
 
Management fee
  
549,398
   
1,355,636
 
Brokerage commission
  
54,060
   
37,057
 
Net realized gain (loss)
  
(11,264,117
)  
(100,649,566
)
Change in net unrealized appreciation (depreciation)
  
(12,262,593
)  
9,243,214
 
Net Income (loss)
 $
(22,924,815
) $
(90,523,097
)
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a lesser increase in the value of WTI Crude Oil in conjunction with the timing of shareholder activity during the nine months ended September 30, 2019.


Table of Contents
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
17,825,441
  $
6,902,743
 
NAV end of period
 $
8,086,223
  $
9,784,252
 
Percentage change in NAV
  
(54.6
)%  
41.7
%
Shares outstanding beginning of period
  
824,832
   
174,832
 
Shares outstanding end of period
  
274,832
   
274,832
 
Percentage change in shares outstanding
  
(66.7
)%  
57.2
%
Shares created
  
800,000
   
550,000
 
Shares redeemed
  
1,350,000
   
450,000
 
Per share NAV beginning of period
 $
21.61
  $
39.48
 
Per share NAV end of period
 $
29.42
  $
35.60
 
Percentage change in per share NAV
  
36.1
%  
(9.8
)%
Percentage change in benchmark
  
(24.2
)%  
(0.1
)%
Benchmark annualized volatility
  
35.2
%  
24.2
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 824,832 outstanding Shares at December 31, 2018 to 274,832 outstanding Shares at September 30, 2019. 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 Subindex
SM
. By comparison, 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 Subindex
SM
.
For the nine months ended September 30, 2019 and 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 36.1% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 9.8% for the nine months ended September 30, 2018, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s decline of 24.2% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 0.1% for the nine months ended September 30, 2018, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2019.


Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
35,859
  $
(10,489
)
Management fee
  
61,451
   
46,555
 
Brokerage commission
  
36,500
   
18,954
 
Net realized gain (loss)
  
14,701,140
   
(277,886
)
Change in net unrealized appreciation (depreciation)
  
(10,071,485
)  
1,090,054
 
Net Income (loss)
 $
4,665,514
  $
801,679
 
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a greater decrease in the value of Henry Hub Natural Gas in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2019.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
154,120,159
  $
202,548,197
 
NAV end of period
 $
135,920,188
  $
170,087,449
 
Percentage change in NAV
  
(11.8
)%  
(16.0
)%
Shares outstanding beginning of period
  
6,350,000
   
9,550,000
 
Shares outstanding end of period
  
4,850,000
   
7,300,000
 
Percentage change in shares outstanding
  
(23.6
)%  
(23.6
)%
Shares created
  
450,000
   
1,500,000
 
Shares redeemed
  
1,950,000
   
3,750,000
 
Per share NAV beginning of period
 $
24.27
  $
21.21
 
Per share NAV end of period
 $
28.02
  $
23.30
 
Percentage change in per share NAV
  
15.5
%  
9.9
%
Percentage change in benchmark
  
(4.9
)%  
(3.2
)%
Benchmark annualized volatility
  
5.4
%  
7.4
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,350,000 outstanding Shares at December 31, 2018 to 4,850,000 outstanding Shares at September 30, 2019. 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, 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.
For the nine months ended September 30, 2019 and 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 15.5% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 9.9% for the nine months ended September 30, 2018, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.


Table of Contents
The benchmark’s decline of 4.9% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 3.2% for the nine months ended September 30, 2018, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
1,277,408
  $
867,179
 
Management fee
  
991,761
   
1,321,368
 
Net realized gain (loss)
  
14,642,452
   
10,370,113
 
Change in net unrealized appreciation (depreciation)
  
4,192,561
   
6,789,071
 
Net Income (loss)
 $
20,112,421
  $
18,026,363
 
The Fund’s net income increased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2019.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
18,098,997
  $
31,497,410
 
NAV end of period
 $
22,453,523
  $
29,286,620
 
Percentage change in NAV
  
24.1
%  
(7.0
)%
Shares outstanding beginning of period
  
246,978
   
446,978
 
Shares outstanding end of period
  
396,977
   
346,978
 
Percentage change in shares outstanding
  
60.7
%  
(22.4
)%
Shares created
  
550,000
   
250,000
 
Shares redeemed
  
400,001
   
350,000
 
Per share NAV beginning of period
 $
73.28
  $
70.47
 
Per share NAV end of period
 $
56.56
  $
84.40
 
Percentage change in per share NAV
  
(22.8
)%  
19.8
%
Percentage change in benchmark
  
14.2
%  
(8.0
)%
Benchmark annualized volatility
  
12.0
%  
8.8
%
On December 20, 2018, the Trust announced that the ProShares UltraShort Gold Fund would change its benchmark. The ProShares UltraShort Gold Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Gold Fund is the Bloomberg Gold Subindex (ticker: BCOMGC). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Gold Fund was the LBMA Gold Price PM.


Table of Contents
During the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 246,978 outstanding Shares at December 31, 2018 to 396,977 outstanding Shares at September 30, 2019. 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 Gold Subindex
SM
. By comparison, 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.
For the nine months ended September 30, 2019 and 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 decrease of 22.8% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 19.8% for the nine months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The new benchmark’s rise of 14.2% for the nine months ended September 30, 2019, as compared to the former LBMA Gold Price benchmark’s decline of 8.0% for the nine months ended September 30, 2018, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
153,734
  $
121,566
 
Management fee
  
137,269
   
201,913
 
Brokerage commission
  
4,025
   
36
 
Net realized gain (loss)
  
(6,541,972
)  
3,228,510
 
Change in net unrealized appreciation (depreciation)
  
2,226,057
   
1,851,383
 
Net Income (loss)
 $
(4,162,181
) $
5,201,459
 
The Fund’s net income decreased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2019.


Table of Contents
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
11,768,863
  $
14,806,259
 
NAV end of period
 $
15,441,093
  $
22,517,875
 
Percentage change in NAV
  
31.2
%  
52.1
%
Shares outstanding beginning of period
  
316,976
   
466,976
 
Shares outstanding end of period
  
516,976
   
516,976
 
Percentage change in shares outstanding
  
63.1
%  
10.7
%
Shares created
  
850,000
   
650,000
 
Shares redeemed
  
650,000
   
600,000
 
Per share NAV beginning of period
 $
37.13
  $
31.71
 
Per share NAV end of period
 $
29.87
  $
43.56
 
Percentage change in per share NAV
  
(19.6
)%  
37.4
%
Percentage change in benchmark
  
8.5
%  
(15.2
)%
Benchmark annualized volatility
  
20.5
%  
13.5
%
On December 20, 2018, the Trust announced that the ProShares UltraShort Silver Fund would change its benchmark. The ProShares UltraShort Silver Fund struck its NAV using its new benchmark for the first time on January 7, 2019. The new benchmark for the ProShares UltraShort Silver Fund is the Bloomberg Silver Subindex (ticker: BCOMSI). Prior to January 7, 2019, the benchmark for the ProShares UltraShort Silver Fund was the London Silver Price.
During the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 316,976 outstanding Shares at December 31, 2018 to 516,976 outstanding Shares at September 30, 2019. 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 Silver Subindex
SM
. By comparison, 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.
For the nine months ended September 30, 2019 and 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 decrease of 19.6% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 37.4% for the nine months ended September 30, 2018, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The new benchmark’s rise of 8.5% for the nine months ended September 30, 2019, as compared to the former London Silver Price benchmark’s decline of 15.2% for the nine months ended September 30, 2018, can be attributed to an increase in the value of the silver futures contracts during the period ended September 30, 2019.


