| ☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, |
| ☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period fromto. |
for the transition period from to .
7501
Ave, 21st Floor
Title of each | ||||
Trading Symbol(s) | Name of each exchange on which registered | |||
ProShares Short Euro | EUFX | NYSE Arca | ||
ProShares Short VIX Short-Term Futures ETF | SVXY | Cboe BZX Exchange | ||
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 | Cboe BZX Exchange | ||
ProShares Ultra Yen | YCL | 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 | Cboe BZX Exchange | ||
ProShares VIX Short-Term Futures ETF | VIXY | Cboe BZX Exchange | ||
| Large Accelerated Filer | ☒ | Accelerated Filer | ☐ | |||||||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | ☐ | |||||||
| Emerging Growth Company | ☐ | |||||||||
Table of Contents | ||||
Page | ||||
| 3 | ||||
| 221 | ||||
SHORT EURO
| 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) | 186,716,429 | 147,991,233 | ||||||
Receivable on open futures contracts | — | 4,484,270 | ||||||
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Total assets | 195,355,825 | 174,247,783 | ||||||
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Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
Payable on open futures contracts | 3,913,679 | — | ||||||
Payable to Sponsor | 77,327 | 87,637 | ||||||
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Total liabilities | 3,991,006 | 87,637 | ||||||
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Commitments and Contingencies (Note 2) | ||||||||
Shareholders’ equity | ||||||||
Shareholders’ equity | 191,364,819 | 174,160,146 | ||||||
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Total liabilities and shareholders’ equity | $ | 195,355,825 | $ | 174,247,783 | ||||
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Shares outstanding (Note 1) | 5,876,317 | 2,052,363 | ||||||
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Net asset value per share (Note 1) | $ | 32.57 | $ | 84.86 | ||||
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| |||||
Market value per share (Note 1) (Note 2) | $ | 32.53 | $ | 85.04 | ||||
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September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Cash | $ | 2,168,859 | $ | 4,105,781 | ||||
| Segregated cash balances with brokers for futures contracts | 36,300 | 68,310 | ||||||
| Receivable on open futures contracts | 3,562 | 21,094 | ||||||
| Interest receivable | 87 | 175 | ||||||
| Total assets | 2,208,808 | 4,195,360 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 281 | — | ||||||
| Payable to Sponsor | 1,695 | 3,391 | ||||||
Non-recurring fees and expenses payable | 14 | 14 | ||||||
| Total liabilities | 1,990 | 3,405 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 2,206,818 | 4,191,955 | ||||||
| Total liabilities and shareholders’ equity | $ | 2,208,808 | $ | 4,195,360 | ||||
| Shares outstanding | 50,000 | 100,000 | ||||||
| Net asset value per share | $ | 44.14 | $ | 41.92 | ||||
| Market value per share (Note 2) | $ | 44.16 | $ | 41.35 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Euro Fx Currency Futures - CME, expires December 2021 | 15 | $ | 2,175,000 | $ | 46,781 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 269 | $ | 127 | $ | 1,175 | $ | 7,776 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 5,193 | 5,247 | 19,278 | 16,266 | ||||||||||||
| Brokerage commissions | 79 | 82 | 339 | 272 | ||||||||||||
Non-recurring fees and expenses | — | 65 | — | 65 | ||||||||||||
| Total expenses | 5,272 | 5,394 | 19,617 | 16,603 | ||||||||||||
| Net investment income (loss) | (5,003 | ) | (5,267 | ) | (18,442 | ) | (8,827 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 57,489 | (77,567 | ) | 88,710 | (116,225 | ) | ||||||||||
| Net realized gain (loss) | 57,489 | (77,567 | ) | 88,710 | (116,225 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (4,770 | ) | (14,989 | ) | 91,407 | 31,531 | ||||||||||
| Short-term U.S. government and agency obligations | 0 | — | — | (30 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | 91,407 | 31,501 | ||||||||||
| Net realized and unrealized gain (loss) | 52,719 | (92,556 | ) | 180,117 | (84,724 | ) | ||||||||||
Net income (loss) | $ | 47,716 | $ | (97,823 | ) | $ | 161,675 | $ | (93,551 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,159,102 | $ | 2,286,467 | $ | 4,191,955 | $ | 2,282,195 | ||||||||
| Redemption of –, –, 50,000 and – shares, respectively | — | — | (2,146,812 | ) | — | |||||||||||
| Net addition (redemption) of –, –, (50,000) and – shares, respectively | — | — | (2,146,812 | ) | — | |||||||||||
| Net investment income (loss) | (5,003 | ) | (5,267 | ) | (18,442 | ) | (8,827 | ) | ||||||||
| Net realized gain (loss) | 57,489 | (77,567 | ) | 88,710 | (116,225 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | 91,407 | 31,501 | ||||||||||
| Net income (loss) | 47,716 | (97,823 | ) | 161,675 | (93,551 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 2,206,818 | $ | 2,188,644 | $ | 2,206,818 | $ | 2,188,644 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 161,675 | $ | (93,551 | ) | |||
| 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 | (1,999,562 | ) | — | |||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 2,000,000 | 747,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (438 | ) | (1,225 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | — | 30 | ||||||
| Decrease (Increase) in receivable on futures contracts | 17,532 | (3,844 | ) | |||||
| Decrease (Increase) in interest receivable | 88 | 2,347 | ||||||
| Increase (Decrease) in payable to Sponsor | (1,696 | ) | (167 | ) | ||||
| Increase (Decrease) in payable on futures contracts | 281 | (5,100 | ) | |||||
| Net cash provided by (used in) operating activities | 177,880 | 645,490 | ||||||
Cash flow from financing activities | ||||||||
| Payment on shares redeemed | (2,146,812 | ) | — | |||||
| Net cash provided by (used in) financing activities | (2,146,812 | ) | — | |||||
Net increase (decrease) in cash | (1,968,932 | ) | 645,490 | |||||
| Cash, beginning of period | 4,174,091 | 1,540,916 | ||||||
| Cash, end of period | $ | 2,205,159 | $ | 2,186,406 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively) | $ | 129,992,467 | $ | 69,999,639 | ||||
| Cash | 57,127,931 | 132,392,153 | ||||||
| Segregated cash balances with brokers for futures contracts | 130,619,573 | 134,187,067 | ||||||
| Receivable on open futures contracts | 71,173,354 | 74,226,825 | ||||||
| Interest receivable | 1,773 | 4,384 | ||||||
| Total assets | 388,915,098 | 410,810,068 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 0 | 996,159 | ||||||
| Brokerage commissions and futures account fees payable | 85,856 | 114,522 | ||||||
| Payable to Sponsor | 304,044 | 326,566 | ||||||
Non-recurring fees and expenses payable | 1,353 | 1,353 | ||||||
| Total liabilities | 391,253 | 1,438,600 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 388,523,845 | 409,371,468 | ||||||
| Total liabilities and shareholders’ equity | $ | 388,915,098 | $ | 410,810,068 | ||||
| Shares outstanding | 7,134,307 | 9,884,307 | ||||||
| Net asset value per share | $ | 54.46 | $ | 41.42 | ||||
| Market value per share (Note 2) | $ | 54.39 | $ | 41.44 | ||||
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
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 | ||||||
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| |||||||
Total short-term U.S. government and agency obligations (cost $186,708,857) | $ | 186,716,429 | ||||||
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| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (33% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.006% due 10/21/21 | $ | 20,000,000 | $ | 19,999,112 | ||||
| 0.029% due 11/18/21 | 70,000,000 | 69,996,731 | ||||||
| 0.043% due 12/16/21 | 40,000,000 | 39,996,624 | ||||||
| Total short-term U.S. government and agency obligations (cost $129,993,650) | $ | 129,992,467 | ||||||
| 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 | ) | ||||||||
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| $ | (18,329,321 | ) | ||||||||||
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Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2021 | 4,341 | $ | 99,269,120 | $ | (2,399,545 | ) | ||||||
| VIX Futures - Cboe, expires November 2021 | 4,001 | 94,767,286 | (3,782,433 | ) | ||||||||
| $ | (6,181,978 | ) | ||||||||||
| ^^ | Rates shown |
| 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 | ||||||||
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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 | ||||||||||||
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Total expenses | 440,366 | 551,941 | 1,142,578 | 1,440,837 | ||||||||||||
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| |||||||||
Net investment income (loss) | (61,284 | ) | (407,697 | ) | (356,273 | ) | (1,116,018 | ) | ||||||||
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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 | |||||||||||
|
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|
| |||||||||
Net realized gain (loss) | (27,446,786 | ) | (101,781,283 | ) | (126,203,648 | ) | (134,339,691 | ) | ||||||||
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| |||||||||
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 | ) | ||||
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| |||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 8,152 | $ | 53,301 | $ | 75,729 | $ | 909,185 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 1,055,823 | 1,116,999 | 3,415,545 | 3,592,232 | ||||||||||||
| Brokerage commissions | 208,885 | 167,648 | 638,744 | 585,356 | ||||||||||||
| Futures account fees | 209,717 | 291,350 | 795,836 | 752,869 | ||||||||||||
Non-recurring fees and expenses | — | 22,038 | — | 22,038 | ||||||||||||
| Total expenses | 1,474,425 | 1,598,035 | 4,850,125 | 4,952,495 | ||||||||||||
| Net investment income (loss) | (1,466,273 | ) | (1,544,734 | ) | (4,774,396 | ) | (4,043,310 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 34,573,906 | 60,593,315 | 168,120,340 | (129,091,526 | ) | |||||||||||
| Short-term U.S. government and agency obligations | (1,303 | ) | (10 | ) | (1,303 | ) | (768 | ) | ||||||||
| Net realized gain (loss) | 34,572,603 | 60,593,305 | 168,119,037 | (129,092,294 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (43,362,244 | ) | (1,463,210 | ) | (14,530,761 | ) | (2,706,204 | ) | ||||||||
| Short-term U.S. government and agency obligations | 12,400 | (189 | ) | (2,095 | ) | (2,866 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | (14,532,856 | ) | (2,709,070 | ) | ||||||||
| Net realized and unrealized gain (loss) | (8,777,241 | ) | 59,129,906 | 153,586,181 | (131,801,364 | ) | ||||||||||
Net income (loss) | $ | (10,243,514 | ) | $ | 57,585,172 | $ | 148,811,785 | $ | (135,844,674 | ) | ||||||
STATEMENT
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 | ||
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 588,615,946 | $ | 509,811,853 | $ | 409,371,468 | $ | 284,437,179 | ||||||||
| Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively | 30,777,084 | — | 150,390,026 | 914,411,669 | ||||||||||||
| Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively | (220,625,671 | ) | (231,931,959 | ) | (320,049,434 | ) | (727,539,108 | ) | ||||||||
| Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively | (189,848,587 | ) | (231,931,959 | ) | (169,659,408 | ) | 186,872,561 | |||||||||
| Net investment income (loss) | (1,466,273 | ) | (1,544,734 | ) | (4,774,396 | ) | (4,043,310 | ) | ||||||||
| Net realized gain (loss) | 34,572,603 | 60,593,305 | 168,119,037 | (129,092,294 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | (14,532,856 | ) | (2,709,070 | ) | ||||||||
| Net income (loss) | (10,243,514 | ) | 57,585,172 | 148,811,785 | (135,844,674 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 388,523,845 | $ | 335,465,066 | $ | 388,523,845 | $ | 335,465,066 | ||||||||
| 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 | ||||
|
|
|
| |||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 148,811,785 | $ | (135,844,674 | ) | |||
| 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 | (411,950,977 | ) | (509,581,499 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 351,997,423 | 446,998,196 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (42,672 | ) | (466,825 | ) | ||||
| Net realized gain (loss) on investments | 1,303 | 768 | ||||||
| Change in unrealized appreciation (depreciation) on investments | 2,095 | 2,866 | ||||||
| Decrease (Increase) in receivable on futures contracts | 3,053,471 | (38,580,764 | ) | |||||
| Decrease (Increase) in interest receivable | 2,611 | 120,515 | ||||||
| Increase (Decrease) in payable to Sponsor | (22,522 | ) | 86,957 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (28,666 | ) | 92,881 | |||||
| Increase (Decrease) in payable on futures contracts | (996,159 | ) | 1,344,400 | |||||
| Net cash provided by (used in) operating activities | 90,827,692 | (235,827,179 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 150,390,026 | 914,411,669 | ||||||
| Payment on shares redeemed | (320,049,434 | ) | (697,482,198 | ) | ||||
| Net cash provided by (used in) financing activities | (169,659,408 | ) | 216,929,471 | |||||
Net increase (decrease) in cash | (78,831,716 | ) | (18,897,708 | ) | ||||
| Cash, beginning of period | 266,579,220 | 167,544,087 | ||||||
| Cash, end of period | $ | 187,747,504 | $ | 148,646,379 | ||||
ULTRA BLOOMBERG CRUDE OIL
| 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) | 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 | ||||
|
|
|
| |||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively) | $ | 834,942,326 | $ | 219,998,394 | ||||
| Cash | 59,467,995 | 491,732,847 | ||||||
| Segregated cash balances with brokers for futures contracts | 140,365,174 | 175,526,749 | ||||||
| Unrealized appreciation on swap agreements | 70,885,762 | 18,242,195 | ||||||
| Receivable on open futures contracts | 2,775,359 | 1,611,608 | ||||||
| Interest receivable | 14,763 | 21,388 | ||||||
| Total assets | 1,108,451,379 | 907,133,181 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 16,894,746 | 3,627,934 | ||||||
| Brokerage commissions and futures account fees payable | 21,834 | — | ||||||
| Payable to Sponsor | 856,541 | 728,955 | ||||||
Non-recurring fees and expenses payable | 64,542 | 37,042 | ||||||
| Total liabilities | 17,837,663 | 4,393,931 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 1,090,613,716 | 902,739,250 | ||||||
| Total liabilities and shareholders’ equity | $ | 1,108,451,379 | $ | 907,133,181 | ||||
| Shares outstanding | 12,910,774 | 24,810,774 | ||||||
| Net asset value per share | $ | 84.47 | $ | 36.38 | ||||
| Market value per share (Note 2) | $ | 84.22 | $ | 36.27 | ||||
ULTRA BLOOMBERG CRUDE OIL
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
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 | $ | 35,955,278 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (77% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.018% due 10/14/21 † | $ | 145,000,000 | $ | 144,998,695 | ||||
0.039% due 10/21/21 † | 90,000,000 | 89,996,004 | ||||||
0.033% due 11/18/21 † | 150,000,000 | 149,992,995 | ||||||
0.043% due 12/16/21 † | 325,000,000 | 324,972,570 | ||||||
| 0.037% due 01/20/22 | 75,000,000 | 74,990,752 | ||||||
| 0.028% due 02/17/22 | 50,000,000 | 49,991,310 | ||||||
| Total short-term U.S. government and agency obligations (cost $834,947,719) | $ | 834,942,326 | ||||||
| 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 | ) | ||||||||||
|
| |||||||||||
See accompanying notes to financial statements.
PROSHARES VIXMID-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 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
PROSHARES VIXMID-TERM FUTURES ETF
STATEMENT 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 | ||
|
|
See accompanying notes to financial statements.