Table of Contents
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
Net investment income (loss)
 $
114,402
  $
87,528
 
Management fee
  
109,073
   
155,203
 
Brokerage commission
  
6,070
   
34
 
Net realized gain (loss)
  
(6,438,122
)  
5,149,369
 
Change in net unrealized appreciation (depreciation)
  
3,749,759
   
2,251,286
 
Net Income (loss)
 $
(2,573,961
) $
7,488,183
 
The Fund’s net income decreased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2019.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
  
Nine Months Ended
 
 
September 30, 2019
  
September 30, 2018
 
NAV beginning of period
 $
55,363,675
  $
131,077,453
 
NAV end of period
 $
41,046,700
  $
78,157,044
 
Percentage change in NAV
  
(25.9
)%  
(40.4
)%
Shares outstanding beginning of period
  
749,290
   
1,749,290
 
Shares outstanding end of period
  
549,290
   
999,290
 
Percentage change in shares outstanding
  
(26.7
)%  
(42.9
)%
Shares created
  
450,000
   
100,000
 
Shares redeemed
  
650,000
   
850,000
 
Per share NAV beginning of period
 $
73.89
  $
74.93
 
Per share NAV end of period
 $
74.73
  $
78.21
 
Percentage change in per share NAV
  
1.1
%  
4.4
%
Percentage change in benchmark
  
1.4
%  
(0.8
)%
Benchmark annualized volatility
  
6.1
%  
6.6
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from a decrease from 749,290 outstanding Shares at December 31, 2018 to 549,290 outstanding Shares at September 30, 2019. 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, 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.
For the nine months ended September 30, 2019 and 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 1.1% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV increase of 4.4% for the nine months ended September 30, 2018, was primarily due to lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.


Table of Contents
The benchmark’s rise of 1.4% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 0.8% for the nine months ended September 30, 2018, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017.

Item 3.Quantitative and Qualitative Disclosures About Market Risk.

2019 and 2018:

         
 
Nine Months Ended
September 30, 2019
  
Nine Months Ended
September 30, 2018
 
Net investment income (loss)
 $
480,654
  $
411,941
 
Management fee
  
352,973
   
629,165
 
Net realized gain (loss)
  
(3,122,442
)  
(398,297
)
Change in net unrealized appreciation (depreciation)
  
3,500,784
   
1,456,265
 
Net Income (loss)
 $
858,996
  $
1,469,909
 
The Fund’s net income decreased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar in conjunction with the timing of shareholder activity during the nine months ended September 30, 2019.
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, 2019 and 2018:
         
 
Nine Months Ended
September 30, 2019
  
Nine Months Ended
September 30, 2018
 
NAV beginning of period
 $
56,299,121
  $
26,347,948
 
NAV end of period
 $
44,933,064
  $
18,770,656
 
Percentage change in NAV
  
(20.2
)%  
(28.8
)%
Shares outstanding beginning of period
  
2,112,403
   
1,237,403
 
Shares outstanding end of period
  
1,912,403
   
912,403
 
Percentage change in shares outstanding
  
(9.5
)%  
(26.3
)%
Shares created
  
1,125,000
   
700,000
 
Shares redeemed
  
1,325,000
   
1,025,000
 
Per share NAV beginning of period
 $
26.65
  $
21.29
 
Per share NAV end of period
 $
23.50
  $
20.57
 
Percentage change in per share NAV
  
(11.8
)%  
(3.4
)%
Percentage change in benchmark
  
(11.1
)%  
(2.1
)%
Benchmark annualized volatility
  
26.5
%  
41.4
%
During the nine months ended September 30, 2019, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,112,403 outstanding Shares at December 31, 2018 to 1,912,403 outstanding Shares at September 30, 2019. By comparison, 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.


Table of Contents
For the nine months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.8% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 3.4% for the nine months ended September 30, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s decline of 11.1% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 2.1% for the nine months ended September 30, 2018, can be attributed to a greater decrease in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
September 30, 2019
  
Nine Months Ended
September 30, 2018
 
Net investment income (loss)
 $
412,369
  $
18,823
 
Management fee
  
279,430
   
137,319
 
Brokerage commission
  
25,466
   
15,635
 
Net realized gain (loss)
  
(5,577,665
)  
2,044,708
 
Change in net unrealized appreciation (depreciation)
  
(1,775,307
)  
1,583,588
 
Net Income (loss)
 $
(6,940,603
) $
3,647,119
 
The Fund’s net income decreased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2019.


Table of Contents
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, 2019 and 2018:
         
 
Nine Months Ended
September 30, 2019
  
Nine Months Ended
September 30, 2018
 
NAV beginning of period
 $
149,547,115
  $
137,741,560
 
NAV end of period
 $
299,409,882
  $
154,631,386
 
Percentage change in NAV
  
100.2
%  
12.3
%
Shares outstanding beginning of period
  
3,876,317
   
5,901,317
 
Shares outstanding end of period
  
15,601,317
   
7,076,317
 
Percentage change in shares outstanding
  
302.5
%  
19.9
%
Shares created
  
21,000,000
   
7,300,000
 
Shares redeemed
  
9,275,000
   
6,125,000
 
Per share NAV beginning of period
 $
38.58
  $
23.34
 
Per share NAV end of period
 $
19.19
  $
21.85
 
Percentage change in per share NAV
  
(50.3
)%  
(6.4
)%
Percentage change in benchmark
  
(49.9
)%  
(5.0
)%
Benchmark annualized volatility
  
63.5
%  
129.9
%
During the nine months ended September 30, 2019, the increase in the Fund’s NAV resulted primarily from an increase from 3,876,317 outstanding Shares at December 31, 2018 to 15,601,317 outstanding Shares at September 30, 2019. 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, 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.
For the nine months ended September 30, 2019 and 2018, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.3% for the nine months ended September 30, 2019, as compared to the Fund’s per Share NAV decrease of 6.4% for the nine months ended September 30, 2018, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2019.
The benchmark’s decline of 49.9% for the nine months ended September 30, 2019, as compared to the benchmark’s decline of 5.0% for the nine months ended September 30, 2018, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2019.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2019 and 2018:
         
 
Nine Months Ended
September 30, 2019
  
Nine Months Ended
September 30, 2018
 
Net investment income (loss)
 $
1,816,725
  $
(14,404
)
Management fee
  
1,409,677
   
759,563
 
Brokerage commission
  
179,790
   
133,431
 
Net realized gain (loss)
  
(82,115,151
)  
29,055,098
 
Change in net unrealized appreciation (depreciation)
  
(19,655,136
)  
(2,341,435
)
Net Income (loss)
 $
(99,953,562
) $
26,699,259
 
The Fund’s net income decreased for the nine months ended September 30, 2019 as compared to the nine months ended September 30, 2018, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2019.


Table of Contents
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 following tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes.and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 20172019 and 2016,2018, each of the VIX Funds’Fund’s positions were as follows:

ProShares VIX Short-Term Futures ETF:

Short Euro

:
As of September 30, 20172019 and 2016,2018, the ProShares VIX Short-Term Futures ETFShort Euro Fund was exposed to equity market volatilityinverse exchange rate price risk through its holdingholdings of VIXEuro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in VIX futures contractsthese Financial Instruments as of September 30, 20172019 and 2016,2018, which were sensitive to equity market volatilityexchange rate price risk.

Futures Positions as of September 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2017    9,373   $11.68    1,000   $109,429,775 

VIX Futures (CBOE)

   Long    November 2017    6,252    13.03    1,000    81,432,300 

Futures Positions as of September 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016    8,392   $15.78    1,000   $132,383,800 

VIX Futures (CBOE)

   Long    November 2016    5,601    16.95    1,000    94,936,950 

                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
  
Short
   
December 2019
   
135
  $
1.10
   
125,000
  $
(18,499,219
)
  
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
)
The September 30, 20172019 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form10-K for the year ended December 31, 2016 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2017 ( the “Form10-K”) for additional information regarding performance for periods longer than a single day.

ProShares VIXMid-Term Futures ETF:

As of September 30, 2017 and 2016, the ProShares VIXMid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2018    582   $14.78    1,000   $8,599,050 

VIX Futures (CBOE)

   Long    February 2018    971    15.23    1,000    14,783,475 

VIX Futures (CBOE)

   Long    March 2018    971    15.80    1,000    15,341,800 

VIX Futures (CBOE)

   Long    April 2018    388    16.28    1,000    6,314,700 

Futures Positions as of September 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    January 2017    614   $18.50    1,000   $11,359,000 

VIX Futures (CBOE)

   Long    February 2017    1,024    19.05    1,000    19,507,200 

VIX Futures (CBOE)

   Long    March 2017    1,023    19.40    1,000    19,846,200 

VIX Futures (CBOE)

   Long    April 2017    409    19.98    1,000    8,169,775 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF:

As of September 30, 2017 and 2016, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2017    51,224   $11.68    1,000   $(598,040,200

VIX Futures (CBOE)

   Short    November 2017    34,126    13.03    1,000    (444,491,150

Futures Positions as of September 30, 2016

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Short    October 2016    18,688   $15.78    1,000   $(294,803,200

VIX Futures (CBOE)

   Short    November 2016    12,445    16.95    1,000    (210,942,750

The September 30, 2017 and 20162018 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 Annual Report on 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, 2019 and 2018, 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, 2019 and 2018, which were sensitive to equity market volatility risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
VIX Futures (CBOE)
  
Short
   
October 2019
   
5,281
  $
17.13
   
1,000
  $
(90,437,125
)
VIX Futures (CBOE)
  
Short
   
November 2019
   
4,321
   
18.28
   
1,000
   
(78,966,275
)


Table of Contents
                         
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
)
The September 30, 2019 and 2018 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 position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one.
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form10-K
10-K/A
for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF:

Bloomberg Crude Oil:

As of September 30, 20172019 and 2016,2018, the ProShares Ultra VIX Short-Term Futures ETFBloomberg Crude Oil Fund was exposed to equity market volatilitycommodity price risk through its holding of VIXCrude Oil futures contracts.contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex
SM
. The following tables provide information about the Fund’s positions in these VIX futures contractsFinancial Instruments as of September 30, 20172019 and 2016,2018, which were sensitive to equity market volatilitycommodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2017    52,495   $11.68    1,000   $612,879,125 

VIX Futures (CBOE)

   Long    November 2017    35,008    13.03    1,000    455,979,200 
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

VIX Futures (CBOE)

   Long    October 2016    54,497   $15.78    1,000   $859,690,175 

VIX Futures (CBOE)

   Long    November 2016    36,351    16.95    1,000    616,149,450 

                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  
Long
   
November 2019
   
1,604
  $
54.07
   
1,000
  $
86,728,280
 
  
Swap Agreements as of September 30, 2019
 
Reference Index
   
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
  
  
Citibank, N.A.
   
Long
  $
79.7080
  $
152,283,160
 
Bloomberg WTI Crude Oil Subindex
  
  
Goldman Sachs International
   
Long
   
79.7080
   
107,443,164
 
Bloomberg WTI Crude Oil Subindex
  
  
Royal Bank of Canada
   
Long
   
79.7080
   
104,526,285
 
Bloomberg WTI Crude Oil Subindex
  
  
Societe Generale
   
Long
   
79.7080
   
56,716,541
 
Bloomberg WTI Crude Oil Subindex
  
  
UBS AG
   
Long
   
79.7080
   
106,240,027
 
  
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
 


Table of Contents
                 
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
  
Royal Bank of Canada
   
Long
   
110.5124
   
90,338,589
 
Bloomberg WTI Crude Oil Subindex
  
Societe Generale
   
Long
   
110.5124
   
61,779,516
 
Bloomberg WTI Crude Oil Subindex
  
UBS AG
   
Long
   
110.5124
   
127,870,585
 
The September 30, 20172019 and 20162018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2019 and 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. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K
10-K/A
for additional information regarding performance for periods longer than a single day.

Commodity Price Sensitivity

Each Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the Commodity Fundsevent of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party
accounts at the Commodity Index Funds isFund’s custodian bank.
ProShares Ultra Bloomberg Natural Gas:
As of September 30, 2019 and 2018, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holdingsholding of Financial Instruments.Natural Gas futures contracts. The following tables provide information about eachthe Fund’s positions in these Financial Instruments as of the Commodity Funds’September 30, 2019 and the Commodity Index Funds’ Financial Instruments,2018, which were sensitive to commodity price risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
Natural Gas (NYMEX)
  
Long
   
November 2019
   
2,130
  $
2.33
   
10,000
  $
49,629,000
 
                     
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
 
The September 30, 2019 and 2018 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 Annual Report on Form
10-K/A
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Euro:
As of September 30, 20172019 and 2016, 2018, 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, 2019 and 2018, which were sensitive to exchange rate price risk.


Table of Contents
                         
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
 
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward Rate
  
Market Value
USD
 
Euro
  
Goldman Sachs International
   
Long
   
10/04/19
   
5,436,377
   
1.1015
  $
5,988,277
 
Euro
  
UBS AG
   
Long
   
10/04/19
   
4,424,633
   
1.1013
   
4,872,767
 
Euro
  
UBS AG
   
Short
   
10/04/19
   
(154,921
)  
1.0989
   
(170,246
)
                         
Foreign Currency Forward Contracts as of September 30, 2018
 
Reference
Currency
 
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
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
)
The September 30, 2019 and 2018 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 Commodity Fundseuro and multiplying by two. See “Item 1A. Risk Factors” in the CommodityAnnual Report on 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, 2019 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. As of September 30, 2018 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, 2019 and 2018, which were sensitive to commodity price risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
Gold Futures (COMEX)
  
Long
   
December 2019
   
464
  $
1,472.90
   
100
  $
68,342,560
 
                     
  
Swap Agreements as of September 30, 2019
 
Reference Index
 
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
Bloomberg Gold Subindex
 
Citibank, N.A.
   
Long
  $
169.6744
  $
58,722,600
 
Bloomberg Gold Subindex
 
Goldman Sachs International
   
Long
   
169.6744
   
42,918,686
 
Bloomberg Gold Subindex
 
UBS AG
   
Long
   
169.6744
   
48,702,760
 


Table of Contents
                         
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
   
Long
   
1,190.31
   
4,285,116
 
0.995 Fine Troy Ounce Gold
  
UBS AG
   
Long
   
1,190.31
   
39,280,230
 
The September 30, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2019 and 2018 forward and swap notional values equal units multiplied by the forward or swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, swap 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 Funds’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 Annual Report on Form
10-K/A
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or 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, 2019 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. As of September 30, 2018, 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, 2019 and 2018, which were sensitive to commodity price risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
Silver Futures (COMEX)
  
Long
   
December 2019
   
935
  $
17.00
   
5,000
  $
79,465,650
 
  
Swap Agreements as of September 30, 2019
 
Reference Index
   
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
Bloomberg Silver Subindex
  
  
Citibank, N.A.
   
Long
  $
162.7366
  $
148,647,493
 
Bloomberg Silver Subindex
  
  
Goldman Sachs International
   
Long
   
162.7366
   
84,687,175
 
Bloomberg Silver Subindex
  
  
UBS AG
   
Long
   
162.7366
   
119,278,311
 
  
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
 


Table of Contents
                 
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
   
Long
   
14.3436
   
25,588,982
 
0.999 Fine Troy Ounce Silver
  
UBS AG
   
Long
   
14.3435
   
100,949,553
 
The September 30, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2019 and 2018 forward and swap notional values equal units multiplied by the forward or swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, swap or forward price, as follows:

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 Annual Report on Form
10-K/A
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or 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, 2019 and 2018, 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 agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2019 and 2018, which were sensitive to equity market volatility risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
VIX Futures (CBOE)
  
Long
   
October 2019
   
26,799
  $
17.13
   
1,000
  $
458,932,875
 
VIX Futures (CBOE)
  
Long
   
November 2019
   
21,928
   
18.28
   
1,000
   
400,734,200
 
                 
Swap Agreements as of September 30, 2019
 
Reference Index
 
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
  
Goldman Sachs & Co.
   