PROSHARES VIXMID-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 | ||||
|
|
|
| |||||
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
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) | 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 | ||||
|
|
|
| |||||
See accompanying notes to financial statements.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations |
| |||||||
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 | $ | 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 | |||||||||||
|
| |||||||||||
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) | 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 |
| |||||||
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 | $ | 521,315,100 | ||||||
|
| |||||||
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 | ) | ||||||||||
|
| |||||||||||
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) | 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 |
| |||||||
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 | $ | 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 | ) | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| WTI Crude Oil - NYMEX, expires December 2021 | 5,657 | $ | 422,577,900 | $ | 158,475,710 | |||||||
| WTI Crude Oil - NYMEX, expires June 2022 | 5,843 | 415,729,450 | 89,351,620 | |||||||||
| WTI Crude Oil - NYMEX, expires December 2022 | 6,063 | 410,465,100 | 20,176,983 | |||||||||
| $ | 268,004,313 | |||||||||||
| 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 | ) | ||||||||||||||
|
| |||||||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
| Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | % | 10/06/21 | $ | 143,554,545 | $ | 10,910,833 | |||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/21 | 203,094,978 | 15,436,191 | ||||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.35 | 10/06/21 | 248,642,399 | 18,898,011 | ||||||||||||
| Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.25 | 10/06/21 | 135,481,695 | 10,305,144 | ||||||||||||
| Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index | 0.30 | 10/06/21 | 201,694,052 | 15,335,583 | ||||||||||||
| | Total Unrealized Appreciation | | $ | 70,885,762 | ||||||||||||
| † | All or partial amount pledged as collateral for swap |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 86,370 | $ | 50,356 | $ | 365,778 | $ | 1,817,563 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 2,775,351 | 3,210,517 | 8,104,728 | 6,887,044 | ||||||||||||
| Brokerage commissions | 198,498 | 600,233 | 701,710 | 1,744,115 | ||||||||||||
| Futures account fees | 215,514 | 635,311 | 632,199 | 1,172,060 | ||||||||||||
Non-recurring fees and expenses | 27,500 | 24,637 | 27,500 | 24,637 | ||||||||||||
| Total expenses | 3,216,863 | 4,470,698 | 9,466,137 | 9,827,856 | ||||||||||||
| Net investment income (loss) | (3,130,493 | ) | (4,420,342 | ) | (9,100,359 | ) | (8,010,293 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 92,637,432 | 294,310,497 | 539,758,995 | 174,272,485 | ||||||||||||
| Swap agreements | 13,693,131 | (8,356,234 | ) | 221,428,455 | (1,065,452,045 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (4,742 | ) | — | (4,742 | ) | 159,318 | ||||||||||
| Net realized gain (loss) | 106,325,821 | 285,954,263 | 761,182,708 | (891,020,242 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (48,048,297 | ) | (222,585,432 | ) | 123,440,274 | 127,961,958 | ||||||||||
| Swap agreements | 31,138,258 | (10,038,323 | ) | 52,643,567 | (21,814,590 | ) | ||||||||||
| Short-term U.S. government and agency obligations | 31,451 | (6,531 | ) | (7,634 | ) | (20,469 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | 176,076,207 | 106,126,899 | ||||||||||
| Net realized and unrealized gain (loss) | 89,447,233 | 53,323,977 | 937,258,915 | (784,893,343 | ) | |||||||||||
Net income (loss) | $ | 86,316,740 | $ | 48,903,635 | $ | 928,158,556 | $ | (792,903,636 | ) | |||||||
STATEMENT
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 1,303,530,902 | $ | 1,508,661,459 | $ | 902,739,250 | $ | 309,844,582 | ||||||||
| Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively | 62,865,806 | 659,253,641 | 240,118,659 | 3,612,784,316 | ||||||||||||
| Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively | (362,099,732 | ) | (1,020,933,679 | ) | (980,402,749 | ) | (1,933,840,206 | ) | ||||||||
| Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively | (299,233,926 | ) | (361,680,038 | ) | (740,284,090 | ) | 1,678,944,110 | |||||||||
| Net investment income (loss) | (3,130,493 | ) | (4,420,342 | ) | (9,100,359 | ) | (8,010,293 | ) | ||||||||
| Net realized gain (loss) | 106,325,821 | 285,954,263 | 761,182,708 | (891,020,242 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | 176,076,207 | 106,126,899 | ||||||||||
| Net income (loss) | 86,316,740 | 48,903,635 | 928,158,556 | (792,903,636 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | $ | 1,090,613,716 | $ | 1,195,885,056 | ||||||||
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 928,158,556 | $ | (792,903,636 | ) | |||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Purchases of short-term U.S. government and agency obligations | (2,012,720,434 | ) | (609,752,656 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,397,994,503 | 611,325,151 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (230,377 | ) | (1,266,463 | ) | ||||
| Net realized gain (loss) on investments | 4,742 | (159,318 | ) | |||||
| Change in unrealized appreciation (depreciation) on investments | (52,635,933 | ) | 21,835,059 | |||||
| Decrease (Increase) in receivable on futures contracts | (1,163,751 | ) | (43,615,866 | ) | ||||
| Decrease (Increase) in interest receivable | 6,625 | 93,028 | ||||||
| Increase (Decrease) in payable to Sponsor | 127,586 | 699,847 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 21,834 | — | ||||||
| Increase (Decrease) in payable on futures contracts | — | (266,056 | ) | |||||
Increase (Decrease) in non-recurring fees and expenses payable | 27,500 | — | ||||||
| Net cash provided by (used in) operating activities | 259,590,851 | (814,010,910 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 240,118,659 | 3,605,599,295 | ||||||
| Payment on shares redeemed | (967,135,937 | ) | (1,933,840,206 | ) | ||||
| Net cash provided by (used in) financing activities | (727,017,278 | ) | 1,671,759,089 | |||||
Net increase (decrease) in cash | (467,426,427 | ) | 857,748,179 | |||||
| Cash, beginning of period | 667,259,596 | 88,315,563 | ||||||
| Cash, end of period | $ | 199,833,169 | $ | 946,063,742 | ||||
STATEMENTULTRA BLOOMBERG NATURAL GAS
| 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 | ||
|
| |||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively) | $ | 32,997,127 | $ | 29,999,889 | ||||
| Cash | 57,275,787 | 92,972,312 | ||||||
| Segregated cash balances with brokers for futures contracts | 29,792,570 | 44,320,410 | ||||||
| Receivable from capital shares sold | 12,521,135 | — | ||||||
| Receivable on open futures contracts | 12,504,114 | 13,775,851 | ||||||
| Interest receivable | 1,065 | 4,326 | ||||||
| Total assets | 145,091,798 | 181,072,788 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | — | 11,132,546 | ||||||
| Brokerage commissions and futures account fees payable | 145 | — | ||||||
| Payable to Sponsor | 52,856 | 139,455 | ||||||
Non-recurring fees and expenses payable | 416 | 416 | ||||||
| Total liabilities | 53,417 | 11,272,417 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 145,038,381 | 169,800,371 | ||||||
| Total liabilities and shareholders’ equity | $ | 145,091,798 | $ | 181,072,788 | ||||
| Shares outstanding | 1,737,527 | 8,087,527 | ||||||
| Net asset value per share | $ | 83.47 | $ | 21.00 | ||||
| Market value per share (Note 2) | $ | 82.30 | $ | 21.07 | ||||
ULTRA BLOOMBERG NATURAL GAS
2021
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (23% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.043% due 11/18/21 | $ | 8,000,000 | $ | 7,999,626 | ||||
| 0.044% due 12/16/21 | 15,000,000 | 14,998,734 | ||||||
| 0.037% due 01/20/22 | 10,000,000 | 9,998,767 | ||||||
| Total short-term U.S. government and agency obligations (cost $32,997,075) | $ | 32,997,127 | ||||||
| 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 | ) | ||
|
|
|
| |||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Natural Gas - NYMEX, expires November 2021 | 4,944 | $ | 290,064,480 | $ | 42,185,730 | |||||||
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 | ||
|
| |||
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) | 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 | ||||||||
U.S. Treasury Bills^^: | $ | 3,000,000 | $ | 2,998,697 | ||||
|
| |||||||
Total short-term U.S. government and agency obligations | $ | 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 | |||||||
| ^^ | Rates shown |
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 7,355 | $ | 15,347 | $ | 32,714 | $ | 191,160 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 161,130 | 199,772 | 568,903 | 378,784 | ||||||||||||
| Brokerage commissions | 40,472 | 106,449 | 195,831 | 214,255 | ||||||||||||
| Futures account fees | 18,263 | 31,540 | 112,998 | 44,182 | ||||||||||||
Non-recurring fees and expenses | — | 1,129 | — | 1,129 | ||||||||||||
| Total expenses | 219,865 | 338,890 | 877,732 | 638,350 | ||||||||||||
| Net investment income (loss) | (212,510 | ) | (323,543 | ) | (845,018 | ) | (447,190 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 33,925,711 | 41,156,156 | 80,409,384 | 2,225,390 | ||||||||||||
| Short-term U.S. government and agency obligations | 12 | — | 563 | 977 | ||||||||||||
| Net realized gain (loss) | 33,925,723 | 41,156,156 | 80,409,947 | 2,226,367 | ||||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 25,134,988 | (4,754,372 | ) | 35,685,009 | (4,336,578 | ) | ||||||||||
| Short-term U.S. government and agency obligations | 720 | (455 | ) | (252 | ) | (2,014 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | 35,684,757 | (4,338,592 | ) | ||||||||||
| Net realized and unrealized gain (loss) | 59,061,431 | 36,401,329 | 116,094,704 | (2,112,225 | ) | |||||||||||
Net income (loss) | $ | 58,848,921 | $ | 36,077,786 | $ | 115,249,686 | $ | (2,559,415 | ) | |||||||
STATEMENT
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 70,213,227 | $ | 50,599,783 | $ | 169,800,371 | $ | 45,160,205 | ||||||||
| Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively | 79,122,213 | 139,174,605 | 169,309,627 | 193,426,833 | ||||||||||||
| Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively | (63,145,980 | ) | (126,648,412 | ) | (309,321,303 | ) | (136,823,861 | ) | ||||||||
| Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively | 15,976,233 | 12,526,193 | (140,011,676 | ) | 56,602,972 | |||||||||||
| Net investment income (loss) | (212,510 | ) | (323,543 | ) | (845,018 | ) | (447,190 | ) | ||||||||
| Net realized gain (loss) | 33,925,723 | 41,156,156 | 80,409,947 | 2,226,367 | ||||||||||||
| Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | 35,684,757 | (4,338,592 | ) | ||||||||||
| Net income (loss) | 58,848,921 | 36,077,786 | 115,249,686 | (2,559,415 | ) | |||||||||||
Shareholders’ equity, end of period | $ | 145,038,381 | $ | 99,203,762 | $ | 145,038,381 | $ | 99,203,762 | ||||||||
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 115,249,686 | $ | (2,559,415 | ) | |||
| 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 | (143,979,838 | ) | (115,881,108 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 140,999,619 | 83,563,843 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (16,708 | ) | (144,767 | ) | ||||
| Net realized gain (loss) on investments | (563 | ) | (977 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 252 | 2,014 | ||||||
| Decrease (Increase) in receivable on futures contracts | 1,271,737 | 37,024 | ||||||
| Decrease (Increase) in interest receivable | 3,261 | 9,758 | ||||||
| Increase (Decrease) in payable to Sponsor | (86,599 | ) | 29,126 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 145 | — | ||||||
| Increase (Decrease) in payable on futures contracts | — | 2,392,727 | ||||||
| Net cash provided by (used in) operating activities | 113,440,992 | (32,551,775 | ) | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 156,788,492 | 193,426,833 | ||||||
| Payment on shares redeemed | (320,453,849 | ) | (136,823,861 | ) | ||||
| Net cash provided by (used in) financing activities | (163,665,357 | ) | 56,602,972 | |||||
Net increase (decrease) in cash | (50,224,365 | ) | 24,051,197 | |||||
| Cash, beginning of period | 137,292,722 | 17,619,062 | ||||||
| Cash, end of period | $ | 87,068,357 | $ | 41,670,259 | ||||
ULTRA EURO
| 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) | 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, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively) | $ | 999,916 | $ | — | ||||
| Cash | 2,644,602 | 4,045,092 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 607,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,136 | 89,103 | ||||||
| Interest receivable | 100 | 162 | ||||||
| Total assets | 3,646,754 | 4,741,357 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 2,813 | 3,625 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 164,822 | 367 | ||||||
Non-recurring fees and expenses payable | 15 | 15 | ||||||
| Total liabilities | 167,650 | 4,007 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 3,479,104 | 4,737,350 | ||||||
| Total liabilities and shareholders’ equity | $ | 3,646,754 | $ | 4,741,357 | ||||
| Shares outstanding | 250,000 | 300,000 | ||||||
| Net asset value per share | $ | 13.92 | $ | 15.79 | ||||
| Market value per share (Note 2) | $ | 13.92 | $ | 15.81 | ||||
ULTRA EURO
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 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 | ||||||||
| (29% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043% due 12/16/21 † | $ | 1,000,000 | $ | 999,916 | ||||
| Total short-term U.S. government and agency obligations (cost $999,912) | $ | 999,916 | ||||||
| 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 | |||||||||||||||||||
|
| |||||||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
| Euro with Goldman Sachs International | 10/08/21 | 3,388,921 | $ | 3,925,672 | $ | (90,545 | ) | |||||||||
| Euro with UBS AG | 10/08/21 | 2,801,502 | 3,245,215 | (74,277 | ) | |||||||||||
| Total Unrealized Depreciation | | $ | (164,822 | ) | ||||||||||||
Contracts to Sell | ||||||||||||||||
| Euro with Goldman Sachs International | 10/08/21 | (93,000 | ) | $ | (107,730 | ) | $ | 941 | ||||||||
| Euro with UBS AG | 10/08/21 | (84,000 | ) | (97,304 | ) | 1,195 | ||||||||||
| Total Unrealized Appreciation | $ | 2,136 | ||||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
ULTRA EURO
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 393 | $ | 357 | $ | 1,415 | $ | 16,350 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 8,664 | 12,404 | 28,158 | 33,852 | ||||||||||||
Non-recurring fees and expenses | — | 108 | — | 108 | ||||||||||||
| Total expenses | 8,664 | 12,512 | 28,158 | 33,960 | ||||||||||||
| Net investment income (loss) | (8,271 | ) | (12,155 | ) | (26,743 | ) | (17,610 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | ||||||||||
| Net realized gain (loss) | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | 72,810 | (84,317 | ) | (251,422 | ) | (208,243 | ) | |||||||||
| Short-term U.S. government and agency obligations | 43 | — | 4 | (208 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (251,418 | ) | (208,451 | ) | |||||||||
| Net realized and unrealized gain (loss) | (181,366 | ) | 357,397 | (437,567 | ) | 161,360 | ||||||||||
Net income (loss) | $ | (189,637 | ) | $ | 345,242 | $ | (464,310 | ) | $ | 143,750 | ||||||
STATEMENTULTRA EURO
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 3,668,741 | $ | 4,067,686 | $ | 4,737,350 | $ | 6,204,424 | ||||||||
| Addition of –, 100,000, 100,000 and 200,000 shares, respectively | — | 1,470,669 | 1,488,793 | 2,838,707 | ||||||||||||
| Redemption of –, 100,000, 150,000 and 350,000 shares, respectively | — | (1,485,922 | ) | (2,282,729 | ) | (4,789,206 | ) | |||||||||
| Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively | — | (15,253 | ) | (793,936 | ) | (1,950,499 | ) | |||||||||
| Net investment income (loss) | (8,271 | ) | (12,155 | ) | (26,743 | ) | (17,610 | ) | ||||||||
| Net realized gain (loss) | (254,219 | ) | 441,714 | (186,149 | ) | 369,811 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | (251,418 | ) | (208,451 | ) | |||||||||
| Net income (loss) | (189,637 | ) | 345,242 | (464,310 | ) | 143,750 | ||||||||||
Shareholders’ equity, end of period | $ | 3,479,104 | $ | 4,397,675 | $ | 3,479,104 | $ | 4,397,675 | ||||||||
ULTRA EURO
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (464,310 | ) | $ | 143,750 | |||
| 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 | (3,999,381 | ) | (1,395,795 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 3,000,000 | 5,375,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (531 | ) | (9,001 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 251,418 | 208,451 | ||||||
| Decrease (Increase) in interest receivable | 62 | 1,304 | ||||||
| Increase (Decrease) in payable to Sponsor | (812 | ) | (830 | ) | ||||
| Net cash provided by (used in) operating activities | (1,213,554 | ) | 4,322,879 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 1,488,793 | 2,838,707 | ||||||
| Payment on shares redeemed | (2,282,729 | ) | (4,789,206 | ) | ||||
| Net cash provided by (used in) financing activities | (793,936 | ) | (1,950,499 | ) | ||||