Long
  $
23.3316
  $
35,981,673
 
                         
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
 


Table of Contents
The September 30, 2019 and 2018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2019 and 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. 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 Annual Report on 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, 2019 and 2018, 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, 2019 and 2018, which were sensitive to exchange rate price risk.
                     
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
 
Counterparty
 
Long or
Short
 
Settlement
Date
  
Local Currency
  
Forward Rate
  
Market Value
USD
 
Yen
 
Goldman Sachs International
 
Long
  
10/04/19
   
325,804,302
   
0.009294
  $
3,027,949
 
Yen
 
UBS AG
 
Long
  
10/04/19
   
303,292,846
   
0.009297
   
2,819,631
 
Yen
 
UBS AG
 
Short
  
10/04/19
   
(10,295,792
)  
0.009267
   
(95,409
)
                         
Foreign Currency Forward Contracts as of September 30, 2018
 
Reference
Currency
 
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
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
)
The September 30, 2019 and 2018 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 Annual Report on 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, 2019 and 2018, 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 Subindex
SM
. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2019 and 2018, which were sensitive to commodity price risk.


Table of Contents
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional
Amount at
Value
 
WTI Crude Oil (NYMEX)
  
Long
   
November 2019
   
4,830
  $
54.07
   
1,000
  $
261,158,100
 
                         
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
 
The September 30, 2019 and 2018 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 Annual Report on Form
10-K/A
for additional information regarding performance for periods longer than a single day.
ProShares UltraPro 3x Short Crude Oil ETF
As of September 30, 2019 and 2018, 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 Subindex
SM
. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2019 and 2018, which were sensitive to commodity price risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  
Short
   
November 2019
   
3,661
  $
54.07
   
1,000
  $
(197,950,270
)
                         
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
)
The September 30, 2019 and 2018 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 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 Annual Report on Form
10-K/A
for additional information regarding performance for periods longer than a single day.


Table of Contents
ProShares UltraShort Australian Dollar:
As of September 30, 2019 and 2018, 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, 2019 and 2018, which were sensitive to exchange rate price risk.
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
Australian Dollar Fx Currency Futures (CME)
  
Short
   
December 2019
   
268
  $
67.66
   
1,000
  $
(18,138,240
)
                         
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
)
The September 30, 2019 and 2018 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 Annual Report on 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, 20172019 and 2016,2018, 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 20172019 and 2016,2018, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Short   November 2017    1,894   $51.67    1,000   $(97,862,980

Swap Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Short  $76.1424   $(149,040,494

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Short   76.1424    (109,832,549

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Short   76.1424    (12,927,229

Bloomberg WTI Crude Oil Subindex

  UBS AG  Short   76.1424    (106,765,884

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2016    2,093   $48.24    1,000   $(100,966,320

Swap Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Short  $79.0094   $(110,835,497

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Short   79.0094    (78,877,241

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Short   79.0094    (8,278,478

Bloomberg WTI Crude Oil Subindex

  UBS AG  Short   79.0094    (80,182,717

                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
  
Short
   
November 2019
   
630
  $
54.07
   
1,000
  $
(34,064,100
)
                 
Swap Agreements as of September 30, 2019
 
Reference Index
 
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
  
Citibank, N.A.
   
Short
  $
79.7080
  $
(53,195,027
)
Bloomberg WTI Crude Oil Subindex
  
Goldman Sachs International
   
Short
   
79.7080
   
(29,730,396
)
Bloomberg WTI Crude Oil Subindex
  
Royal Bank of Canada
   
Short
   
79.7080
   
(27,375,112
)
Bloomberg WTI Crude Oil Subindex
  
Societe Generale
   
Short
   
79.7080
   
(8,125,464
)
Bloomberg WTI Crude Oil Subindex
  
UBS AG
   
Short
   
79.7080
   
(32,567,716
)
216

Table of Contents
                         
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
  
Royal Bank of Canada
   
Short
   
110.5124
   
(46,878,869
)
Bloomberg WTI Crude Oil Subindex
  
Societe Generale
   
Short
   
110.5124
   
(22,503,021
)
Bloomberg WTI Crude Oil Subindex
  
UBS AG
   
Short
   
110.5124
   
(51,524,744
)
The September 30, 20172019 and 20162018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 20172019 and 20162018 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K
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 UltraPro 3x Short Crude Oil ETF:

As of September 30, 2017, the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

   Short    November 2017    916   $51.67    1,000   $(47,329,720

The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than one day.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 20172019 and 2016,2018, 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, 20172019 and 2016,2018, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    November 2017    394   $3.01    10,000   $(11,847,580
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

   Short    November 2016    437   $2.91    10,000   $(12,699,220

                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional Amount
at Value
 
Natural Gas (NYMEX)
  
Short
   
November 2019
   
694
  $
2.33
   
10,000
  $
(16,170,200
)
                         
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
)
The September 30, 20172019 and 20162018 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.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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K
10-K/A
for additional information regarding performance for periods longer than a single day.

217

Table of Contents
ProShares UltraShort Gold:

Euro:

As of September 30, 20172019 and 2016, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    December 2017    2   $1,284.80    100   $(256,960

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Short  $1,283.43   $(20,663,223

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Short   1,283.41    (21,687,062

0.995 Fine Troy Ounce Gold

  Societe Generale  Short   1,283.41    (6,160,368

0.995 Fine Troy Ounce Gold

  UBS AG  Short   1,283.41    (22,138,823

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Short    December 2016    2   $1,317.10    100   $(263,420

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Short  $1,322.72   $(29,893,472

0.995 Fine Troy Ounce Gold

  Deutsche Bank AG  Short   1,322.80    (73,018,560

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Short   1,322.70    (21,689,635

0.995 Fine Troy Ounce Gold

  Societe Generale  Short   1,322.71    (5,290,840

0.995 Fine Troy Ounce Gold

  UBS AG  Short   1,322.71    (22,552,206

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2017 and 2016, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Short   December 2017   2   $16.68    5,000   $(166,760

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citybank, N.A.  Short  $16.8646   $(16,071,964

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Short   16.8644    (13,263,851

0.999 Fine Troy Ounce Silver

  Societe Generale  Short   16.8645    (2,630,862

0.999 Fine Troy Ounce Silver

  UBS AG  Short   16.8644    (13,727,622

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Short   December 2016   2   $19.21    5,000   $(192,140

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Short  $19.3535   $(11,979,817

0.999 Fine Troy Ounce Silver

  Deutsche Bank AG  Short   19.3551    (41,536,045

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Short   19.3535    (12,976,522

0.999 Fine Troy Ounce Silver

  Societe Generale  Short   19.3537    (3,019,177

0.999 Fine Troy Ounce Silver

  UBS AG  Short   19.3535    (9,463,862

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2017 and 2016, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2017    55   $1.19    125,000   $(8,156,844
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Euro Fx Currency Futures (CME)

   Short    December 2016    105   $1.13    125,000   $(14,801,063

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of September 30, 2017 and 2016, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2017    232   $78.36    1,000   $(18,179,520

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional
Amount at Value
 

Australian Dollar Fx Currency Futures (CME)

   Short    December 2016    456   $76.49    1,000   $(34,879,440

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2017 and 2016,2018, 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, 20172019 and 2016,2018, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017 

Reference

Currency

  Counterparty  Long or
Short
  Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International  Long   10/06/17    3,175,800   1.1821   $3,754,078 

Euro

  UBS AG  Long   10/06/17    35,067,900   1.1821    41,453,378 

Euro

  Goldman Sachs International  Short   10/06/17    (194,781,925  1.1821    (230,249,569

Euro

  UBS AG  Short   10/06/17    (226,747,400  1.1821    (268,035,604
Foreign Currency Forward Contracts as of September 30, 2016 

Reference

Currency

  Counterparty  Long or
Short
  Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International  Long   10/07/16    11,861,500   1.1236   $13,327,034 

Euro

  UBS AG  Long   10/07/16    18,134,300   1.1236    20,374,863 

Euro

  Goldman Sachs International  Short   10/07/16    (344,672,125  1.1236    (387,257,692

Euro

  UBS AG  Short   10/07/16    (345,543,400  1.1236    (388,236,616

                         
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
Currency
 
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
Forward Rate
  
Market Value
USD
 
Euro
  
UBS AG
   
Long
   
10/04/19
   
9,230,205
   
1.1077
  $
10,224,496
 
Euro
  
Goldman Sachs International
   
Short
   
10/04/19
   
(115,700,269
)  
1.1015
   
(127,446,161
)
Euro
  
UBS AG
   
Short
   
10/04/19
   
(142,819,935
)  
1.1008
   
(157,218,004
)
                         
Foreign Currency Forward Contracts as of September 30, 2018
 
Reference
Currency
 
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
  
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
)
The September 30, 20172019 and 20162018 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form10-K
10-K/A
for additional information regarding performance for periods longer than a single day.day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

Gold:

As of September 30, 20172019 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and 2016,swap agreements linked to the Bloomberg Gold Subindex
SM
. As of September 30, 2018 ProShares Ultra 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, 2019 and 2018, which were sensitive to commodity price risk.


Table of Contents
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional
Amount at
Value
 
Gold Futures (COMEX)
  
Short
   
December 2019
   
131
  $
1,472.90
   
100
  $
(19,294,990
)
                 
Swap Agreements as of September 30, 2019
 
Reference Index
 
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
Bloomberg Gold Subindex
  
Citibank, N.A.
   
Short
  $
169.6744
  $
(13,544,988
)
Bloomberg Gold Subindex
  
Goldman Sachs International
   
Short
   
169.6744
   
(6,689,210
)
Bloomberg Gold Subindex
  
UBS AG
   
Short
   
169.6744
   
(5,438,600
)
                         
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
   
Short
   
1,190.31
   
(4,285,116
)
0.995 Fine Troy Ounce Gold
  
UBS AG
   
Short
   
1,190.31
   
(20,056,724
)
The September 30, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2019 and 2018 short forward and swap notional values equal units multiplied by the forward or swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract, swap 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 Annual Report on Form
10-K/A
for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or 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, 2019 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. As of September 30, 2018 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, 2019 and 2018, which were sensitive to commodity price risk.


Table of Contents
                         
Futures Positions as of September 30, 2019
 
Contract
 
Long or
Short
  
Expiration
  
Contracts
  
Valuation
Price
  
Contract
Multiplier
  
Notional
Amount at
Value
 
Silver Futures (COMEX)
  
Short
   
December 2019
   
172
  $
17.00
   
5,000
  $
(14,618,280
)
                 
Swap Agreements as of September 30, 2019
 
Reference Index
 
Counterparty
  
Long or
Short
  
Index Close
  
Notional Amount
at Value
 
Bloomberg Silver Subindex
  
Citibank, N.A.
   
Short
  $
162.7366
  $
(5,463,022
)
Bloomberg Silver Subindex
  
Goldman Sachs International
   
Short
   
162.7366
   
(5,692,366
)
Bloomberg Silver Subindex
  
UBS AG
   
Short
   
162.7366
   
(5,063,730
)
                         
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
   
Short
   
14.3436
   
(2,237,602
)
0.999 Fine Troy Ounce Silver
  
UBS AG
   
Short
   
14.3435
   
(13,870,165
)
The September 30, 2019 and 2018 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2019 and 2018 short forward and swap notional values equal units multiplied by the forward or swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract, swap or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. 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 Annual Report on Form
10-K/
A for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap or 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, 2019 and 2018, 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, 20172019 and 2016,2018, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017 

Reference Currency

  Counterparty  Long or
Short
  Settlement
Date
   Yen  Forward Rate   Market Value
USD
 

Yen

  Goldman Sachs International  Long   10/06/17    571,833,200   0.008888   $5,082,606 

Yen

  UBS AG  Long   10/06/17    2,539,647,800   0.008888    22,573,065 

Yen

  Goldman Sachs International  Short   10/06/17    (17,548,070,400  0.008888    (155,971,917

Yen

  UBS AG  Short   10/06/17    (18,981,034,100  0.008888    (168,708,480
Foreign Currency Forward Contracts as of September 30, 2016 

Reference Currency

  Counterparty  Long or
Short
  Settlement
Date
   Yen  Forward Rate   Market Value
USD
 

Yen

  Goldman Sachs International  Long   10/07/16    812,107,700   0.009863   $8,009,961 

Yen

  UBS AG  Long   10/07/16    4,484,904,300   0.009863    44,235,400 

Yen

  Goldman Sachs International  Short   10/07/16    (27,401,188,900  0.009863    (270,262,747

Yen

  UBS AG  Short   10/07/16    (31,384,937,700  0.009863    (309,555,163



Table of Contents
                         
Foreign Currency Forward Contracts as of September 30, 2019
 
Reference
   
Long or
  
Settlement
      
Market Value
 
Currency
 
Counterparty
  
Short
  
Date
  
Local Currency
  
Forward Rate
  
USD
 
Yen
  
UBS AG
   
Long
   
10/04/19
   
313,469,141
   
0.009314
  $
2,919,786
 
Yen
  
Goldman Sachs International
   
Short
   
10/04/19
   
(4,504,005,190
)  
0.009294
   
(41,859,172
)
Yen
  
UBS AG
   
Short
   
10/04/19
   
(4,679,302,619
)  
0.009293
   
(43,484,070
)
  
Foreign Currency Forward Contracts as of September 30, 2018
 
Reference
   
Long or
  
Settlement
      
Market Value
 
Currency
 
Counterparty
  
Short
  
Date
  
Local Currency
  
Forward Rate
  
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
)
The September 30, 20172019 and 20162018 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative twotwo. See “Item 1A. Risk Factors” in the Annual Report on Form10-K
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.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk.

ProShares VIX
Mid-Term
Futures ETF
As of September 30, 20172019 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2017 and 2016,2018, the ProShares Ultra Bloomberg Crude OilVIX

Mid-Term
Futures ETF Fund was exposed to commodity priceequity market volatility risk through its holding of Crude OilVIX futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM.contracts. The following tables providetable provides information about the Fund’s positions in these Financial InstrumentsVIX futures contracts as of September 30, 20172019 and 2016,2018, which were sensitive to commodity priceequity market volatility risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  November 2017   5,855   $51.67    1,000   $302,527,850 

Swap Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Index Close   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Long  $76.1424   $332,458,695 

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Long   76.1424    242,703,814 

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Long   76.1424    115,090,880 

Bloomberg WTI Crude Oil Subindex

  UBS AG  Long   76.1424    251,436,908 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  November 2016   8,345   $48.24    1,000   $402,562,800 

Swap Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Index
Close
   Notional
Amount at
Value
 

Bloomberg WTI Crude Oil Subindex

  Citibank, N.A.  Long  $79.0094   $566,152,847 

Bloomberg WTI Crude Oil Subindex

  Goldman Sachs International  Long   79.0094    454,062,414 

Bloomberg WTI Crude Oil Subindex

  Societe Generale  Long   79.0094    100,430,739 

Bloomberg WTI Crude Oil Subindex

  UBS AG  Long   79.0094    436,225,560 

                         
Futures Positions as of September 30, 2019
 
 
Long or
      
Valuation
  
Contract
  
Notional Amount
 
Contract
 
Short
  
Expiration
  
Contracts
  
Price
  
Multiplier
  
at Value
 
VIX Futures (CBOE)
  
Long
   
January 2020
  $
432
   
18.83
   
1,000
  $
8,132,400
 
VIX Futures (CBOE)
  
Long
   
February 2020
   
786
   
19.08
   
1,000
   
14,992,950
 
VIX Futures (CBOE)
  
Long
   
March 2020
   
786
   
19.08
   
1,000
   
14,992,950
 
VIX Futures (CBOE)
  
Long
   
April 2020
   
354
   
19.23
   
1,000
   
6,805,650
 
                         
Futures Positions as of September 30, 2018
 
           
Notional
 
 
Long or
      
Valuation
  
Contract
  
Amount at
 
Contract
 
Short
  
Expiration
  
Contracts
  
Price
  
Multiplier
  
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
 


Table of Contents
The September 30, 20172019 and 20162018 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable.contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure tomatch the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the returnperformance of the Index and multiplying by two See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares UltraPro 3x Crude Oil ETF:

As of September 30, 2017, the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

  Long  November 2017   440   $51.67    1,000   $22,734,800 

The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional (gains) losses associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two.Index. See “Item 1A. Risk Factors” in the Annual Report on Form10-K

10-K/A
for additional information regarding performance for periods longer than onea single day.