Net increase (decrease) in cash | (2,007,490 | ) | 2,372,380 | |||||
| Cash, beginning of period | 4,652,092 | 2,127,437 | ||||||
| Cash, end of period | $ | 2,644,602 | $ | 4,499,817 | ||||
ULTRA GOLD
| 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) | 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, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively) | $ | 185,985,614 | $ | 74,999,467 | ||||
| Cash | 45,172,246 | 164,381,859 | ||||||
| Segregated cash balances with brokers for futures contracts | 7,404,375 | 11,581,250 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 7,489,000 | ||||||
| Unrealized appreciation on swap agreements | — | 5,140,980 | ||||||
| Receivable on open futures contracts | 2,711,621 | 148,784 | ||||||
| Interest receivable | 2,629 | 6,531 | ||||||
| Total assets | 241,276,485 | 263,747,871 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 2,781,899 | — | ||||||
| Brokerage commissions and futures account fees payable | 5,068 | — | ||||||
| Payable to Sponsor | 163,803 | 206,394 | ||||||
| Unrealized depreciation on swap agreements | 7,406,864 | — | ||||||
Non-recurring fees and expenses payable | 1,004 | 1,004 | ||||||
| Total liabilities | 10,358,638 | 207,398 | ||||||
| �� | ||||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 230,917,847 | 263,540,473 | ||||||
| Total liabilities and shareholders’ equity | $ | 241,276,485 | $ | 263,747,871 | ||||
| Shares outstanding | 4,150,000 | 3,900,000 | ||||||
| Net asset value per share | $ | 55.64 | $ | 67.57 | ||||
| Market value per share (Note 2) | $ | 55.59 | $ | 68.20 | ||||
ULTRA GOLD
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 17,966,229 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (81% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.013% due 10/14/21 † | $ | 50,000,000 | $ | 49,999,550 | ||||
0.006% due 10/21/21 † | 25,000,000 | 24,998,890 | ||||||
0.028% due 11/18/21 † | 31,000,000 | 30,998,553 | ||||||
0.037% due 01/20/22 † | 50,000,000 | 49,993,835 | ||||||
| 0.028% due 02/17/22 | 30,000,000 | 29,994,786 | ||||||
| Total short-term U.S. government and agency obligations (cost $185,989,826) | $ | 185,985,614 | ||||||
| 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 | ||||||||||||||||||||
|
| |||||||||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Gold Futures - COMEX, expires December 2021 | 856 | $ | 150,399,200 | $ | (3,936,408 | ) | ||||||
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 | % | 10/06/21 | $ | 107,235,945 | $ | (2,550,199 | ) | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | 92,669,240 | (2,203,785 | ) | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | 111,553,685 | (2,652,880 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (7,406,864 | ) | |||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For |
ULTRA GOLD
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 14,338 | $ | 59,354 | $ | 70,259 | $ | 543,895 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 582,103 | 640,992 | 1,718,350 | 1,269,866 | ||||||||||||
| Brokerage commissions | 9,421 | 12,115 | 32,974 | 28,599 | ||||||||||||
| Futures account fees | 19,008 | 20,487 | 64,764 | 30,683 | ||||||||||||
Non-recurring fees and expenses | — | 3,751 | — | 3,751 | ||||||||||||
| Total expenses | 610,532 | 677,345 | 1,816,088 | 1,332,899 | ||||||||||||
| Net investment income (loss) | (596,194 | ) | (617,991 | ) | (1,745,829 | ) | (789,004 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (3,125,004 | ) | 2,752,270 | (12,636,331 | ) | 5,806,708 | ||||||||||
| Swap agreements | (18,733,085 | ) | 22,990,026 | (14,963,523 | ) | 45,798,972 | ||||||||||
| Short-term U.S. government and agency obligations | — | — | 245 | — | ||||||||||||
| Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (27,599,609 | ) | 51,605,680 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 319,305 | 1,046,895 | (6,583,282 | ) | 3,086,565 | |||||||||||
| Swap agreements | 15,245,013 | (19,104,511 | ) | (12,547,844 | ) | (14,343,779 | ) | |||||||||
| Short-term U.S. government and agency obligations | 9,966 | 3,025 | (5,396 | ) | (1,725 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | (19,136,522 | ) | (11,258,939 | ) | |||||||||
| Net realized and unrealized gain (loss) | (6,283,805 | ) | 7,687,705 | (46,736,131 | ) | 40,346,741 | ||||||||||
Net income (loss) | $ | (6,879,999 | ) | $ | 7,069,714 | $ | (48,481,960 | ) | $ | 39,557,737 | ||||||
STATEMENTULTRA GOLD
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 243,456,703 | $ | 165,689,050 | $ | 263,540,473 | $ | 110,726,032 | ||||||||
| Addition of 250,000, 1,700,000, 1,250,000 and 3,150,000 shares, respectively | 14,836,141 | 120,448,172 | 75,112,671 | 204,437,233 | ||||||||||||
| Redemption of 350,000, 250,000, 1,000,000 and 1,400,000 shares, respectively | (20,494,998 | ) | (17,756,330 | ) | (59,253,337 | ) | (79,270,396 | ) | ||||||||
| Net addition (redemption) of (100,000), 1,450,000, 250,000 and 1,750,000 shares, respectively | (5,658,857 | ) | 102,691,842 | 15,859,334 | 125,166,837 | |||||||||||
| Net investment income (loss) | (596,194 | ) | (617,991 | ) | (1,745,829 | ) | (789,004 | ) | ||||||||
| Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | (27,599,609 | ) | 51,605,680 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | (19,136,522 | ) | (11,258,939 | ) | |||||||||
| Net income (loss) | (6,879,999 | ) | 7,069,714 | (48,481,960 | ) | 39,557,737 | ||||||||||
Shareholders’ equity, end of period | $ | 230,917,847 | $ | 275,450,606 | $ | 230,917,847 | $ | 275,450,606 | ||||||||
ULTRA GOLD
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (48,481,960 | ) | $ | 39,557,737 | |||
| 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 | (502,945,919 | ) | (491,677,717 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 391,999,771 | 313,257,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (45,150 | ) | (364,129 | ) | ||||
| Net realized gain (loss) on investments | (245 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | 12,553,240 | 14,345,504 | ||||||
| Decrease (Increase) in receivable on futures contracts | (2,562,837 | ) | 170,073 | |||||
| Decrease (Increase) in interest receivable | 3,902 | 44,228 | ||||||
| Increase (Decrease) in payable to Sponsor | (42,591 | ) | 141,074 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 5,068 | — | ||||||
| Increase (Decrease) in payable on futures contracts | — | 746,800 | ||||||
| Net cash provided by (used in) operating activities | (149,516,721 | ) | (123,779,430 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 75,112,671 | 204,437,233 | ||||||
| Payment on shares redeemed | (56,471,438 | ) | (79,270,396 | ) | ||||
| �� | ||||||||
| Net cash provided by (used in) financing activities | 18,641,233 | 125,166,837 | ||||||
Net increase (decrease) in cash | (130,875,488 | ) | 1,387,407 | |||||
| Cash, beginning of period | 183,452,109 | 38,526,723 | ||||||
| Cash, end of period | $ | 52,576,621 | $ | 39,914,130 | ||||
ULTRA SILVER
| 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) | 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, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively) | $ | 494,966,819 | $ | 244,993,989 | ||||
| Cash | 62,548,518 | 301,951,458 | ||||||
| Segregated cash balances with brokers for futures contracts | 15,865,625 | 66,062,502 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 78,388,000 | ||||||
| Unrealized appreciation on swap agreements | — | 56,752,666 | ||||||
| Receivable on open futures contracts | 421,500 | — | ||||||
| Interest receivable | 3,756 | 10,698 | ||||||
| Total assets | 573,806,218 | 748,159,313 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 274,804 | 2,312,939 | ||||||
| Brokerage commissions and futures account fees payable | 9,969 | — | ||||||
| Payable to Sponsor | 449,040 | 539,986 | ||||||
| Unrealized depreciation on swap agreements | 92,760,569 | — | ||||||
Non-recurring fees and expenses payable | 2,360 | 2,360 | ||||||
| Total liabilities | 93,496,742 | 2,855,285 | ||||||
| Commitments and Contingencies (Note 2) | 0 | |||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 480,309,476 | 745,304,028 | ||||||
| Total liabilities and shareholders’ equity | $ | 573,806,218 | $ | 748,159,313 | ||||
| Shares outstanding | 15,146,526 | 14,696,526 | ||||||
| Net asset value per share | $ | 31.71 | $ | 50.71 | ||||
| Market value per share (Note 2) | $ | 31.99 | $ | 51.28 | ||||
ULTRA SILVER
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 5,998,433 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (103% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.015% due 10/14/21 † | $ | 130,000,000 | $ | 129,998,830 | ||||
0.039% due 10/21/21 † | 60,000,000 | 59,997,336 | ||||||
0.032% due 11/18/21 † | 90,000,000 | 89,995,797 | ||||||
0.041% due 12/16/21 † | 100,000,000 | 99,991,560 | ||||||
0.037% due 01/20/22 † | 65,000,000 | 64,991,986 | ||||||
| 0.028% due 02/17/22 | 50,000,000 | 49,991,310 | ||||||
| Total short-term U.S. government and agency obligations (cost $494,973,149) | $ | 494,966,819 | ||||||
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation) | ||||||||||
Euro Fx Currency Futures—CME, expires December 2017 | 55 | $ | 8,156,844 | $ | 106,206 | |||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Silver Futures - COMEX, expires December 2021 | 1,213 | $ | 133,715,055 | $ | (5,439,801 | ) | ||||||
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 | % | 10/06/21 | $ | 219,572,067 | $ | (28,588,785 | ) | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | 219,657,055 | (23,220,141 | ) | |||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | 204,665,509 | (21,635,372 | ) | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | 182,787,599 | (19,316,271 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (92,760,569 | ) | |||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, 2021. 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 |
* Reflects the floating financing rate, as of September 30, 2021, 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.
ULTRA SILVER
| 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 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 44,511 | $ | 103,976 | $ | 208,169 | $ | 1,018,578 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 1,394,627 | 1,462,400 | 4,640,919 | 2,369,293 | ||||||||||||
| Brokerage commissions | 27,419 | 54,812 | 114,716 | 99,986 | ||||||||||||
| Futures account fees | 47,170 | 80,036 | 258,250 | 100,982 | ||||||||||||
Non-recurring fees and expenses | — | 3,943 | — | 3,943 | ||||||||||||
| Total expenses | 1,469,216 | 1,601,191 | 5,013,885 | 2,574,204 | ||||||||||||
| Net investment income (loss) | (1,424,705 | ) | (1,497,215 | ) | (4,805,716 | ) | (1,555,626 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (49,762,947 | ) | 97,830,248 | (32,273,408 | ) | 107,671,815 | ||||||||||
| Swap agreements | (151,552,363 | ) | 192,408,549 | (47,760,872 | ) | 190,255,641 | ||||||||||
| Short-term U.S. government and agency obligations | (4,720 | ) | — | (4,529 | ) | — | ||||||||||
| Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | (80,038,809 | ) | 297,927,456 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 9,589,898 | (53,237,345 | ) | (42,630,013 | ) | (52,855,325 | ) | |||||||||
| Swap agreements | (15,630,674 | ) | (146,084,199 | ) | (149,513,235 | ) | (162,217,464 | ) | ||||||||
| Short-term U.S. government and agency obligations | 22,486 | 7,772 | (13,068 | ) | (754 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | (192,156,316 | ) | (215,073,543 | ) | ||||||||
| Net realized and unrealized gain (loss) | (207,338,320 | ) | 90,925,025 | (272,195,125 | ) | 82,853,913 | ||||||||||
Net income (loss) | $ | (208,763,025 | ) | $ | 89,427,810 | $ | (277,000,841 | ) | $ | 81,298,287 | ||||||
STATEMENTULTRA SILVER
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 | ||
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 661,778,727 | $ | 249,671,968 | $ | 745,304,028 | $ | 239,254,842 | ||||||||
| Addition of 1,050,000, 8,050,000, 4,450,000 and 10,300,000 shares, respectively | 38,538,861 | 383,530,355 | 205,312,655 | 439,990,085 | ||||||||||||
| Redemption of 300,000, 1,800,000, 4,000,000 and 3,150,000 shares, respectively | (11,245,087 | ) | (101,746,977 | ) | (193,306,366 | ) | (139,660,058 | ) | ||||||||
| Net addition (redemption) of 750,000, 6,250,000, 450,000 and 7,150,000 shares, respectively | 27,293,774 | 281,783,378 | 12,006,289 | 300,330,027 | ||||||||||||
| Net investment income (loss) | (1,424,705 | ) | (1,497,215 | ) | (4,805,716 | ) | (1,555,626 | ) | ||||||||
| Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | (80,038,809 | ) | 297,927,456 | ||||||||||
| Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | (192,156,316 | ) | (215,073,543 | ) | ||||||||
| Net income (loss) | (208,763,025 | ) | 89,427,810 | (277,000,841 | ) | 81,298,287 | ||||||||||
Shareholders’ equity, end of period | $ | 480,309,476 | $ | 620,883,156 | $ | 480,309,476 | $ | 620,883,156 | ||||||||
ULTRA SILVER
| 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 | ||||
|
|
|
| |||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (277,000,841 | ) | $ | 81,298,287 | |||
| 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 | (1,369,823,802 | ) | (874,359,830 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,119,994,333 | 465,705,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (160,958 | ) | (692,431 | ) | ||||
| Net realized gain (loss) on investments | 4,529 | — | ||||||
| Change in unrealized appreciation (depreciation) on investments | 149,526,303 | 162,218,218 | ||||||
| Decrease (Increase) in receivable on futures contracts | (421,500 | ) | — | |||||
| Decrease (Increase) in interest receivable | 6,942 | 84,307 | ||||||
| Increase (Decrease) in payable to Sponsor | (90,946 | ) | 391,121 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 9,969 | — | ||||||
| Increase (Decrease) in payable on futures contracts | (2,038,135 | ) | 9,328,727 | |||||
| Net cash provided by (used in) operating activities | (379,994,106 | ) | (156,026,601 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 205,312,655 | 439,990,085 | ||||||
| Payment on shares redeemed | (193,306,366 | ) | (135,435,342 | ) | ||||
| Net cash provided by (used in) financing activities | 12,006,289 | 304,554,743 | ||||||
Net increase (decrease) in cash | (367,987,817 | ) | 148,528,142 | |||||
| Cash, beginning of period | 446,401,960 | 79,058,662 | ||||||
| Cash, end of period | $ | 78,414,143 | $ | 227,586,804 | ||||
ULTRA VIX SHORT-TERM FUTURES ETF
| 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) | 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 | ||||
|
|
|
| |||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively) | $ | 274,984,707 | $ | 244,995,969 | ||||
| Cash | 175,755,806 | 181,991,996 | ||||||
| Segregated cash balances with brokers for futures contracts | 531,626,515 | 879,704,000 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 7,976,000 | ||||||
| Unrealized appreciation on swap agreements | 7,933,765 | — | ||||||
| Receivable from capital shares sold | — | 49,086,388 | ||||||
| Receivable on open futures contracts | 64,382,858 | 16,422,512 | ||||||
| Interest receivable | 5,331 | 7,054 | ||||||
| Total assets | 1,054,688,982 | 1,380,183,919 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 26,870,187 | — | ||||||
| Payable on open futures contracts | 5,927,604 | 22,424,475 | ||||||
| Brokerage commissions and futures account fees payable | 244,898 | 485,039 | ||||||
| Payable to Sponsor | 795,603 | 1,040,582 | ||||||
| Unrealized depreciation on swap agreements | — | 24,807 | ||||||
Non-recurring fees and expenses payable | 4,817 | 4,817 | ||||||
| Total liabilities | 33,843,109 | 23,979,720 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 1,020,845,873 | 1,356,204,199 | ||||||
| Total liabilities and shareholders’ equity | $ | 1,054,688,982 | $ | 1,380,183,919 | ||||
| Shares outstanding (Note 1) | 41,778,420 | 12,713,091 | ||||||
| Net asset value per share (Note 1) | $ | 24.43 | $ | 106.68 | ||||
| Market value per share (Note 1)(Note 2) | $ | 24.55 | $ | 106.50 | ||||
ULTRA VIX SHORT-TERM FUTURES ETF
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 7,997,911 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (27% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.030% due 10/14/21 | $ | 100,000,000 | $ | 99,999,100 | ||||
| 0.042% due 11/18/21 | 10,000,000 | 9,999,533 | ||||||
0.043% due 12/16/21 † | 165,000,000 | 164,986,074 | ||||||
| Total short-term U.S. government and agency obligations (cost $274,983,511) | $ | 274,984,707 | ||||||
| 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 | |||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2021 | 32,595 | $ | 745,375,941 | $ | 62,929,777 | |||||||
| VIX Futures - Cboe, expires November 2021 | 30,104 | 713,040,334 | 27,089,105 | |||||||||
| $ | 90,018,882 | |||||||||||
Rate Paid (Received) * | Termination Date | Notional Amount at Value ** | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
| Swap agreement with Goldman Sachs International based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index | 0.94 | % | 10/06/21 | $ | 73,401,625 | $ | 7,933,765 | |||||||||
| | Total Unrealized Appreciation | | $ | 7,933,765 | ||||||||||||
| † | All or partial amount pledged as collateral for futures contracts. |
| ^ | The positions and counterparties herein are as of September 30, 2021. 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 |
* Reflects the floating financing rate, as of September 30, 2021, 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.