ProShares Ultra Bloomberg Natural Gas:

VIX Short-Term Futures ETF

As of September 30, 20172019 and 2016,2018, the ProShares Ultra Bloomberg Natural GasVIX Short-Term Futures ETF Fund was exposed to commodity priceequity market volatility risk through its holding of Natural GasVIX futures contracts. The following tables provide information about the Fund’s positions in these Financial InstrumentsVIX futures contracts as of September 30, 20172019 and 2016,2018, which were sensitive to commodity priceequity market volatility risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

  Long  November 2017   3,396   $3.01    10,000   $102,117,720 
Futures Positions as of September 30, 2016 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Natural Gas (NYMEX)

  Long  November 2016   2,185   $2.91    10,000   $63,496,100 

                         
Futures Positions as of September 30, 2019
 
 
Long or
      
Valuation
  
Contract
  
Notional Amount
 
Contract
 
Short
  
Expiration
  
Contracts
  
Price
  
Multiplier
  
at Value
 
VIX Futures (CBOE)
  
Long
   
October 2019
   
9,333
  $
17.13
   
1,000
  $
159,827,625
 
VIX Futures (CBOE)
  
Long
   
November 2019
   
7,636
   
18.28
   
1,000
   
139,547,900
 
                         
Futures Positions as of September 30, 2018
 
           
Notional
 
 
Long or
      
Valuation
  
Contract
  
Amount at
 
Contract
 
Short
  
Expiration
  
Contracts
  
Price
  
Multiplier
  
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
 
The September 30, 20172019 and 20162018 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.contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00match the performance of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.Index. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two.Index. See “Item 1A. Risk Factors” in the Annual Report on Form10-K
10-K/A
for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:



Table of Contents
Qualitative Disclosure
As of September 30, 2017 and 2016, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positionsdescribed in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    December 2017    2   $1,284.80    100   $256,960 

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Long  $1,283.43   $56,984,292 

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Long   1,283.41    48,923,589 

0.995 Fine Troy Ounce Gold

  Societe Generale  Long   1,283.41    23,101,380 

0.995 Fine Troy Ounce Gold

  UBS AG  Long   1,283.41    49,924,649 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Gold Futures (COMEX)

   Long    December 2016    2   $1,317.10    100   $263,420 

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.995 Fine Troy Ounce Gold

  Citibank, N.A.  Long  $1,322.72   $55,818,784 

0.995 Fine Troy Ounce Gold

  Deutsche Bank AG  Long   1,322.80    42,461,880 

0.995 Fine Troy Ounce Gold

  Goldman Sachs International  Long   1,322.70    48,305,004 

0.995 Fine Troy Ounce Gold

  Societe Generale  Long   1,322.71    20,369,734 

0.995 Fine Troy Ounce Gold

  UBS AG  Long   1,322.71    32,670,937 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases)Item 7 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 Instrumentseach day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiodreturns, 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 Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2017 and 2016, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017 

Contract

  Long or
Short
  Expiration  Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

  Long  December 2017   2   $16.68    5,000   $166,760 

Forward Agreements as of September 30, 2017 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Long  $16.8646   $161,967,618 

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Long   16.8644    131,471,490 

0.999 Fine Troy Ounce Silver

  Societe Generale  Long   16.8645    63,815,268 

0.999 Fine Troy Ounce Silver

  UBS AG  Long   16.8644    132,149,438 

Futures Positions as of September 30, 2016 

Contract

  Long or
Short
   Expiration   Contracts   Valuation
Price
   Contract
Multiplier
   Notional Amount
at Value
 

Silver Futures (COMEX)

   Long    December 2016    2   $19.21    5,000   $192,140 

Forward Agreements as of September 30, 2016 

Reference Index

  Counterparty  Long or
Short
  Valuation
Price
   Notional Amount
at Value
 

0.999 Fine Troy Ounce Silver

  Citibank, N.A.  Long  $19.3535   $216,797,907 

0.999 Fine Troy Ounce Silver

  Deutsche Bank AG  Long   19.3551    110,726,656 

0.999 Fine Troy Ounce Silver

  Goldman Sachs International  Long   19.3535    188,634,694 

0.999 Fine Troy Ounce Silver

  Societe Generale  Long   19.3537    67,428,291 

0.999 Fine Troy Ounce Silver

  UBS AG  Long   19.3535    160,692,111 

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of September 30, 2017 and 2016, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017

Reference

Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International   Long    10/06/17    11,961,025   1.1821   $14,138,996 

Euro

  UBS AG   Long    10/06/17    17,574,000   1.1821    20,774,032 

Euro

  Goldman Sachs International   Short    10/06/17    (1,663,500  1.1821    (1,966,405

Euro

  UBS AG   Short    10/06/17    (4,680,700  1.1821    (5,533,004

Foreign Currency Forward Contracts as of September 30, 2016

Reference

Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Euro  Forward
Rate
   Market Value
USD
 

Euro

  Goldman Sachs International   Long    10/07/16    9,020,825   1.1236   $10,135,383 

Euro

  UBS AG   Long    10/07/16    8,385,200   1.1236    9,421,224 

Euro

  UBS AG   Short    10/07/16    (169,500  1.1236    (190,442

The September 30, 2017 and 2016 USD market value equals the number of euros multiplied by the forward rate.

These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of September 30, 2017 and 2016, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017

Reference Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Yen  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International   Long    10/06/17    735,730,100   0.008888   $6,539,365 

Yen

  UBS AG   Long    10/06/17    652,357,100   0.008888    5,798,323 

Yen

  Goldman Sachs International   Short    10/06/17    (23,286,700  0.008888    (206,978

Yen

  UBS AG   Short    10/06/17    (57,172,300  0.008888    (508,163

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency

  

Counterparty

  Long or
Short
   Settlement
Date
   Yen  Forward
Rate
   Market Value
USD
 

Yen

  Goldman Sachs International   Long    10/07/16    1,029,857,000   0.009863   $10,157,661 

Yen

  UBS AG   Long    10/07/16    524,705,100   0.009863    5,175,259 

Yen

  Goldman Sachs International   Short    10/07/16    (34,119,100  0.009863    (336,523

Yen

  UBS AG   Short    10/07/16    (11,065,500  0.009863    (109,141

The September 30, 2017 and 2016 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod 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 Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.

Qualitative Disclosure

As described above in Item 2 in this QuarterlyAnnual Report on Form10-Q,

10-K/A,
it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results, (beforebefore fees and expenses)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, (beforebefore fees and expenses)expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, (beforebefore fees and expenses)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, (beforebefore fees and expenses), both over a single day and over time,expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Futureperiod 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 negative two. Each Matching VIX Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark.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 Annual Report on Form10-K
10-K/A
for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated investment objectives both over a single day and over time.

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 directlong exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrencesstrategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 27 in this Quarterlythe Annual Report on Form10-Q,
10-K/A,
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 Annual Report on Form10-K,
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.

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).