ULTRA VIX SHORT-TERM FUTURES ETF
| 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 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 11,979 | $ | 88,621 | $ | 328,504 | $ | 1,601,884 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 2,221,755 | 2,969,740 | 8,897,953 | 5,646,893 | ||||||||||||
| Brokerage commissions | 1,095,975 | 1,102,235 | 4,225,879 | 2,282,095 | ||||||||||||
| Futures account fees | 688,048 | 1,143,160 | 3,243,304 | 1,614,431 | ||||||||||||
Non-recurring fees and expenses | — | 10,480 | — | 10,480 | ||||||||||||
| Total expenses | 4,005,778 | 5,225,615 | 16,367,136 | 9,553,899 | ||||||||||||
| Net investment income (loss) | (3,993,799 | ) | (5,136,994 | ) | (16,038,632 | ) | (7,952,015 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (185,968,398 | ) | (541,559,555 | ) | (1,650,738,359 | ) | 43,875,522 | |||||||||
| Swap agreements | (12,412,592 | ) | (17,978,295 | ) | (106,689,716 | ) | 14,791,068 | |||||||||
| Short-term U.S. government and agency obligations | — | — | 20,657 | — | ||||||||||||
| Net realized gain (loss) | (198,380,990 | ) | (559,537,850 | ) | (1,757,407,418 | ) | 58,666,590 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 178,803,476 | 11,342,353 | 138,543,548 | 66,121,853 | ||||||||||||
| Swap agreements | 7,933,765 | 3,959,662 | 7,958,572 | 209,784 | ||||||||||||
| Short-term U.S. government and agency obligations | 4,980 | 1,112 | (3,982 | ) | (12,474 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 186,742,221 | 15,303,127 | 146,498,138 | 66,319,163 | ||||||||||||
| Net realized and unrealized gain (loss) | (11,638,769 | ) | (544,234,723 | ) | (1,610,909,280 | ) | 124,985,753 | |||||||||
Net income (loss) | $ | (15,632,568 | ) | $ | (549,371,717 | ) | $ | (1,626,947,912 | ) | $ | 117,033,738 | |||||
STATEMENTULTRA VIX SHORT-TERM FUTURES ETF
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 | ||
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 840,870,703 | $ | 992,156,607 | $ | 1,356,204,199 | $ | 527,636,003 | ||||||||
| Addition of 37,800,000, 4,280,000, 70,385,000 and 7,755,000 shares, respectively (Note 1) | 923,628,398 | 1,066,976,088 | 3,297,406,475 | 2,276,625,957 | ||||||||||||
| Redemption of 26,150,000, 805,000, 41,319,671 and 5,430,000 shares, respectively (Note 1) | (728,020,660 | ) | (202,149,457 | ) | (2,005,816,889 | ) | (1,613,684,177 | ) | ||||||||
| Net addition (redemption) of 11,650,000, 3,475,000, 29,065,329 and 2,325,000 shares, respectively (Note 1) | 195,607,738 | 864,826,631 | 1,291,589,586 | 662,941,780 | ||||||||||||
| Net investment income (loss) | (3,993,799 | ) | (5,136,994 | ) | (16,038,632 | ) | (7,952,015 | ) | ||||||||
| Net realized gain (loss) | (198,380,990 | ) | (559,537,850 | ) | (1,757,407,418 | ) | 58,666,590 | |||||||||
| Change in net unrealized appreciation (depreciation) | 186,742,221 | 15,303,127 | 146,498,138 | 66,319,163 | ||||||||||||
| Net income (loss) | (15,632,568 | ) | (549,371,717 | ) | (1,626,947,912 | ) | 117,033,738 | |||||||||
Shareholders’ equity, end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | $ | 1,020,845,873 | $ | 1,307,611,521 | ||||||||
ULTRA VIX SHORT-TERM FUTURES ETF
| 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 | ||||
|
|
|
| |||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (1,626,947,912 | ) | $ | 117,033,738 | |||
| 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 | (1,136,829,195 | ) | (965,269,478 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 1,106,989,987 | 701,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (132,855 | ) | (901,502 | ) | ||||
| Net realized gain (loss) on investments | (20,657 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | (7,954,590 | ) | (197,310 | ) | ||||
| Decrease (Increase) in securities sold receivable | — | (246,192 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | (47,960,346 | ) | (72,257,550 | ) | ||||
| Decrease (Increase) in interest receivable | 1,723 | 203,751 | ||||||
| Increase (Decrease) in payable to Sponsor | (244,979 | ) | 633,542 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (240,141 | ) | 419,056 | |||||
| Increase (Decrease) in payable on futures contracts | (16,496,871 | ) | (34,019,820 | ) | ||||
| Net cash provided by (used in) operating activities | (1,729,835,836 | ) | (253,601,765 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 3,346,492,863 | 2,248,489,431 | ||||||
| Payment on shares redeemed | (1,978,946,702 | ) | (1,613,684,177 | ) | ||||
| Net cash provided by (used in) financing activities | 1,367,546,161 | 634,805,254 | ||||||
Net increase (decrease) in cash | (362,289,675 | ) | 381,203,489 | |||||
| Cash, beginning of period | 1,069,671,996 | 361,561,329 | ||||||
| Cash, end of period | $ | 707,382,321 | $ | 742,764,818 | ||||
ULTRA YEN
| 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) | 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 | ||||
|
|
|
| |||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $999,970 and $–, respectively) | $ | 999,953 | $ | — | ||||
| Cash | 1,601,167 | 2,618,696 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 306,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 757 | 67,235 | ||||||
| Interest receivable | 66 | 111 | ||||||
| Total assets | 2,601,943 | 2,992,042 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 2,029 | 2,384 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 60,023 | 148 | ||||||
Non-recurring fees and expenses payable | 11 | 11 | ||||||
| Total liabilities | 62,063 | 2,543 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 2,539,880 | 2,989,499 | ||||||
| Total liabilities and shareholders’ equity | $ | 2,601,943 | $ | 2,992,042 | ||||
| Shares outstanding | 49,970 | 49,970 | ||||||
| Net asset value per share | $ | 50.83 | $ | 59.83 | ||||
| Market value per share (Note 2) | $ | 50.82 | $ | 59.82 | ||||
ULTRA YEN
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | ||||||
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| |||||||
Total short-term U.S. government and agency obligations | $ | 219,684,550 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 39 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.023 % due11/18/21 † | $ | 1,000,000 | $ | 999,953 | ||||
Total short-term U.S. government and agency obligations (cost $ 999,970 ) | $ | 999,953 | ||||||
| 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 | ) | |||||||||||
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| |||||||||||||||
| $(565,859) | ||||||||||||||||
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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 | ||||||||||
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| |||||||||||||||
| $4,465,552 | ||||||||||||||||
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Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | 327,930,517 | $ | 2,946,301 | $ | (34,305 | ) | |||||||||
| Yen with UBS AG | 10/08/21 | 253,562,756 | 2,278,140 | (25,718 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (60,023 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | (6,319,000 | ) | $ | (56,773 | ) | $ | (182 | ) | |||||||
| Yen with UBS AG | 10/08/21 | (10,090,000 | ) | (90,654 | ) | 939 | ||||||||||
| | Total Unrealized Appreciation | | $ | 757 | ||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 260 | $ | 171 | $ | 923 | $ | 9,100 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 6,233 | 6,813 | 19,144 | 20,655 | ||||||||||||
Non-recurring fees and expenses | — | 78 | — | 78 | ||||||||||||
| Total expenses | 6,233 | 6,891 | 19,144 | 20,733 | ||||||||||||
| Net investment income (loss) | (5,973 | ) | (6,720 | ) | (18,221 | ) | (11,633 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | (25,554 | ) | 126,569 | (305,028 | ) | 11,333 | ||||||||||
| Net realized gain (loss) | (25,554 | ) | 126,569 | (305,028 | ) | 11,333 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | 10,988 | (1,524 | ) | (126,353 | ) | 48,104 | ||||||||||
| Short-term U.S. government and agency obligations | 71 | — | (17 | ) | (74 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | (126,370 | ) | 48,030 | ||||||||||
| Net realized and unrealized gain (loss) | (14,495 | ) | 125,045 | (431,398 | ) | 59,363 | ||||||||||
Net income (loss) | $ | (20,468 | ) | $ | 118,325 | $ | (449,619 | ) | $ | 47,730 | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,560,348 | $ | 2,764,355 | $ | 2,989,499 | $ | 5,580,964 | ||||||||
| Redemption of –, –, – and 50,000 shares, respectively | — | — | — | (2,746,014 | ) | |||||||||||
| Net addition (redemption) of –, –, – and (50,000) shares, respectively | — | — | — | (2,746,014 | ) | |||||||||||
| Net investment income (loss) | (5,973 | ) | (6,720 | ) | (18,221 | ) | (11,633 | ) | ||||||||
| Net realized gain (loss) | (25,554 | ) | 126,569 | (305,028 | ) | 11,333 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | (126,370 | ) | 48,030 | ||||||||||
| Net income (loss) | (20,468 | ) | 118,325 | (449,619 | ) | 47,730 | ||||||||||
Shareholders’ equity, end of period | $ | 2,539,880 | $ | 2,882,680 | $ | 2,539,880 | $ | 2,882,680 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (449,619 | ) | $ | 47,730 | |||
| 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 | (1,499,740 | ) | (99,700 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 500,000 | 1,911,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (230 | ) | (3,270 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 126,370 | (48,030 | ) | |||||
| Decrease (Increase) in interest receivable | 45 | 4,622 | ||||||
| Increase (Decrease) in payable to Sponsor | (355 | ) | (2,235 | ) | ||||
| Net cash provided by (used in) operating activities | (1,323,529 | ) | 1,810,117 | |||||
Cash flow from financing activities | ||||||||
| Payment on shares redeemed | — | (2,746,014 | ) | |||||
| Net cash provided by (used in) financing activities | — | (2,746,014 | ) | |||||
Net increase (decrease) in cash | (1,323,529 | ) | (935,897 | ) | ||||
| Cash, beginning of period | 2,924,696 | 3,783,138 | ||||||
| Cash, end of period | $ | 1,601,167 | $ | 2,847,241 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Cash | $ | 4,739,816 | $ | 2,133,707 | ||||
| Segregated cash balances with brokers for futures contracts | 239,360 | 100,320 | ||||||
| Interest receivable | 187 | 119 | ||||||
| Total assets | 4,979,363 | 2,234,146 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 61,327 | 9,118 | ||||||
| Payable to Sponsor | 3,748 | 2,370 | ||||||
Non-recurring fees and expenses payable | 19 | 19 | ||||||
| Total liabilities | 65,094 | 11,507 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 4,914,269 | 2,222,639 | ||||||
| Total liabilities and shareholders’ equity | $ | 4,979,363 | $ | 2,234,146 | ||||
| Shares outstanding | 100,000 | 50,000 | ||||||
| Net asset value per share | $ | 49.14 | $ | 44.45 | ||||
| Market value per share (Note 2) | $ | 49.16 | $ | 43.89 | ||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Australian Dollar Fx Currency Futures - CME, expires December 2021 | 136 | $ | 9,838,240 | $ | 182,163 | |||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 443 | $ | 289 | $ | 961 | $ | 20,385 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 8,860 | 12,478 | 19,191 | 42,496 | ||||||||||||
| Brokerage commissions | 962 | 928 | 1,722 | 3,766 | ||||||||||||
Non-recurring fees and expenses | — | 177 | — | 177 | ||||||||||||
| Total expenses | 9,822 | 13,583 | 20,913 | 46,439 | ||||||||||||
| Net investment income (loss) | (9,379 | ) | (13,294 | ) | (19,952 | ) | (26,054 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 188,884 | (432,100 | ) | 17,207 | (799,054 | ) | ||||||||||
| Net realized gain (loss) | 188,884 | (432,100 | ) | 17,207 | (799,054 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 56,770 | 5,020 | 321,113 | 390,370 | ||||||||||||
| Short-term U.S. government and agency obligations | — | — | — | (206 | ) | |||||||||||
| Change in net unrealized appreciation (depreciation) | 56,770 | 5,020 | 321,113 | 390,164 | ||||||||||||
| Net realized and unrealized gain (loss) | 245,654 | (427,080 | ) | 338,320 | (408,890 | ) | ||||||||||
Net income (loss) | $ | 236,275 | $ | (440,374 | ) | $ | 318,368 | $ | (434,944 | ) | ||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 2,304,732 | $ | 5,614,042 | $ | 2,222,639 | $ | 5,608,612 | ||||||||
| Addition of 50,000, –, 50,000 and – shares, respectively | 2,373,262 | — | 2,373,262 | — | ||||||||||||
| Net addition (redemption) of 50,000, –, 50,000 and – shares, respectively | 2,373,262 | — | 2,373,262 | — | ||||||||||||
| Net investment income (loss) | (9,379 | ) | (13,294 | ) | (19,952 | ) | (26,054 | ) | ||||||||
| Net realized gain (loss) | 188,884 | (432,100 | ) | 17,207 | (799,054 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 56,770 | 5,020 | 321,113 | 390,164 | ||||||||||||
| Net income (loss) | 236,275 | (440,374 | ) | 318,368 | (434,944 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 4,914,269 | $ | 5,173,668 | $ | 4,914,269 | $ | 5,173,668 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 318,368 | $ | (434,944 | ) | |||
| 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 | — | (498,498 | ) | |||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 4,436,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | — | (6,234 | ) | |||||
| Change in unrealized appreciation (depreciation) on investments | — | 206 | ||||||
| Decrease (Increase) in interest receivable | (68 | ) | 1,510 | |||||
| Increase (Decrease) in payable to Sponsor | 1,378 | (759 | ) | |||||
| Increase (Decrease) in payable on futures contracts | 52,209 | 6,830 | ||||||
| Net cash provided by (used in) operating activities | 371,887 | 3,504,111 | ||||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 2,373,262 | — | ||||||
| Net cash provided by (used in) financing activities | 2,373,262 | — | ||||||
Net increase (decrease) in cash | 2,745,149 | 3,504,111 | ||||||
| Cash, beginning of period | 2,234,027 | 1,717,873 | ||||||
| Cash, end of period | $ | 4,979,176 | $ | 5,221,984 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,250 and $ – , respectively) | $ | 32,997,116 | $ | — | ||||
| Cash | 37,673,178 | 74,317,150 | ||||||
| Segregated cash balances with brokers for futures contracts | 23,127,496 | 22,608,223 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 188,000 | ||||||
| Receivable on open futures contracts | — | 60,902 | ||||||
| Interest receivable | 1,383 | 3,299 | ||||||
| Total assets | 93,799,173 | 97,177,574 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 143,515 | 257,410 | ||||||
| Brokerage commissions and futures account fees payable | 12,910 | — | ||||||
| Payable to Sponsor | 67,184 | 80,580 | ||||||
Non-recurring fees and expenses payable | 351 | 351 | ||||||
| Total liabilities | 223,960 | 338,341 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 93,575,213 | 96,839,233 | ||||||
| Total liabilities and shareholders’ equity | $ | 93,799,173 | $ | 97,177,574 | ||||
| Shares outstanding (Note 1) | 6,183,799 | 2,084,971 | ||||||
| Net asset value per share (Note 1) | $ | 15.13 | $ | 46.45 | ||||
| Market value per share (Note 1)(Note 2) | $ | 15.18 | $ | 46.56 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (35% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.043% due 10/14/21 | $ | 5,000,000 | $ | 4,999,955 | ||||
| 0.043% due 11/18/21 | 8,000,000 | 7,999,627 | ||||||
| 0.037% due 01/20/22 | 20,000,000 | 19,997,534 | ||||||
| Total short-term U.S. government and agency obligations (cost $32,997,250) | $ | 32,997,116 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| WTI Crude Oil - NYMEX, expires December 2021 | 848 | $ | 63,345,600 | $ | (10,110,286 | ) | ||||||
| WTI Crude Oil - NYMEX, expires June 2022 | 876 | 62,327,400 | (7,616,511 | ) | ||||||||
| WTI Crude Oil - NYMEX, expires December 2022 | 909 | 61,539,300 | (2,739,363 | ) | ||||||||
| $ | (20,466,160 | ) | ||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
BLOOMBERG CRUDE OIL
| 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 | ||||||||
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Expenses | ||||||||||||||||
Management fee | 537,193 | 906,488 | 1,914,770 | 2,894,802 | ||||||||||||
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Total expenses | 537,193 | 906,488 | 1,914,770 | 2,894,802 | ||||||||||||
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| |||||||||
Net investment income (loss) | 22,669 | (657,657 | ) | (461,825 | ) | (2,129,104 | ) | |||||||||
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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 | ||||||||||
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| |||||||||
Net realized gain (loss) | (24,506,914 | ) | (5,535,442 | ) | (45,338,431 | ) | (60,591,510 | ) | ||||||||
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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 | ||||||||||||
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| |||||||||
Change in net unrealized appreciation/depreciation | 10,108,092 | (2,516,227 | ) | (12,255,062 | ) | 30,468,759 | ||||||||||
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| |||||||||
Net realized and unrealized gain (loss) | (14,398,822 | ) | (8,051,669 | ) | (57,593,493 | ) | (30,122,751 | ) | ||||||||
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| |||||||||
Net income (loss) | $ | (14,376,153 | ) | $ | (8,709,326 | ) | $ | (58,055,318 | ) | $ | (32,251,855 | ) | ||||
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Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 6,891 | $ | 4,832 | $ | 36,069 | $ | 259,750 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 201,146 | 238,038 | 603,444 | 789,307 | ||||||||||||
| Brokerage commissions | 29,277 | 64,657 | 100,902 | 488,442 | ||||||||||||
| Futures account fees | 18,193 | 39,565 | 83,373 | 132,868 | ||||||||||||
Non-recurring fees and expenses | — | 4,892 | — | 4,892 | ||||||||||||
| Total expenses | 248,616 | 347,152 | 787,719 | 1,415,509 | ||||||||||||
| Net investment income (loss) | (241,725 | ) | (342,320 | ) | (751,650 | ) | (1,155,759 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (11,449,562 | ) | (12,932,125 | ) | (86,637,748 | ) | (13,146,261 | ) | ||||||||
| Swap agreements | — | (3,364,704 | ) | — | 41,576,107 | |||||||||||
| Short-term U.S. government and agency obligations | — | — | — | (20 | ) | |||||||||||
| Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | (86,637,748 | ) | 28,429,826 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (1,521,543 | ) | 3,752,436 | (5,829,347 | ) | 3,196,977 | ||||||||||
| Swap agreements | — | 2,095,678 | — | 4,033,931 | ||||||||||||
| Short-term U.S. government and agency obligations | 650 | 0 | (134 | ) | (3,162 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | (5,829,481 | ) | 7,227,746 | ||||||||||
| Net realized and unrealized gain (loss) | (12,970,455 | ) | (10,448,715 | ) | (92,467,229 | ) | 35,657,572 | |||||||||
Net income (loss) | $ | (13,212,180 | ) | $ | (10,791,035 | ) | $ | (93,218,879 | ) | $ | 34,501,813 | |||||
STATEMENTBLOOMBERG CRUDE OIL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 | ||
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 79,400,059 | $ | 117,821,898 | $ | 96,839,233 | $ | 125,451,681 | ||||||||
| Addition of 3,350,000, 1,075,000, 7,237,500 and 6,662,500 shares, respectively (Note 1) | 56,590,239 | 69,006,205 | 164,074,678 | 737,435,154 | ||||||||||||
| Redemption of 1,550,000, 1,475,000, 3,138,672 and 8,025,000 shares, respectively (Note 1) | (29,202,905 | ) | (95,618,902 | ) | (74,119,819 | ) | (816,970,482 | ) | ||||||||
| Net addition (redemption) of 1,800,000, (400,000), 4,098,828 and (1,362,500) shares, respectively (Note 1) | 27,387,334 | (26,612,697 | ) | 89,954,859 | (79,535,328 | ) | ||||||||||
| Net investment income (loss) | (241,725 | ) | (342,320 | ) | (751,650 | ) | (1,155,759 | ) | ||||||||
| Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | (86,637,748 | ) | 28,429,826 | |||||||||
| Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | (5,829,481 | ) | 7,227,746 | ||||||||||
| Net income (loss) | (13,212,180 | ) | (10,791,035 | ) | (93,218,879 | ) | 34,501,813 | |||||||||
Shareholders’ equity, end of period | $ | 93,575,213 | $ | 80,418,166 | $ | 93,575,213 | $ | 80,418,166 | ||||||||
BLOOMBERG CRUDE OIL
| 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 | ||||
|
|
|
| |||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (93,218,879 | ) | $ | 34,501,813 | |||
| 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 | (117,984,270 | ) | (32,897,274 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 85,000,000 | 95,246,647 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (12,980 | ) | (153,272 | ) | ||||
| Net realized gain (loss) on investments | — | 20 | ||||||
| Change in unrealized appreciation (depreciation) on investments | 134 | (4,030,769 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | 60,902 | 281,879 | ||||||
| Decrease (Increase) in interest receivable | 1,916 | 51,970 | ||||||
| Increase (Decrease) in payable to Sponsor | (13,396 | ) | (20,975 | ) | ||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 12,910 | — | ||||||
| Increase (Decrease) in payable on futures contracts | (113,895 | ) | 3,316,805 | |||||
| Net cash provided by (used in) operating activities | (126,267,558 | ) | 96,296,844 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 164,074,678 | 741,702,169 | ||||||
| Payment on shares redeemed | (74,119,819 | ) | (816,970,482 | ) | ||||
| Net cash provided by (used in) financing activities | 89,954,859 | (75,268,313 | ) | |||||
Net increase (decrease) in cash | (36,312,699 | ) | 21,028,531 | |||||
| Cash, beginning of period | 97,113,373 | 61,909,177 | ||||||
| Cash, end of period | $ | 60,800,674 | $ | 82,937,708 | ||||
BLOOMBERG NATURAL GAS
| 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) | 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 | ||||
|
|
|
| |||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $56,994,979 and $9,999,612, respectively) | $ | 56,993,148 | $ | 9,999,861 | ||||
| Cash | 84,342,212 | 12,600,775 | ||||||
| Segregated cash balances with brokers for futures contracts | 29,635,820 | 6,546,607 | ||||||
| Interest receivable | 2,662 | 548 | ||||||
| Total assets | 170,973,842 | 29,147,791 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 16,371,629 | 2,604,177 | ||||||
| Payable on open futures contracts | 15,998,799 | 1,543,700 | ||||||
| Brokerage commissions and futures account fees payable | 27,103 | — | ||||||
| Payable to Sponsor | 107,494 | 22,029 | ||||||
Non-recurring fees and expenses payable | 140 | 140 | ||||||
| Total liabilities | 32,505,165 | 4,170,046 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 138,468,677 | 24,977,745 | ||||||
| Total liabilities and shareholders’ equity | $ | 170,973,842 | $ | 29,147,791 | ||||
| Shares outstanding | 19,724,832 | 524,832 | ||||||
| Net asset value per share | $ | 7.02 | $ | 47.59 | ||||
| Market value per share (Note 2) | $ | 7.12 | $ | 47.38 | ||||
BLOOMBERG NATURAL GAS
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 137,818,917 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 41 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043 % due10/14/21 | $ | 5,000,000 | $ | 4,999,955 | ||||
0.043 % due11/18/21 | 7,000,000 | 6,999,673 | ||||||
0.044 % due12/16/21 | 15,000,000 | 14,998,734 | ||||||
0.028 % due02/17/22 | 30,000,000 | 29,994,786 | ||||||
Total short-term U.S. government and agency obligations (cost $ 56,994,979 ) | $ | 56,993,148 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Natural Gas - NYMEX, expires November 2021 | 4,720 | $ | 276,922,400 | $ | (35,288,843 | ) | ||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 9,879 | $ | 8,136 | $ | 25,512 | $ | 51,939 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 258,824 | 138,507 | 609,472 | 207,544 | ||||||||||||
| Brokerage commissions | 67,808 | 98,416 | 249,831 | 177,159 | ||||||||||||
| Futures account fees | 42,064 | 20,454 | 99,190 | 25,803 | ||||||||||||
Non-recurring fees and expenses | — | 345 | — | 345 | ||||||||||||
| Total expenses | 368,696 | 257,722 | 958,493 | 410,851 | ||||||||||||
| Net investment income (loss) | (358,817 | ) | (249,586 | ) | (932,981 | ) | (358,912 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (95,609,878 | ) | (31,450,011 | ) | (112,274,576 | ) | (20,587,193 | ) | ||||||||
| Short-term U.S. government and agency obligations | — | 19 | — | (531 | ) | |||||||||||
| Net realized gain (loss) | (95,609,878 | ) | (31,449,992 | ) | (112,274,576 | ) | (20,587,724 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (17,870,697 | ) | 8,968,702 | (35,668,153 | ) | 9,530,001 | ||||||||||
| Short-term U.S. government and agency obligations | (839 | ) | 435 | (2,080 | ) | 108 | ||||||||||
| Change in net unrealized appreciation (depreciation) | (17,871,536 | ) | 8,969,137 | (35,670,233 | ) | 9,530,109 | ||||||||||
| Net realized and unrealized gain (loss) | (113,481,414 | ) | (22,480,855 | ) | (147,944,809 | ) | (11,057,615 | ) | ||||||||
Net income (loss) | $ | (113,840,231 | ) | $ | (22,730,441 | ) | $ | (148,877,790 | ) | $ | (11,416,527 | ) | ||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 97,525,300 | $ | 28,552,210 | $ | 24,977,745 | $ | 12,515,603 | ||||||||
| Addition of 20,500,000, 3,200,000, 28,050,000 and 4,400,000 shares, respectively | 210,189,776 | 130,455,301 | 446,153,207 | 198,730,524 | ||||||||||||
| Redemption of 5,300,000, 2,400,000, 8,850,000 and 3,500,000 shares, respectively | (55,406,168 | ) | (89,339,084 | ) | (183,784,485 | ) | (152,891,614 | ) | ||||||||
| Net addition (redemption) of 15,200,000, 800,000, 19,200,000 and 900,000 shares, respectively | 154,783,608 | 41,116,217 | 262,368,722 | 45,838,910 | ||||||||||||
| Net investment income (loss) | (358,817 | ) | (249,586 | ) | (932,981 | ) | (358,912 | ) | ||||||||
| Net realized gain (loss) | (95,609,878 | ) | (31,449,992 | ) | (112,274,576 | ) | (20,587,724 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | (17,871,536 | ) | 8,969,137 | (35,670,233 | ) | 9,530,109 | ||||||||||
| Net income (loss) | (113,840,231 | ) | (22,730,441 | ) | (148,877,790 | ) | (11,416,527 | ) | ||||||||
Shareholders’ equity, end of period | $ | 138,468,677 | $ | 46,937,986 | $ | 138,468,677 | $ | 46,937,986 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (148,877,790 | ) | $ | (11,416,527 | ) | ||
| 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 | (144,983,115 | ) | (54,978,482 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 98,000,000 | 28,159,767 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (12,252 | ) | (21,483 | ) | ||||
| Net realized gain (loss) on investments | — | 531 | ||||||
| Change in unrealized appreciation (depreciation) on investments | 2,080 | (108 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | — | (1,269,994 | ) | |||||
| Decrease (Increase) in interest receivable | (2,114 | ) | 5,726 | |||||
| Increase (Decrease) in payable to Sponsor | 85,465 | 40,651 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 27,103 | — | ||||||
| Increase (Decrease) in payable on futures contracts | 14,455,099 | (6,826 | ) | |||||
| Net cash provided by (used in) operating activities | (181,305,524 | ) | (39,486,745 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 446,153,207 | 198,730,524 | ||||||
| Payment on shares redeemed | (170,017,033 | ) | (130,442,926 | ) | ||||
| Net cash provided by (used in) financing activities | 276,136,174 | 68,287,598 | ||||||
Net increase (decrease) in cash | 94,830,650 | 28,800,853 | ||||||
| Cash, beginning of period | 19,147,382 | 7,370,891 | ||||||
| Cash, end of period | $ | 113,978,032 | $ | 36,171,744 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $34,997,966 and $9,999,612, respectively) | $ | 34,997,817 | $ | 9,999,861 | ||||
| Cash | 11,552,843 | 42,133,228 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 1,999,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,284,006 | 5,705 | ||||||
| Interest receivable | 396 | 2,148 | ||||||
| Total assets | 48,835,062 | 54,139,942 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 36,822 | 43,974 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 157,203 | 1,142,409 | ||||||
Non-recurring fees and expenses payable | 220 | 220 | ||||||
| Total liabilities | 194,245 | 1,186,603 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 48,640,817 | 52,953,339 | ||||||
| Total liabilities and shareholders’ equity | $ | 48,835,062 | $ | 54,139,942 | ||||
| Shares outstanding | 1,950,000 | 2,350,000 | ||||||
| Net asset value per share | $ | 24.94 | $ | 22.53 | ||||
| Market value per share (Note 2) | $ | 24.93 | $ | 22.52 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (72% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043% due 10/14/21 † | $ | 5,000,000 | $ | 4,999,955 | ||||
0.039% due 10/21/21 † | 10,000,000 | �� | 9,999,555 | |||||
0.043% due 11/18/21 † | 5,000,000 | 4,999,767 | ||||||
| 0.044% due 12/16/21 | 10,000,000 | 9,999,156 | ||||||
| 0.037% due 01/20/22 | 5,000,000 | 4,999,384 | ||||||
| Total short-term U.S. government and agency obligations (cost $34,997,966) | $ | 34,997,817 | ||||||
| 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 | |||||||||||||||
|
| |||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
| Euro with UBS AG | 10/08/21 | 5,650,000 | $ | 6,544,869 | $ | (157,203 | ) | |||||||||
| | Total Unrealized Depreciation | | $ | (157,203 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Euro with Goldman Sachs International | 10/08/21 | (39,458,263 | ) | $ | (45,707,819 | ) | $ | 1,000,511 | ||||||||
| Euro with UBS AG | 10/08/21 | (49,895,199 | ) | (57,797,799 | ) | 1,283,495 | ||||||||||
| | Total Unrealized Appreciation | | $ | 2,284,006 | ||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
EURO
| 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 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 5,008 | $ | 18,939 | $ | 17,814 | $ | 486,623 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 116,733 | 161,145 | 355,451 | 638,218 | ||||||||||||
Non-recurring fees and expenses | — | 2,622 | — | 2,622 | ||||||||||||
| Total expenses | 116,733 | 163,767 | 355,451 | 640,840 | ||||||||||||
| Net investment income (loss) | (111,725 | ) | (144,828 | ) | (337,637 | ) | (154,217 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | 2,974,466 | (7,511,153 | ) | 2,249,236 | (8,749,738 | ) | ||||||||||
| Short-term U.S. government and agency obligations | — | (14 | ) | — | (14 | ) | ||||||||||
| Net realized gain (loss) | 2,974,466 | (7,511,167 | ) | 2,249,236 | (8,749,752 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | (618,447 | ) | 1,523,931 | 3,263,507 | 3,449,397 | |||||||||||
| Short-term U.S. government and agency obligations | 489 | 1,860 | (398 | ) | (3,038 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (617,958 | ) | 1,525,791 | 3,263,109 | 3,446,359 | |||||||||||
| Net realized and unrealized gain (loss) | 2,356,508 | (5,985,376 | ) | 5,512,345 | (5,303,393 | ) | ||||||||||
Net income (loss) | $ | 2,244,783 | $ | (6,130,204 | ) | $ | 5,174,708 | $ | (5,457,610 | ) | ||||||
STATEMENTEURO
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 | ||
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 48,820,440 | $ | 78,848,965 | $ | 52,953,339 | $ | 120,581,173 | ||||||||
| Addition of 100,000, 1,000,000, 300,000 and 1,350,000 shares, respectively | 2,387,142 | 24,186,298 | 7,000,386 | 34,244,548 | ||||||||||||
| Redemption of 200,000, 1,150,000, 700,000 and 3,050,000 shares, respectively | (4,811,548 | ) | (28,327,526 | ) | (16,487,616 | ) | (80,790,578 | ) | ||||||||
| Net addition (redemption) of (100,000), (150,000), (400,000) and (1,700,000) shares, respectively | (2,424,406 | ) | (4,141,228 | ) | (9,487,230 | ) | (46,546,030 | ) | ||||||||
| Net investment income (loss) | (111,725 | ) | (144,828 | ) | (337,637 | ) | (154,217 | ) | ||||||||
| Net realized gain (loss) | 2,974,466 | (7,511,167 | ) | 2,249,236 | (8,749,752 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (617,958 | ) | 1,525,791 | 3,263,109 | 3,446,359 | |||||||||||
| Net income (loss) | 2,244,783 | (6,130,204 | ) | 5,174,708 | (5,457,610 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 48,640,817 | $ | 68,577,533 | $ | 48,640,817 | $ | 68,577,533 | ||||||||
EURO
| 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 | ||||
|
|
|
| |||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 5,174,708 | $ | (5,457,610 | ) | |||
| 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 | (89,988,404 | ) | (198,751,004 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 65,000,000 | 220,684,953 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (9,950 | ) | (338,406 | ) | ||||
| Net realized gain (loss) on investments | — | 14 | ||||||
| Change in unrealized appreciation (depreciation) on investments | (3,263,109 | ) | (3,446,359 | ) | ||||
| Decrease (Increase) in interest receivable | 1,752 | 59,976 | ||||||
| Increase (Decrease) in payable to Sponsor | (7,152 | ) | (47,737 | ) | ||||
| Net cash provided by (used in) operating activities | (23,092,155 | ) | 12,703,827 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 7,000,386 | 34,244,548 | ||||||