Table of Contents
Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K,
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 Annual Report on Form10-K,
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, or 2x)
-3x,
1.5x, 2x, 3x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times),On a daily basis, 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 27 of this Quarterlythe Annual Report on Form10-Q,
10-K/A,
these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio
re-positioning
are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements during theeach day also affects whether the Fund’s portfolio needs to bere-positioned. 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 UltraShortUltraPro Short Funds will generally decrease when the Index rises on a given day.day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s, or an UltraShort Fund’s, or UltraPro Short Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in aboth
non-interest
bearing and interest bearing demand deposit account.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).

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


Table of Contents
Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2016,2018, 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, 20172019 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.



Table of Contents
Part IIII. OTHER INFORMATION

Item 1. Legal Proceedings.

None

The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act and Sections 10(b) and 20(a) and Rule
10b-5
of the 1934 Act by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. On April 29, 2019, the Court entered an order consolidating the three suits into a single action captioned In re
ProShares Trust II Securities Litigation
, and requiring that the lead plaintiff file an amended consolidated complaint by June 21, 2019. The Sponsor and the Trust filed a Motion to Dismiss on August 2, 2019. The plaintiffs filed a second amended consolidated complaint on September 6, 2019, which the Sponsor and the Trust moved to dismiss on September 27, 2019. Counsel for the Trust believes the second amended consolidated complaint (as with the prior complaints) is without merit and that the lawsuit will not adversely impact the operation of the Trust, ProShares Short VIX Short-Term Futures ETF, or any of its other Funds. The Trust and the Sponsor intend to vigorously defend against the lawsuit. The Trust and the Sponsor cannot predict the outcome of the lawsuit. Accordingly, no loss contingency has been recorded in the Statement of Financial Condition and the amount of loss, if any, cannot be reasonably estimated at this time. ProShares Short VIX Short-Term Futures ETF may incur expenses in defending against the lawsuit.
Item 1A. Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form10-K
10-K/A
for the year ended December 31, 2016,2018, filed on March 1, 2017.

25, 2019.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

a) None.

b) The Trust initially registered Shares on its Registration Statement on FormS-1 (FileNo. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on FormS-1 (FileNo. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the saleNot applicable.


Table of all registered Shares and reallocated the remaining amountContents
                     
     
Sale Price of Shares
    
Sale Price of Shares Sold
 
   
Shares Sold For the
  
Sold For the Three
  
Shares Sold For the
  
For the Nine Months
 
Title of Securities
 
Amount Registered As of
  
Three Months Ended
  
Months Ended
  
Nine Months Ended
  
Ended September 30,
 
Registered
 
September 30, 2019
  
September 30, 2019
  
September 30, 2019
  
September 30, 2019
  
2019
 
ProShares Short Euro Common Units of Beneficial Interest
 $
 140,213,786
   
—  
  $
—  
   
300,000
  $
13,205,150
 
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest
  
8,945,616,566
   
850,000
   
47,223,413
   
1,150,000
   
62,093,409
 
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest
  
3,767,599,303
   
15,250,000
   
251,894,456
   
25,650,000
   
437,596,722
 
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest
  
353,205,850
   
800,000
   
9,839,170
   
3,650,000
   
65,142,814
 
ProShares Ultra Euro Common Units of Beneficial Interest
  
90,976,566
   
—  
   
—  
   
50,000
   
744,567
 
ProShares Ultra Gold Common Units of Beneficial Interest
  
246,598,845
   
450,000
   
21,152,973
   
850,000
   
36,017,830
 
ProShares Ultra Silver Common Units of Beneficial Interest
  
1,200,576,548
   
750,000
   
23,886,106
   
2,050,000
   
55,464,494
 
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest
  
6,661,218,948
   
23,650,000
   
634,964,519
   
55,850,000
   
1,949,376,975
 
ProShares Ultra Yen Common Units of Beneficial Interest
  
132,956,903
   
—  
   
—  
   
100,000
   
5,758,562
 
ProShares UltraPro 3x Crude Oil ETF Common Units of Beneficial Interest
  
829,485,301
   
6,450,000
   
105,360,630
   
9,100,000
   
159,516,428
 
ProShares UltraPro 3x Short Crude Oil ETF Common Units of Beneficial Interest
  
908,565,729
   
8,050,000
   
121,691,358
   
9,750,000
   
159,853,614
 
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest
  
162,940,781
   
50,000
   
3,004,977
   
50,000
   
3,004,977
 
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest
  
1,353,775,887
   
8,450,000
   
127,731,733
   
16,700,000
   
270,984,807
 


Table of the registered Shares among the Funds listed on its Registration Statement on FormS-3 (FileNo. 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 FormS-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 FormS-1 (FileNo. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on FormS-3 (FileNo. 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 FormS-1 (FileNo. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on FormS-1 (FileNo. 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 (FileNo. 333-183672) was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-176878). On September 27, 2012, a Registration Statement on FormS-3 (FileNo. 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 FormS-3 (FileNo. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on FormS-1 (FileNo. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on FormS-1 (FileNo. 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 FormS-1 Registration Statements (File Nos.333-183672 and333-178707). Also, on January 30, 2013, a Registration Statement on FormS-3 (FileNo. 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 FormS-1 Registration Statement (FileNo. 333-193672) and FormS-3 Registration Statement (FileNo. 333-183674). On April 24, 2013, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 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 FormS-3 (FileNo. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short- Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined

prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-185289). On May 21, 2013, a Registration Statement on FormS-1 (File333-188215) 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 VIXMid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-185288). On July 30, 2013, a Registration Statement on FormS-3 (FileNo. 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 FormS-3 (FileNo. 333-187820). On May 6, 2014, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-188215) was declared effective, updating the FormS-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 FormS-1 (FileNo. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIXMid-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 FormS-1 registration statements (File Nos.333-188215 and333-185288). On July 30, 2014, a Registration Statement on FormS-3 (FileNo. 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 FormS-3 (FileNo. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the FormS-1 to the FormS-3. On September 29, 2014, a Registration Statement on FormS-1 (FileNo. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-196884). On November 25, 2014, a Registration Statement on FormS-1 (FileNo. 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 FormS-1 registration statement (FileNo. 333-198189) and the FormS-3 registration statement(333-196885). On November 25, 2014, a Registration Statement on FormS-3 (FileNo. 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 FormS-3 (FileNo. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the FormS-3 to the FormS-1. On March 31, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective, which registered additional Shares for ProShares VIXMid-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 FormS-1 registration statement (FileNo. 333-199642). On March 31, 2015, a Registration Statement on FormS-3 (FileNo. 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 FormS-3 (FileNo. 333-199641). On August 11, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the FormS-1; no additional Shares were registered with that filing. That registration statement was a combined prospectus and acted as apre-effective amendment to post-effective amendment No. 1 of the FormS-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on FormS-3 (FileNo. 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 FormS-3 (FileNo. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra

Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. On March 1, 2017, a Registration Statement on FormS-3 (FileNo. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on FormS-3 (FileNo. 333-213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on FormS-1 (FileNo. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on FormS-3 (FileNo. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the FormS-3 to a FormS-1. On March 22, 2017, a Registration Statement on FormS-1 (FileNo. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On June 30, 2017, the Trust had four effective registration statements outstanding: (1) a FormS-1 Registration Statement (No.333-215929); (2) a FormS-1 Registration Statement (No.333-214904); (3) a FormS-1 Registration Statement (No.333-202724); and (4) a FormS-3 Registration Statement (No.333-215930).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

Title of Securities Registered

  Amount
Registered As of

September 30, 2017
   Shares Sold For the
Three Months Ended
September 30, 2017
   Sale Price of Shares
Sold For the