| Payment on shares redeemed | (16,487,616 | ) | (78,341,410 | ) | ||||
| Net cash provided by (used in) financing activities | (9,487,230 | ) | (44,096,862 | ) | ||||
Net increase (decrease) in cash | (32,579,385 | ) | (31,393,035 | ) | ||||
| Cash, beginning of period | 44,132,228 | 44,280,278 | ||||||
| Cash, end of period | $ | 11,552,843 | $ | 12,887,243 | ||||
ULTRASHORT GOLD
| 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) | 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 | ||||
|
|
|
| |||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively) | $ | 17,998,972 | $ | — | ||||
| Cash | 8,368,137 | 16,935,121 | ||||||
| Segregated cash balances with brokers for futures contracts | 860,625 | 1,503,750 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 2,194,500 | ||||||
| Unrealized appreciation on swap agreements | 830,123 | — | ||||||
| Receivable on open futures contracts | — | 1,317 | ||||||
| Interest receivable | 299 | 742 | ||||||
| Total assets | 28,058,156 | 20,635,430 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 306,991 | 12,410 | ||||||
| Brokerage commissions and futures account fees payable | 211 | — | ||||||
| Payable to Sponsor | 19,851 | 16,835 | ||||||
| Unrealized depreciation on swap agreements | — | 268,728 | ||||||
Non-recurring fees and expenses payable | 81 | 81 | ||||||
| Total liabilities | 327,134 | 298,054 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 27,731,022 | 20,337,376 | ||||||
| Total liabilities and shareholders’ equity | $ | 28,058,156 | $ | 20,635,430 | ||||
| Shares outstanding | 796,977 | 646,977 | ||||||
| Net asset value per share | $ | 34.80 | $ | 31.43 | ||||
| Market value per share (Note 2) | $ | 34.82 | $ | 31.14 | ||||
ULTRASHORT GOLD
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 562,359,737 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (65% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.043% due 10/14/21 | $ | 5,000,000 | $ | 4,999,955 | ||||
0.039% due 10/21/21 † | 3,000,000 | 2,999,867 | ||||||
0.043% due 11/18/21 † | 5,000,000 | 4,999,767 | ||||||
| 0.037% due 01/20/22 | 5,000,000 | 4,999,383 | ||||||
| Total short-term U.S. government and agency obligations (cost $17,999,022) | $ | 17,998,972 | ||||||
| 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 | |||||||
Sold
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Gold Futures - COMEX, expires December 2021 | 114 | $ | 20,029,800 | $ | 432,050 | |||||||
| 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 | |||||||||||||||
|
| |||||||||||||||
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 | % | 10/06/21 | $ | (14,518,233 | ) | $ | 340,577 | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex | 0.20 | 10/06/21 | (9,497,933 | ) | 223,115 | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Gold Subindex | 0.25 | 10/06/21 | (11,357,509 | ) | 266,431 | |||||||||||
| | Total Unrealized Appreciation | | $ | 830,123 | ||||||||||||
| † | All or partial amount pledged as collateral for swap |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
ULTRASHORT GOLD
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 3,075 | $ | 1,831 | $ | 9,213 | $ | 65,111 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 66,304 | 45,591 | 199,999 | 129,451 | ||||||||||||
| Brokerage commissions | 3,301 | 1,980 | 9,174 | 5,743 | ||||||||||||
| Futures account fees | 1,856 | 1,232 | 8,344 | 2,597 | ||||||||||||
Non-recurring fees and expenses | — | 499 | — | 499 | ||||||||||||
| Total expenses | 71,461 | 49,302 | 217,517 | 138,290 | ||||||||||||
| Net investment income (loss) | (68,386 | ) | (47,471 | ) | (208,304 | ) | (73,179 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (883,113 | ) | (1,305,687 | ) | (1,598,368 | ) | (5,001,545 | ) | ||||||||
| Swap agreements | 2,096,834 | (2,715,850 | ) | (169,268 | ) | (7,040,145 | ) | |||||||||
| Short-term U.S. government and agency obligations | — | — | 169 | — | ||||||||||||
| Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | (1,767,467 | ) | (12,041,690 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | (153,889 | ) | 782,022 | 628,980 | 893,052 | |||||||||||
| Swap agreements | (1,744,696 | ) | 1,906,708 | 1,098,851 | 1,834,548 | |||||||||||
| Short-term U.S. government and agency obligations | 166 | 331 | (50 | ) | (496 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | 1,727,781 | 2,727,104 | |||||||||||
| Net realized and unrealized gain (loss) | (684,698 | ) | (1,332,476 | ) | (39,686 | ) | (9,314,586 | ) | ||||||||
Net income (loss) | $ | (753,084 | ) | $ | (1,379,947 | ) | $ | (247,990 | ) | $ | (9,387,765 | ) | ||||
STATEMENTULTRASHORT GOLD
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 32,835,014 | $ | 15,851,043 | $ | 20,337,376 | $ | 21,047,560 | ||||||||
| Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively | 21,916,482 | 23,162,997 | 59,279,388 | 38,594,844 | ||||||||||||
| Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively | (26,267,390 | ) | (10,494,112 | ) | (51,637,752 | ) | (23,114,658 | ) | ||||||||
| Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively | (4,350,908 | ) | 12,668,885 | 7,641,636 | 15,480,186 | |||||||||||
| Net investment income (loss) | (68,386 | ) | (47,471 | ) | (208,304 | ) | (73,179 | ) | ||||||||
| Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | (1,767,467 | ) | (12,041,690 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | 1,727,781 | 2,727,104 | |||||||||||
| Net income (loss) | (753,084 | ) | (1,379,947 | ) | (247,990 | ) | (9,387,765 | ) | ||||||||
Shareholders’ equity, end of period | $ | 27,731,022 | $ | 27,139,981 | $ | 27,731,022 | $ | 27,139,981 | ||||||||
ULTRASHORT GOLD
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (247,990 | ) | $ | (9,387,765 | ) | ||
| 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 | (40,994,386 | ) | (19,981,048 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 22,999,935 | 27,371,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,402 | ) | (34,425 | ) | ||||
| Net realized gain (loss) on investments | (169 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | (1,098,801 | ) | (1,834,052 | ) | ||||
| Decrease (Increase) in receivable on futures contracts | 1,317 | (55,281 | ) | |||||
| Decrease (Increase) in interest receivable | 443 | 11,119 | ||||||
| Increase (Decrease) in payable to Sponsor | 3,016 | 472 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 211 | — | ||||||
| Increase (Decrease) in payable on futures contracts | 294,581 | (25,211 | ) | |||||
| Net cash provided by (used in) operating activities | (19,046,245 | ) | (3,935,191 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 59,279,388 | 38,594,844 | ||||||
| Payment on shares redeemed | (51,637,752 | ) | (23,114,658 | ) | ||||
| Net cash provided by (used in) financing activities | 7,641,636 | 15,480,186 | ||||||
Net increase (decrease) in cash | (11,404,609 | ) | 11,544,995 | |||||
| Cash, beginning of period | 20,633,371 | 9,895,915 | ||||||
| Cash, end of period | $ | 9,228,762 | $ | 21,440,910 | ||||
STATEMENTULTRASHORT SILVER
| 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 | ||
|
| |||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively) | $ | 21,998,799 | $ | — | ||||
| Cash | 11,285,816 | 18,919,314 | ||||||
| Segregated cash balances with brokers for futures contracts | 4,768,750 | 1,503,250 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 11,732,485 | ||||||
| Unrealized appreciation on swap agreements | 4,090,510 | — | ||||||
| Receivable from capital shares sold | 1,563,293 | — | ||||||
| Receivable on open futures contracts | — | 39,445 | ||||||
| Interest receivable | 479 | 814 | ||||||
| Total assets | 43,707,647 | 32,195,308 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 3,126,586 | — | ||||||
| Payable on open futures contracts | 176,667 | 86,282 | ||||||
| Brokerage commissions and futures account fees payable | 1,471 | — | ||||||
| Payable to Sponsor | 28,913 | 25,557 | ||||||
| Unrealized depreciation on swap agreements | — | 3,197,561 | ||||||
Non-recurring fees and expenses payable | 133 | 133 | ||||||
| Total liabilities | 3,333,770 | 3,309,533 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 40,373,877 | 28,885,775 | ||||||
| Total liabilities and shareholders’ equity | $ | 43,707,647 | $ | 32,195,308 | ||||
| Shares outstanding (Note 1) | 1,291,329 | 1,041,744 | ||||||
| Net asset value per share (Note 1) | $ | 31.27 | $ | 27.73 | ||||
| Market value per share (Note 1)(Note 2) | $ | 30.97 | $ | 27.40 | ||||
ULTRASHORT SILVER
2021
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (54% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.043% due 10/14/21 † | $ | 5,000,000 | $ | 4,999,955 | ||||
0.013% due 10/21/21 † | 9,000,000 | 8,999,600 | ||||||
0.043% due 11/18/21 † | 3,000,000 | 2,999,860 | ||||||
| 0.037% due 01/20/22 | 5,000,000 | 4,999,384 | ||||||
| Total short-term U.S. government and agency obligations (cost $21,999,135) | $ | 21,998,799 | ||||||
| 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 | ||||
|
|
|
| |||||
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 | ||
|
| |||
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) | 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 | ||||||||
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 | $ | 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 | ) | ||||||
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.
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) | 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 | ||||||||
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 | $ | 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 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| Silver Futures - COMEX, expires December 2021 | 380 | $ | 41,889,300 | $ | 2,955,976 | |||||||
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 | % | 10/06/21 | $ | (7,432,206 | ) | $ | 782,817 | ||||||||
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | (9,839,512 | ) | 1,036,372 | |||||||||||
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/06/21 | (7,779,988 | ) | 819,178 | |||||||||||
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/06/21 | (13,786,912 | ) | 1,452,143 | |||||||||||
| | Total Unrealized Appreciation | | $ | 4,090,510 | ||||||||||||
| † | All or partial amount pledged as collateral for |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
| * | Reflects the floating financing rate, as of September 30, |
| ** | For |
ULTRASHORT SILVER
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 3,100 | $ | 3,192 | $ | 8,895 | $ | 48,379 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 90,963 | 84,377 | 248,539 | 147,262 | ||||||||||||
| Brokerage commissions | 8,141 | 8,539 | 19,409 | 16,460 | ||||||||||||
| Futures account fees | 6,528 | 4,945 | 20,726 | 6,620 | ||||||||||||
Non-recurring fees and expenses | — | 321 | — | 321 | ||||||||||||
| Total expenses | 105,632 | 98,182 | 288,674 | 170,663 | ||||||||||||
| Net investment income (loss) | (102,532 | ) | (94,990 | ) | (279,779 | ) | (122,284 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | 523,159 | (6,023,570 | ) | (929,991 | ) | (5,016,408 | ) | |||||||||
| Swap agreements | 6,138,986 | (9,873,250 | ) | (1,216,671 | ) | (13,915,911 | ) | |||||||||
| Short-term U.S. government and agency obligations | — | — | 85 | — | ||||||||||||
| Net realized gain (loss) | 6,662,145 | (15,896,820 | ) | (2,146,577 | ) | (18,932,319 | ) | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 2,684,085 | 4,674,780 | 3,176,052 | 4,541,796 | ||||||||||||
| Swap agreements | 1,237,760 | 6,454,866 | 7,288,071 | 8,024,939 | ||||||||||||
| Short-term U.S. government and agency obligations | 751 | 88 | (336 | ) | (616 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 3,922,596 | 11,129,734 | 10,463,787 | 12,566,119 | ||||||||||||
| �� | ||||||||||||||||
| Net realized and unrealized gain (loss) | 10,584,741 | (4,767,086 | ) | 8,317,210 | (6,366,200 | ) | ||||||||||
Net income (loss) | $ | 10,482,209 | $ | (4,862,076 | ) | $ | 8,037,431 | $ | (6,488,484 | ) | ||||||
STATEMENTULTRASHORT SILVER
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 34,859,763 | $ | 10,145,625 | $ | 28,885,775 | $ | 13,834,163 | ||||||||
| Addition of 1,000,000, 2,825,000, 3,750,000 and 3,025,000 shares, respectively (Note 1) | 26,169,229 | 102,544,682 | 91,351,542 | 122,851,884 | ||||||||||||
| Redemption of 1,200,000, 1,637,500, 3,500,415 and 1,837,500 shares, respectively (Note 1) | (31,137,324 | ) | (56,772,556 | ) | (87,900,871 | ) | (79,141,888 | ) | ||||||||
| Net addition (redemption) of (200,000), 1,187,500, 249,585 and 1,187,500 shares, respectively (Note 1) | (4,968,095 | ) | 45,772,126 | 3,450,671 | 43,709,996 | |||||||||||
| Net investment income (loss) | (102,532 | ) | (94,990 | ) | (279,779 | ) | (122,284 | ) | ||||||||
| Net realized gain (loss) | 6,662,145 | (15,896,820 | ) | (2,146,577 | ) | (18,932,319 | ) | |||||||||
| Change in net unrealized appreciation (depreciation) | 3,922,596 | 11,129,734 | 10,463,787 | 12,566,119 | ||||||||||||
| Net income (loss) | 10,482,209 | (4,862,076 | ) | 8,037,431 | (6,488,484 | ) | ||||||||||
Shareholders’ equity, end of period | $ | 40,373,877 | $ | 51,055,675 | $ | 40,373,877 | $ | 51,055,675 | ||||||||
ULTRASHORT SILVER
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 8,037,431 | $ | (6,488,484 | ) | |||
| 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 | (49,994,362 | ) | (19,382,698 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 27,999,988 | 13,574,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,676 | ) | (27,476 | ) | ||||
| Net realized gain (loss) on investments | (85 | ) | — | |||||
| Change in unrealized appreciation (depreciation) on investments | (7,287,735 | ) | (8,024,323 | ) | ||||
| Decrease (Increase) in receivable on futures contracts | 39,445 | (499,230 | ) | |||||
| Decrease (Increase) in interest receivable | 335 | 3,740 | ||||||
| Increase (Decrease) in payable to Sponsor | 3,356 | 22,693 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | 1,471 | — | ||||||
| Increase (Decrease) in payable on futures contracts | 90,385 | 774,314 | ||||||
| Net cash provided by (used in) operating activities | (21,114,447 | ) | (20,047,464 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 89,788,249 | 122,851,884 | ||||||
| Payment on shares redeemed | (84,774,285 | ) | (79,141,888 | ) | ||||
| Net cash provided by (used in) financing activities | 5,013,964 | 43,709,996 | ||||||
Net increase (decrease) in cash | (16,100,483 | ) | 23,662,532 | |||||
| Cash, beginning of period | 32,155,049 | 6,646,212 | ||||||
| Cash, end of period | $ | 16,054,566 | $ | 30,308,744 | ||||
ULTRASHORT YEN
| 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) | 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, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively) | $ | 16,998,447 | $ | — | ||||
| Cash | 5,846,465 | 21,470,564 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 2,804,000 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 549,354 | 7,008 | ||||||
| Interest receivable | 361 | 914 | ||||||
| Total assets | 23,394,627 | 24,282,486 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable to Sponsor | 17,831 | 19,348 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 47,780 | 571,974 | ||||||
Non-recurring fees and expenses payable | 94 | 94 | ||||||
| Total liabilities | 65,705 | 591,416 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 23,328,922 | 23,691,070 | ||||||
| Total liabilities and shareholders’ equity | $ | 23,394,627 | $ | 24,282,486 | ||||
| Shares outstanding | 299,290 | 349,290 | ||||||
| Net asset value per share | $ | 77.95 | $ | 67.83 | ||||
| Market value per share (Note 2) | $ | 77.96 | $ | 67.81 | ||||
ULTRASHORT YEN
2021
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 270,629,525 | ||||||
|
| |||||||
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) | ||||||||||||||||||||
|
| |||||||||||||||||||
See accompanying notes to financial statements.
PROSHARES ULTRA SILVER
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 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See accompanying notes to financial statements.
PROSHARES ULTRA SILVER
STATEMENT 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 | ||
|
|
See accompanying notes to financial statements.
PROSHARES ULTRA SILVER
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 | ||||
|
|
|
| |||||
See accompanying notes to financial statements.
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) | 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 | ||||
|
|
|
| |||||
See accompanying notes to financial statements.
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2017
(unaudited)
| Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
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 | $ | 10,995,765 | ||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
| (73% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.006% due 10/21/21 † | $ | 3,000,000 | $ | 2,999,867 | ||||
| 0.043% due 11/18/21 | 4,000,000 | 3,999,813 | ||||||
| 0.037% due 01/20/22 | 10,000,000 | 9,998,767 | ||||||
| Total short-term U.S. government and agency obligations (cost $16,998,654) | $ | 16,998,447 | ||||||
| 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 | |||||||||||||||
|
| |||||||||||||||
Settlement Date | Contract Amount in Local Currency | Contract Amount in U.S. Dollars | Unrealized Appreciation (Depreciation)/ Value | |||||||||||||
Contracts to Purchase | ||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | 32,600,000 | $ | 292,895 | $ | (5,286 | ) | |||||||||
| Yen with UBS AG | 10/08/21 | 373,110,000 | 3,352,216 | (42,494 | ) | |||||||||||
| | Total Unrealized Depreciation | | $ | (47,780 | ) | |||||||||||
Contracts to Sell | ||||||||||||||||
| Yen with Goldman Sachs International | 10/08/21 | (1,558,854,165 | ) | $ | (14,005,562 | ) | $ | 143,685 | ||||||||
| Yen with UBS AG | 10/08/21 | (4,049,118,875 | ) | (36,379,405 | ) | 405,669 | ||||||||||
| | Total Unrealized Appreciation | | $ | 549,354 | ||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, |
| ^^ | Rates shown |
ULTRASHORT YEN
| 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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 2,392 | $ | 5,085 | $ | 9,558 | $ | 136,411 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 57,037 | 60,238 | 196,036 | 209,105 | ||||||||||||
Non-recurring fees and expenses | — | 717 | — | 717 | ||||||||||||
| Total expenses | 57,037 | 60,955 | 196,036 | 209,822 | ||||||||||||
| Net investment income (loss) | (54,645 | ) | (55,870 | ) | (186,478 | ) | (73,411 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Foreign currency forward contracts | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | ||||||||||
| Net realized gain (loss) | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Foreign currency forward contracts | (190,261 | ) | 200,915 | 1,066,540 | (427,974 | ) | ||||||||||
| Short-term U.S. government and agency obligations | 329 | 606 | (207 | ) | (1,113 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 1,066,333 | (429,087 | ) | ||||||||||
| Net realized and unrealized gain (loss) | 7,512 | (1,250,130 | ) | 4,121,436 | (2,276,510 | ) | ||||||||||
Net income (loss) | $ | (47,133 | ) | $ | (1,306,000 | ) | $ | 3,934,958 | $ | (2,349,921 | ) | |||||
STATEMENTULTRASHORT YEN
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 27,231,748 | $ | 29,787,034 | $ | 23,691,070 | $ | 38,132,320 | ||||||||
| Addition of –, –, 100,000 and 100,000 shares, respectively | — | — | 7,132,412 | 7,806,745 | ||||||||||||
| Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively | (3,855,693 | ) | (3,700,271 | ) | (11,429,518 | ) | (18,808,381 | ) | ||||||||
| Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively | (3,855,693 | ) | (3,700,271 | ) | (4,297,106 | ) | (11,001,636 | ) | ||||||||
| Net investment income (loss) | (54,645 | ) | (55,870 | ) | (186,478 | ) | (73,411 | ) | ||||||||
| Net realized gain (loss) | 197,444 | (1,451,651 | ) | 3,055,103 | (1,847,423 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | 1,066,333 | (429,087 | ) | ||||||||||
| Net income (loss) | (47,133 | ) | (1,306,000 | ) | 3,934,958 | (2,349,921 | ) | |||||||||
Shareholders’ equity, end of period | $ | 23,328,922 | $ | 24,780,763 | $ | 23,328,922 | $ | 24,780,763 | ||||||||
ULTRASHORT YEN
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | 3,934,958 | $ | (2,349,921 | ) | |||
| 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 | (43,494,229 | ) | (46,753,062 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 26,500,000 | 59,374,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (4,425 | ) | (78,419 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | (1,066,333 | ) | 429,087 | |||||
| Decrease (Increase) in interest receivable | 553 | 18,897 | ||||||
| Increase (Decrease) in payable to Sponsor | (1,517 | ) | (13,487 | ) | ||||
| Net cash provided by (used in) operating activities | (14,130,993 | ) | 10,627,095 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 7,132,412 | 7,806,745 | ||||||
| Payment on shares redeemed | (11,429,518 | ) | (18,808,381 | ) | ||||
| Net cash provided by (used in) financing activities | (4,297,106 | ) | (11,001,636 | ) | ||||
Net increase (decrease) in cash | (18,428,099 | ) | (374,541 | ) | ||||
| Cash, beginning of period | 24,274,564 | 12,507,112 | ||||||
| Cash, end of period | $ | 5,846,465 | $ | 12,132,571 | ||||
VIX
| September 30, 2017 (unaudited) | December 31, 2016 | |||||||
Assets | ||||||||
Cash | $ | 1,542,516 | $ | 604,691 | ||||
Short-term U.S. government and agency obligations (Note 3) | 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, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively) | $ | 61,995,036 | $ | 44,999,732 | ||||
| Cash | 43,870,674 | 14,723,084 | ||||||
| Segregated cash balances with brokers for futures contracts | 21,337,800 | 13,079,750 | ||||||
| Receivable on open futures contracts | 551,816 | 247,077 | ||||||
| Interest receivable | 1,638 | 643 | ||||||
| Total assets | 127,756,964 | 73,050,286 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | — | 915,787 | ||||||
| Brokerage commissions and futures account fees payable | 9,018 | 10,395 | ||||||
| Payable to Sponsor | 74,809 | 49,009 | ||||||
| Total liabilities | 83,827 | 975,191 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 127,673,137 | 72,075,095 | ||||||
| Total liabilities and shareholders’ equity | $ | 127,756,964 | $ | 73,050,286 | ||||
| Shares outstanding | 3,962,403 | 1,962,403 | ||||||
| Net asset value per share | $ | 32.22 | $ | 36.73 | ||||
| Market value per share (Note 2) | $ | 32.31 | $ | 36.70 | ||||
VIX
2021
| 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 | ||||||||
| (49% of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
| 0.006% due 10/21/21 | $ | 10,000,000 | $ | 9,999,556 | ||||
| 0.042% due 11/18/21 | 12,000,000 | 11,999,440 | ||||||
| 0.043% due 12/16/21 | 25,000,000 | 24,997,890 | ||||||
| 0.037% due 01/20/22 | 15,000,000 | 14,998,150 | ||||||
| Total short-term U.S. government and agency obligations (cost $61,995,381) | $ | 61,995,036 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires January 2022 | 872 | $ | 21,626,210 | $ | 1,256,557 | |||||||
| VIX Futures - Cboe, expires February 2022 | 1,677 | 42,304,841 | 1,690,707 | |||||||||
| VIX Futures - Cboe, expires March 2022 | 1,677 | 43,023,603 | 1,475,197 | |||||||||
| VIX Futures - Cboe, expires April 2022 | 804 | 20,765,953 | 394,387 | |||||||||
| $ | 4,816,848 | |||||||||||
| ^^ | Rates shown |
VIX
| 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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 8,914 | $ | 13,590 | $ | 27,487 | $ | 199,491 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 221,356 | 172,587 | 586,702 | 391,147 | ||||||||||||
| Brokerage commissions | 20,803 | 19,350 | 48,211 | 51,973 | ||||||||||||
| Futures account fees | 28,911 | 26,113 | 86,674 | 46,624 | ||||||||||||
| Total expenses | 271,070 | 218,050 | 721,587 | 489,744 | ||||||||||||
| Net investment income (loss) | (262,156 | ) | (204,460 | ) | (694,100 | ) | (290,253 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | ||||||||||
| Net realized gain (loss) | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | ||||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 10,651,835 | 1,751,675 | 5,950,464 | 5,422,315 | ||||||||||||
| Short-term U.S. government and agency obligations | 1,117 | 405 | (1,004 | ) | (898 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | 5,949,460 | 5,421,417 | ||||||||||||
| �� | ||||||||||||||||
| Net realized and unrealized gain (loss) | 6,628,819 | 2,507,925 | (8,940,899 | ) | 27,130,202 | |||||||||||
Net income (loss) | $ | 6,366,663 | $ | 2,303,465 | $ | (9,634,999 | ) | $ | 26,839,949 | |||||||
STATEMENTVIX
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 92,662,734 | $ | 59,085,470 | $ | 72,075,095 | $ | 45,986,584 | ||||||||
| Addition of 1,200,000, 1,150,000, 2,625,000 and 2,250,000 shares, respectively | 37,425,551 | 45,600,053 | 87,035,790 | 85,866,144 | ||||||||||||
| Redemption of 275,000, 125,000, 625,000 and 1,925,000 shares, respectively | (8,781,811 | ) | (5,031,468 | ) | (21,802,749 | ) | (56,735,157 | ) | ||||||||
| Net addition (redemption) of 925,000, 1,025,000, 2,000,000 and 325,000 shares, respectively | 28,643,740 | 40,568,585 | 65,233,041 | 29,130,987 | ||||||||||||
| Net investment income (loss) | (262,156 | ) | (204,460 | ) | (694,100 | ) | (290,253 | ) | ||||||||
| Net realized gain (loss) | (4,024,133 | ) | 755,845 | (14,890,359 | ) | 21,708,785 | ||||||||||
| Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | 5,949,460 | 5,421,417 | ||||||||||||
| Net income (loss) | 6,366,663 | 2,303,465 | (9,634,999 | ) | 26,839,949 | |||||||||||
Shareholders’ equity, end of period | $ | 127,673,137 | $ | 101,957,520 | $ | 127,673,137 | $ | 101,957,520 | ||||||||
VIX
| 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, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (9,634,999 | ) | $ | 26,839,949 | |||
| 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 | (112,984,923 | ) | (116,503,878 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 96,000,000 | 70,600,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (11,385 | ) | (104,027 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 1,004 | 898 | ||||||
| Decrease (Increase) in receivable on futures contracts | (304,739 | ) | (1,087,170 | ) | ||||
| Decrease (Increase) in interest receivable | (995 | ) | 32,512 | |||||
| Increase (Decrease) in payable to Sponsor | 25,800 | 40,237 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (1,377 | ) | 12,012 | |||||
| Increase (Decrease) in payable on futures contracts | — | (1,129,877 | ) | |||||
| Net cash provided by (used in) operating activities | (26,911,614 | ) | (21,299,344 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 87,035,790 | 85,866,144 | ||||||
| Payment on shares redeemed | (22,718,536 | ) | (56,735,157 | ) | ||||
| Net cash provided by (used in) financing activities | 64,317,254 | 29,130,987 | ||||||
Net increase (decrease) in cash | 37,405,640 | 7,831,643 | ||||||
| Cash, beginning of period | 27,802,834 | 33,130,653 | ||||||
| Cash, end of period | $ | 65,208,474 | $ | 40,962,296 | ||||
COMBINED VIX SHORT-TERM FUTURES ETF
| 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) | 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, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively) | $ | 127,990,204 | $ | 84,999,583 | ||||
| Cash | 107,057,042 | 71,736,247 | ||||||
| Segregated cash balances with brokers for futures contracts | 133,904,930 | 134,825,900 | ||||||
| Receivable on open futures contracts | 1,461,435 | 2,295,585 | ||||||
| Interest receivable | 3,891 | 2,815 | ||||||
| Total assets | 370,417,502 | 293,860,130 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable on open futures contracts | 1,413,813 | 231,900 | ||||||
| Brokerage commissions and futures account fees payable | 52,197 | 81,049 | ||||||
| Payable to Sponsor | 174,159 | 156,632 | ||||||
| Total liabilities | 1,640,169 | 469,581 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 368,777,333 | 293,390,549 | ||||||
| Total liabilities and shareholders’ equity | $ | 370,417,502 | $ | 293,860,130 | ||||
| Shares outstanding (Note 1) | 16,257,826 | 5,331,579 | ||||||
| Net asset value per share (Note 1) | $ | 22.68 | $ | 55.03 | ||||
| Market value per share (Note 1)(Note 2) | $ | 22.80 | $ | 54.96 | ||||
Principal Amount | Value | |||||||
Short-term U.S. government and agency obligations | ||||||||
( 35 % of shareholders’ equity) | ||||||||
U.S. Treasury Bills ^^ : | ||||||||
0.016 % due10/14/21 | $ | 30,000,000 | $ | 29,999,730 | ||||
0.043 % due11/18/21 | 8,000,000 | 7,999,626 | ||||||
0.043 % due12/16/21 | 50,000,000 | 49,995,780 | ||||||
0.037 % due01/20/22 | 40,000,000 | 39,995,068 | ||||||
Total short-term U.S. government and agency obligations (cost $ 127,990,453 ) | $ | 127,990,204 | ||||||
Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | ||||||||||
| VIX Futures - Cboe, expires October 2021 | 8,245 | $ | 188,545,011 | $ | 15,851,921 | |||||||
| VIX Futures - Cboe, expires November 2021 | 7,617 | 180,415,500 | 5,515,175 | |||||||||
| $ | 21,367,096 | |||||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 11,739 | $ | 34,770 | $ | 91,187 | $ | 1,117,617 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 660,051 | 560,301 | 2,154,874 | 1,584,861 | ||||||||||||
| Brokerage commissions | 97,516 | 66,969 | 365,013 | 311,826 | ||||||||||||
| Futures account fees | 151,758 | 165,725 | 591,272 | 278,752 | ||||||||||||
| Total expenses | 909,325 | 792,995 | 3,111,159 | 2,175,439 | ||||||||||||
| Net investment income (loss) | (897,586 | ) | (758,225 | ) | (3,019,972 | ) | (1,057,822 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | |||||||||
| Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | |||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 42,164,263 | 555,267 | 27,731,186 | 16,595,465 | ||||||||||||
| Short-term U.S. government and agency obligations | 4,034 | 1,199 | (1,396 | ) | (5,725 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | 27,729,790 | 16,589,740 | ||||||||||||
| Net realized and unrealized gain (loss) | (9,700,136 | ) | (74,563,669 | ) | (276,619,877 | ) | 266,361,676 | |||||||||
Net income (loss) | $ | (10,597,722 | ) | $ | (75,321,894 | ) | $ | (279,639,849 | ) | $ | 265,303,854 | |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Shareholders’ equity, beginning of period | $ | 272,352,675 | $ | 221,343,175 | $ | 293,390,549 | $ | 279,792,503 | ||||||||
| Addition of 6,300,000, 1,662,500, 16,556,250 and 4,331,250 shares, respectively (Note 1) | 142,476,815 | 156,332,956 | 593,853,539 | 342,792,630 | ||||||||||||
| Redemption of 1,350,000, 243,750, 5,630,003 and 6,618,750 shares, respectively (Note 1) | (35,454,435 | ) | (23,081,940 | ) | (238,826,906 | ) | (608,616,690 | ) | ||||||||
| Net addition (redemption) of 4,950,000, 1,418,750, 10,926,247 and (2,287,500) shares, respectively (Note 1) | 107,022,380 | 133,251,016 | 355,026,633 | (265,824,060 | ) | |||||||||||
| Net investment income (loss) | (897,586 | ) | (758,225 | ) | (3,019,972 | ) | (1,057,822 | ) | ||||||||
| Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | (304,349,667 | ) | 249,771,936 | |||||||||
| Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | 27,729,790 | 16,589,740 | ||||||||||||
| Net income (loss) | (10,597,722 | ) | (75,321,894 | ) | (279,639,849 | ) | 265,303,854 | |||||||||
Shareholders’ equity, end of period | $ | 368,777,333 | $ | 279,272,297 | $ | 368,777,333 | $ | 279,272,297 | ||||||||
Nine Months Ended September 30, | ||||||||
2021 | 2020 | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (279,639,849 | ) | $ | 265,303,854 | |||
| 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 | (425,941,319 | ) | (390,519,095 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 383,000,000 | 348,000,000 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (50,698 | ) | (589,708 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 1,396 | 5,725 | ||||||
| Decrease (Increase) in receivable on futures contracts | 834,150 | (6,431,358 | ) | |||||
| Decrease (Increase) in interest receivable | (1,076 | ) | 120,780 | |||||
| Increase (Decrease) in payable to Sponsor | 17,527 | 52,310 | ||||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (28,852 | ) | 59,366 | |||||
| Increase (Decrease) in payable on futures contracts | 1,181,913 | (12,920,593 | ) | |||||
| Net cash provided by (used in) operating activities | (320,626,808 | ) | 203,081,281 | |||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 593,853,539 | 342,792,630 | ||||||
| Payment on shares redeemed | (238,826,906 | ) | (608,616,690 | ) | ||||
| Net cash provided by (used in) financing activities | 355,026,633 | (265,824,060 | ) | |||||
Net increase (decrease) in cash | 34,399,825 | (62,742,779 | ) | |||||
| Cash, beginning of period | 206,562,147 | 194,935,341 | ||||||
| Cash, end of period | $ | 240,961,972 | $ | 132,192,562 | ||||
September 30, 2021 (unaudited) | December 31, 2020 | |||||||
Assets | ||||||||
| Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively) | $ | 2,327,838,468 | $ | 1,034,986,384 | ||||
| Cash | 778,499,094 | 1,651,161,384 | ||||||
| Segregated cash balances with brokers for futures contracts | 1,069,584,913 | 1,491,618,088 | ||||||
| Segregated cash balances with brokers for foreign currency forward contracts | — | 5,716,000 | ||||||
| Segregated cash balances with brokers for swap agreements | — | 107,967,985 | ||||||
| Unrealized appreciation on swap agreements | 83,740,160 | 80,135,841 | ||||||
| Unrealized appreciation on foreign currency forward contracts | 2,836,253 | 169,051 | ||||||
| Receivable from capital shares sold | 14,084,428 | 49,086,388 | ||||||
| Receivable on open futures contracts | 155,985,619 | 108,851,000 | ||||||
| Interest receivable | 40,866 | 66,871 | ||||||
| Total assets | 4,432,609,801 | 4,529,758,992 | ||||||
Liabilities and shareholders’ equity | ||||||||
Liabilities | ||||||||
| Payable for capital shares redeemed | 66,045,047 | 18,280,444 | ||||||
| Payable on open futures contracts | 24,303,801 | 27,874,393 | ||||||
| Brokerage commissions and futures account fees payable | 470,680 | 691,005 | ||||||
| Payable to Sponsor | 3,159,235 | 3,407,672 | ||||||
| Unrealized depreciation on swap agreements | 100,167,433 | 3,491,096 | ||||||
| Unrealized depreciation on foreign currency forward contracts | 429,828 | 1,714,898 | ||||||
Non-recurring fees and expenses payable | 75,570 | 48,070 | ||||||
| Total liabilities | 194,651,594 | 55,507,578 | ||||||
| Commitments and Contingencies (Note 2) | 0 | 0 | ||||||
Shareholders’ equity | ||||||||
| Shareholders’ equity | 4,237,958,207 | 4,474,251,414 | ||||||
| Total liabilities and shareholders’ equity | $ | 4,432,609,801 | $ | 4,529,758,992 | ||||
| Shares outstanding (Note 1) | 133,773,980 | 228,676,695 | ||||||
| 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 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020* | 2021 | 2020* | |||||||||||||
Investment Income | ||||||||||||||||
| Interest | $ | 225,068 | $ | 462,274 | $ | 1,311,362 | $ | 8,985,252 | ||||||||
Expenses | ||||||||||||||||
| Management fee | 9,892,153 | 11,098,146 | 32,386,686 | 24,755,322 | ||||||||||||
| Brokerage commissions | 1,808,557 | 2,304,413 | 6,704,455 | 6,308,753 | ||||||||||||
| Futures account fees | 1,447,030 | 2,459,918 | 5,996,930 | 4,208,471 | ||||||||||||
Non-recurring fees and expenses | 27,500 | 75,802 | 27,500 | 75,802 | ||||||||||||
| Total expenses | 13,175,240 | 15,938,279 | 45,115,571 | 35,348,348 | ||||||||||||
| Net investment income (loss) | (12,950,172 | ) | (15,476,005 | ) | (43,804,209 | ) | (26,363,096 | ) | ||||||||
Realized and unrealized gain (loss) on investment activity | ||||||||||||||||
Net realized gain (loss) on | ||||||||||||||||
| Futures contracts | (240,784,887 | ) | (171,502,419 | ) | (1,427,934,171 | ) | 110,215,750 | |||||||||
| Swap agreements | (160,769,089 | ) | 173,110,242 | 50,628,405 | (794,321,232 | ) | ||||||||||
| Options | — | — | — | (9,707,000 | ) | |||||||||||
| Foreign currency forward contracts | 2,892,137 | (8,394,521 | ) | 4,813,162 | (10,216,017 | ) | ||||||||||
| Short-term U.S. government and agency obligations | (10,753 | ) | (5 | ) | 11,145 | 296,893 | ||||||||||
| Net realized gain (loss) | (398,672,592 | ) | (6,786,703 | ) | (1,372,481,459 | ) | (703,731,606 | ) | ||||||||
Change in net unrealized appreciation (depreciation) on | ||||||||||||||||
| Futures contracts | 158,443,180 | (249,176,198 | ) | 230,326,477 | 178,965,282 | |||||||||||
| Swap agreements | 38,179,426 | (160,810,119 | ) | (93,072,018 | ) | (184,272,631 | ) | |||||||||
| Foreign currency forward contracts | (724,910 | ) | 1,639,005 | 3,952,272 | 2,861,284 | |||||||||||
| Short-term U.S. government and agency obligations | 88,814 | 9,658 | (38,045 | ) | (61,092 | ) | ||||||||||
| Change in net unrealized appreciation (depreciation) | 195,986,510 | (408,337,654 | ) | 141,168,686 | (2,507,157 | ) | ||||||||||
| Net realized and unrealized gain (loss) | (202,686,082 | ) | (415,124,357 | ) | (1,231,312,773 | ) | (706,238,763 | ) | ||||||||
Net income (loss) | $ | (215,636,254 | ) | $ | (430,600,362 | ) | $ | (1,275,116,982 | ) | $ | (732,601,859 | ) | ||||
| * | The operations include the activity of ProShares |
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017
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 | ||
|
|
See accompanying notes to financial statements.