Three Months Ended
September 30, 2017
 

ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest

   1,878,742,424    3,106,250   $119,114,643 

ProShares VIXMid-Term Futures ETF Common Units of Beneficial Interest

   555,231,376    675,000    18,111,394 

ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest

   9,178,056,779    17,750,000    1,373,345,679 

ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest

   10,862,875,118    33,400,000    988,812,355 

ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest

   2,167,514,328    5,400,000    201,007,302 

ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest

   1,020,000,000    700,000    14,228,859 

ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest

   344,275,705    150,000    4,692,571 

ProShares UltraShort Gold Common Units of Beneficial Interest

   312,159,711    50,000    3,415,569 

ProShares UltraShort Silver Common Units of Beneficial Interest

   1,950,297,178    200,000    5,866,605 

ProShares Short Euro Common Units of Beneficial Interest

   153,418,934    —      —   

ProShares UltraShort Australian Dollar Common Units of Beneficial Interest

   172,771,084    —      —   

ProShares UltraShort Euro Common Units of Beneficial Interest

   1,916,296,347    1,350,000    29,240,662 

ProShares UltraShort Yen Common Units of Beneficial Interest

   951,478,689    150,000    11,021,193 

ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest

   5,508,543,310    4,400,000    65,521,323 

ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest

   1,020,000,000    250,000    4,957,138 

ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest

   427,459,640    2,600,000    22,195,648 

ProShares Ultra Gold Common Units of Beneficial Interest

   328,071,127    50,000    1,958,848 

ProShares Ultra Silver Common Units of Beneficial Interest

   1,388,553,846    300,000    9,317,745 

ProShares Ultra Euro Common Units of Beneficial Interest

   119,594,796    450,000    7,734,814 

ProShares Ultra Yen Common Units of Beneficial Interest

   138,726,333    —     $—   

Total:

  $40,394,066,725     

(b) From July 1, 2017 through September 30, 2017, the number of Shares redeemed and average price per Share for each Fund were as follows:

Fund

  Total Number of
Shares Redeemed
   Average Price
Per Share
 

ProShares VIX Short-Term Futures ETF*

    

07/01/17 to 07/31/17

   151,046   $39.08 

08/01/17 to 08/31/17

   775,000   $45.45 

09/01/17 to 09/30/17

   100,000   $39.51 

ProShares VIXMid-Term Futures ETF

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   —     $—   

ProShares Short VIX Short-Term Futures ETF*

    

07/01/17 to 07/31/17

   6,350,000   $86.46 

08/01/17 to 08/31/17

   2,200,000   $75.67 

09/01/17 to 09/30/17

   8,000,000   $87.22 

ProShares Ultra VIX Short-Term Futures ETF*

    

07/01/17 to 07/31/17

   2,354,714   $31.97 

08/01/17 to 08/31/17

   10,150,000   $39.90 

09/01/17 to 09/30/17

   4,600,000   $28.01 

ProShares UltraShort Bloomberg Crude Oil

    

07/01/17 to 07/31/17

   100,000   $42.69 

08/01/17 to 08/31/17

   900,000   $40.50 

09/01/17 to 09/30/17

   100,000   $33.59 

ProShares UltraPro 3X Short Crude Oil ETF

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   —     $—   

ProShares UltraShort Bloomberg Natural Gas

    

07/01/17 to 07/31/17

   50,000   $33.97 

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   150,000   $33.19 

ProShares UltraShort Gold

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   50,000   $71.27 

ProShares UltraShort Silver

    

07/01/17 to 07/31/17

   100,000   $36.69 

08/01/17 to 08/31/17

   50,000   $31.53 

09/01/17 to 09/30/17

   —     $—   

ProShares Short Euro

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   50,000   $40.60 

09/01/17 to 09/30/17

   —     $—   

ProShares UltraShort Australian Dollar

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   50,000   $44.61 

09/01/17 to 09/30/17

   —     $—   

ProShares UltraShort Euro

    

07/01/17 to 07/31/17

   500,000   $22.66 

08/01/17 to 08/31/17

   350,000   $21.53 

09/01/17 to 09/30/17

   300,000   $21.31 

ProShares UltraShort Yen

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   400,000   $70.07 

09/01/17 to 09/30/17

   50,000   $74.26 

ProShares Ultra Bloomberg Crude Oil

    

07/01/17 to 07/31/17

   18,300,000   $15.77 

08/01/17 to 08/31/17

   4,250,000   $16.42 

09/01/17 to 09/30/17

   11,850,000   $17.05 

Fund

  Total Number of
Shares Redeemed
   Average Price
Per Share
 

ProShares UltraPro 3X Crude Oil ETF

    

07/01/17 to 07/31/17

   150,000   $22.74 

08/01/17 to 08/31/17

   150,000   $22.66 

09/01/17 to 09/30/17

   700,000   $23.82 

ProShares Ultra Bloomberg Natural Gas

    

07/01/17 to 07/31/17

   350,000   $9.72 

08/01/17 to 08/31/17

   350,000   $9.23 

09/01/17 to 09/30/17

   550,000   $9.55 

ProShares Ultra Gold

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   50,000   $40.64 

09/01/17 to 09/30/17

   100,000   $39.80 

ProShares Ultra Silver

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   250,000   $35.67 

09/01/17 to 09/30/17

   250,000   $38.49 

ProShares Ultra Euro

    

07/01/17 to 07/31/17

   150,000   $16.49 

08/01/17 to 08/31/17

   100,000   $17.17 

09/01/17 to 09/30/17

   200,000   $17.53 

ProShares Ultra Yen

    

07/01/17 to 07/31/17

   —     $—   

08/01/17 to 08/31/17

   —     $—   

09/01/17 to 09/30/17

   —     $—   

*See Note 1 of the Notes to Financial Statements in this Quarterly Report on Form10-Q regarding the reverse Share splits for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and the Share split for ProShares Short VIX Short-Term Futures ETF.

Contents

                     
     
Sale Price of Shares
    
Sale Price of Shares Sold
 
   
Shares Sold For the
  
Sold For the Three
  
Shares Sold For the
  
For the Nine Months
 
Title of Securities
 
Amount Registered As of
  
Three Months Ended
  
Months Ended
  
Nine Months Ended
  
Ended September 30,
 
Registered                        
 
September 30, 2019
  
September 30, 2019
  
September 30, 2019
  
September 30, 2019
  
2019
 
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest
 $
 663,864,980
   
300,000
  $
7,960,389
   
800,000
  $
18,993,016
 
ProShares UltraShort Euro Common Units of Beneficial Interest
  
1,857,267,878
   
100,000
   
2,628,221
   
450,000
   
11,462,917
 
ProShares UltraShort Gold Common Units of Beneficial Interest
  
197,613,808
   
150,000
   
8,009,298
   
550,000
   
36,655,009
 
ProShares UltraShort Silver Common Units of Beneficial Interest
  
887,571,447
   
300,000
   
8,840,384
   
850,000
   
30,574,755
 
ProShares UltraShort Yen Common Units of Beneficial Interest
  
906,315,192
   
—  
   
—  
   
450,000
   
34,403,213
 
ProShares VIX
Mid-Term
Futures ETF Common Units of Beneficial Interest
  
471,970,126
   
350,000
   
7,593,407
   
1,125,000
   
24,946,172
 
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest
  
1,157,471,315
   
8,875,000
   
169,898,748
   
21,000,000
   
473,318,044
 
                     
Total Trust:
  
   
74,825,000
  $
1,551,679,782
   
150,475,000
  $
3,849,113,475
 
Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.



Table of Contents
Item 6. Exhibits.

Exhibit No.

 

Exhibit
No.
Description of Document

31.1 
  31.1
31.2 
  31.2
32.1 
  32.1
32.2 
  32.2
101.INS 
101.INS
XBRL Instance Document (1)
101.SCH 
101.SCH
XBRL Taxonomy Extension Schema (1)
101.CAL 
101.CAL
XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF 
101.DEF
XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB 
101.LAB
XBRL Taxonomy Extension Label Linkbase (1)
101.PRE 
101.PRE
XBRL Taxonomy Extension Presentation Linkbase (1)

(1)Filed herewith.

SIGNATURES



Table of Contents
Signatures
Pursuant to the requirements of Section 13 or 15(d) 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, 20178, 2019
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 9, 20178, 2019

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