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(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 | ||||
|
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|
| |||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2021 | 2020* | 2021 | 2020* | |||||||||||||
Shareholders’ equity, beginning of period | $ | 4,404,846,864 | $ | 4,052,758,690 | $ | 4,474,251,414 | $ | 2,356,325,101 | ||||||||
| Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1) | 1,649,296,999 | 2,922,142,022 | 5,597,393,110 | 9,686,341,059 | ||||||||||||
| Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1) | (1,600,549,402 | ) | (2,015,018,595 | ) | (4,558,569,335 | ) | (6,780,782,546 | ) | ||||||||
| Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively (Note 1) | 48,747,597 | 907,123,427 | 1,038,823,775 | 2,905,558,513 | ||||||||||||
| Net investment income (loss) | (12,950,172 | ) | (15,476,005 | ) | (43,804,209 | ) | (26,363,096 | ) | ||||||||
| Net realized gain (loss) | (398,672,592 | ) | (6,786,703 | ) | (1,372,481,459 | ) | (703,731,606 | ) | ||||||||
| Change in net unrealized appreciation (depreciation) | 195,986,510 | (408,337,654 | ) | 141,168,686 | (2,507,157 | ) | ||||||||||
| Net income (loss) | (215,636,254 | ) | (430,600,362 | ) | (1,275,116,982 | ) | (732,601,859 | ) | ||||||||
Shareholders’ equity, end of period | $ | 4,237,958,207 | $ | 4,529,281,755 | $ | 4,237,958,207 | $ | 4,529,281,755 | ||||||||
| * | The operations include the activity of ProShares |
Nine Months Ended September 30, | ||||||||
2021 | 2020* | |||||||
Cash flow from operating activities | ||||||||
| Net income (loss) | $ | (1,275,116,982 | ) | $ | (732,601,859 | ) | ||
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
| Purchases of short-term U.S. government and agency obligations | (6,612,113,856 | ) | (4,582,922,901 | ) | ||||
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | 5,319,975,559 | 3,736,919,081 | ||||||
| Net amortization and accretion on short-term U.S. government and agency obligations | (740,687 | ) | (5,453,567 | ) | ||||
| Net realized gain (loss) on investments | (11,145 | ) | (296,893 | ) | ||||
| Change in unrealized appreciation (depreciation) on investments | 89,157,791 | 181,472,439 | ||||||
| Decrease (Increase) in securities sold receivable | — | (242,309 | ) | |||||
| Decrease (Increase) in receivable on futures contracts | (47,134,619 | ) | (161,192,003 | ) | ||||
| Decrease (Increase) in interest receivable | 26,005 | 916,323 | ||||||
| Increase (Decrease) in payable to Sponsor | (248,437 | ) | 1,913,708 | |||||
| Increase (Decrease) in brokerage commissions and futures account fees payable | (220,325 | ) | 583,315 | |||||
| Increase (Decrease) in payable on futures contracts | (3,570,592 | ) | (32,538,644 | ) | ||||
Increase (Decrease) in non-recurring fees and expenses payable | 27,500 | — | ||||||
| Net cash provided by (used in) operating activities | (2,529,969,788 | ) | (1,593,443,310 | ) | ||||
Cash flow from financing activities | ||||||||
| Proceeds from addition of shares | 5,632,395,070 | 9,655,286,527 | ||||||
| Payment on shares redeemed | (4,510,804,732 | ) | (6,721,603,064 | ) | ||||
| Net cash provided by (used in) financing activities | 1,121,590,338 | 2,933,683,463 | ||||||
Net increase (decrease) in cash | (1,408,379,450 | ) | 1,340,240,153 | |||||
| Cash, beginning of period | 3,256,463,457 | 1,190,195,205 | ||||||
| Cash, end of period | $ | 1,848,084,007 | $ | 2,530,435,358 | ||||
| * | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
2021
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.
Fund’s next NAV calculation.
Each
nine months ended September 30, 2017.2021, and during the year ended December 31, 2020. 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
| ||||||
| ProShares | April 20, 2020 | 1-for-25 reverse Share split | April 21, 2020 | ||||||
| ProShares Ultra Bloomberg Natural Gas |
|
1-for-10 reverse Share split |
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ProShares Ultra VIX Short-Term Futures ETF |
|
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| ||||||
| ProShares UltraShort Bloomberg Crude Oil |
|
1-for-4 reverse Share split |
| ||||||
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| ProShares UltraShort Silver |
| 1-for-4 reverse Share split |
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ProShares VIX Short-Term Futures ETF |
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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.
with the instructions for FormSEC.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 Form2016,2020, as filed with the SEC on March 1, 2017.
February 19, 2021.
Statement
| ||||||||||||
Create/Redeem | NAV Calculation | NAV | ||||||||||
Fund | Cut-off* | Time | Calculation Date | |||||||||
| Ultra Silver and UltraShort Silver | 1:00 | 1:25 p.m. | September 30, 2021 | |||||||||
| Ultra Gold and UltraShort Gold | 1:00 p.m. | 1:30 p.m. | September 30, 2021 | |||||||||
| Ultra Bloomberg Crude Oil, | ||||||||||||
| ||||||||||||
| UltraShort Bloomberg Crude Oil and | ||||||||||||
UltraShort Bloomberg
| Natural Gas | 2:00 p.m. | 2:30 p.m. | |||||||||
| Short Euro, | ||||||||||||
| ||||||||||||
| ||||||||||||
UltraShort
| ||||||||||||
| UltraShort Euro and | ||||||||||||
| UltraShort Yen | 3:00 p.m. | 4:00 p.m. | September 30, 2021 | |||||||||
| Short VIX Short-Term Futures ETF**, | ||||||||||||
| Ultra VIX Short-Term Futures ETF**, | ||||||||||||
| VIX Mid-Term Futures ETF** and | ||||||||||||
| VIX Short-Term Futures ETF** | 2:00 p.m. | September 30, | ||||||||||
| ||||||||||||
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| 2021 | |||||||||||
| * | 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, |
| ** | On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). |
2021.
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, 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.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.
The following table summarizes the valuation
| The following table summarizes the valuation of investments at September 30, 2021 using the fair value hierarchy: |
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
| ProShares Short Euro | $ | — | $ | 46,781 | $ | — | $ | — | $ | 46,781 | ||||||||||
ProShares Short VIX Short-Term Fut u res ETF | 129,992,467 | (6,181,978 | ) | — | — | 123,810,489 | ||||||||||||||
| ProShares Ultra Bloomberg Crude Oil | 834,942,326 | 268,004,313 | — | 70,885,762 | 1,173,832,401 | |||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 32,997,127 | 42,185,730 | — | — | 75,182,857 | |||||||||||||||
| ProShares Ultra Euro | 999,916 | — | (162,686 | ) | — | 837,230 | ||||||||||||||
| ProShares Ultra Gold | 185,985,614 | (3,936,408 | ) | — | (7,406,864 | ) | 174,642,342 | |||||||||||||
| ProShares Ultra Silver | 494,966,819 | (5,439,801 | ) | — | (92,760,569 | ) | 396,766,449 | |||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 274,984,707 | 90,018,882 | — | 7,933,765 | 372,937,354 | |||||||||||||||
| ProShares Ultra Yen | 999,953 | — | (59,266 | ) | — | 940,687 | ||||||||||||||
| ProShares UltraShort Australian Dollar | — | 182,163 | — | — | 182,163 | |||||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | 32,997,116 | (20,466,160 | ) | — | — | 12,530,956 | ||||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 56,993,148 | (35,288,843 | ) | — | — | 21,704,305 | ||||||||||||||
| ProShares UltraShort Euro | 34,997,817 | — | 2,126,803 | — | 37,124,620 | |||||||||||||||
| ProShares UltraShort Gold | 17,998,972 | 432,050 | — | 830,123 | 19,261,145 | |||||||||||||||
| ProShares UltraShort Silver | 21,998,799 | 2,955,976 | — | 4,090,510 | 29,045,285 | |||||||||||||||
| ProShares UltraShort Yen | 16,998,447 | — | 501,574 | — | 17,500,021 | |||||||||||||||
ProShares VIX Mid-Term Futures ETF | 61,995,036 | 4,816,848 | — | — | 66,811,884 | |||||||||||||||
| ProShares VIX Short-Term Futures ETF | 127,990,204 | 21,367,096 | — | — | 149,357,300 | |||||||||||||||
Total Trust | $ | 2,327,838,468 | $ | 358,696,649 | $ | 2,406,425 | $ | (16,427,273 | ) | $ | 2,672,514,269 | |||||||||
| * | Includes cumulative |
The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy: | ||||||||||||||||||||
Level I - Quoted Prices | Level II - Other Significant Observable Inputs | |||||||||||||||||||
Fund | Short-Term U.S. Government and Agencies | Futures Contracts * | Foreign Currency Forward Contracts | Swap Agreements | Total | |||||||||||||||
| ProShares Short Euro | $ | — | $ | (44,626 | ) | $ | — | $ | — | $ | (44,626 | ) | ||||||||
| ProShares Short VIX Short-Term Futures ETF | 69,999,639 | 8,348,783 | — | — | 78,348,422 | |||||||||||||||
| ProShares Ultra Bloomberg Crude Oil | 219,998,394 | 144,564,039 | — | 18,242,195 | 382,804,628 | |||||||||||||||
| ProShares Ultra Bloomberg Natural Gas | 29,999,889 | 6,500,721 | — | — | 36,500,610 | |||||||||||||||
| ProShares Ultra Euro | — | — | 88,736 | — | 88,736 | |||||||||||||||
| ProShares Ultra Gold | 74,999,467 | 2,646,874 | — | 5,140,980 | 82,787,321 | |||||||||||||||
| ProShares Ultra Silver | 244,993,989 | 37,190,212 | — | 56,752,666 | 338,936,867 | |||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 244,995,969 | (48,524,666 | ) | — | (24,807 | ) | 196,446,496 | |||||||||||||
| ProShares Ultra Yen | — | — | 67,087 | — | 67,087 | |||||||||||||||
| ProShares UltraShort Australian Dollar | — | (138,950 | ) | — | — | (138,950 | ) | |||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | (14,636,813 | ) | — | — | (14,636,813 | ) | |||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 9,999,861 | 379,310 | — | — | 10,379,171 | |||||||||||||||
| ProShares UltraShort Euro | 9,999,861 | — | (1,136,704 | ) | — | 8,863,157 | ||||||||||||||
| ProShares UltraShort Gold | — | (196,930 | ) | — | (268,728 | ) | (465,658 | ) | ||||||||||||
| ProShares UltraShort Silver | — | (220,076 | ) | — | (3,197,561 | ) | (3,417,637 | ) | ||||||||||||
| ProShares UltraShort Yen | — | — | (564,966 | ) | — | (564,966 | ) | |||||||||||||
ProShares VIX Mid-Term Futures ETF | 44,999,732 | (1,133,616 | ) | — | — | 43,866,116 | ||||||||||||||
| ProShares VIX Short-Term Futures ETF | 84,999,583 | (6,364,090 | ) | — | — | 78,635,493 | ||||||||||||||
Total Trust | $ | 1,034,986,384 | $ | 128,370,172 | $ | (1,545,847 | ) | $ | 76,644,745 | $ | 1,238,455,454 | |||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. |
At September 30, 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
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 | |||||||||||||||||
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Total Trust | $ | 3,038,848,441 | $ | (12,558,496 | ) | $ | (20,989,484 | ) | $ | 31,991,782 | $ | 43,151,690 | $ | 3,080,443,933 | ||||||||||
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.
Pronouncement
Cash” (“the Effects of Reference Rate Reform on Financial Reporting.” ASU2016-18”), which amends ASC 230
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.
prospectively, if applicable.
The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These
owes the Fund, subject to certain minimum thresholds. In the event of thea bankruptcy of a counterparty, thesuch 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, 2017,2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
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* | |||||||||||
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 | $ | — | $ | 6,181,978 | * | |||||||||
| ProShares Ultra VIX Short-Term Futures ETF | 97,952,647 | * | — | |||||||||||
| ProShares VIX Mid-Term Futures ETF | 4,816,848 | * | — | |||||||||||
| ProShares VIX Short-Term Futures ETF | 21,367,096 | * | — | |||||||||||
| 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 | 338,890,075 | * | — | |||||||||||
| ProShares Ultra Bloomberg Natural Gas | 42,185,730 | * | — | |||||||||||
| ProShares Ultra Gold | — | 11,343,272 | * | |||||||||||
| ProShares Ultra Silver | — | 98,200,370 | * | |||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | 20,466,160 | * | |||||||||||
| ProShares UltraShort Bloomberg Natural Gas | — | 35,288,843 | * | |||||||||||
| ProShares UltraShort Gold | 1,262,173 | * | — | |||||||||||
| ProShares UltraShort Silver | 7,046,486 | * | — | |||||||||||
| 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 | 46,781 | * | – | |||||||||||
| ProShares Ultra Euro | 2,136 | 164,822 | ||||||||||||
| ProShares Ultra Yen | 757 | 60,023 | ||||||||||||
| ProShares UltraShort Australian Dollar | 182,163 | * | – | |||||||||||
| ProShares UltraShort Euro | 2,284,006 | 157,203 | ||||||||||||
| ProShares UltraShort Yen | 549,354 | 47,780 | ||||||||||||
Total Trust | $ | 516,586,252 | * | $ | 171,910,451 | * | ||||||||
| * | Includes cumulative open futures. |
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 | $ | 8,348,783 | * | $ | — | |||||||||
| ProShares Ultra VIX Short-Term Futures ETF | — | 48,549,473 | * | |||||||||||
| ProShares VIX Mid-Term Futures ETF | 147,915 | * | 1,281,531 | * | ||||||||||
| ProShares VIX Short-Term Futures ETF | — | 6,364,090 | * | |||||||||||
| 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 | 162,806,234 | * | — | |||||||||||
| ProShares Ultra Bloomberg Natural Gas | 6,500,721 | * | — | |||||||||||
| ProShares Ultra Gold | 7,787,854 | * | — | |||||||||||
| ProShares Ultra Silver | 93,942,878 | * | — | |||||||||||
| ProShares UltraShort Bloomberg Crude Oil | — | 14,636,813 | * | |||||||||||
| ProShares UltraShort Bloomberg Natural Gas | 379,310 | * | — | |||||||||||
| ProShares UltraShort Gold | — | 465,658 | * | |||||||||||
| ProShares UltraShort Silver | — | 3,417,637 | * | |||||||||||
| 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 | — | 44,626 | * | |||||||||||
| ProShares Ultra Euro | 89,103 | 367 | ||||||||||||
| ProShares Ultra Yen | 67,235 | 148 | ||||||||||||
| ProShares UltraShort Australian Dollar | — | 138,950 | * | |||||||||||
| ProShares UltraShort Euro | 5,705 | 1,142,409 | ||||||||||||
| ProShares UltraShort Yen | 7,008 | 571,974 | ||||||||||||
Total Trust | $ | 280,082,746 | * | $ | 76,613,676 | * | ||||||||
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 | $ | 34,573,906 | $ | (43,362,244 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (198,380,990 | ) | 186,737,241 | |||||||||
ProShares VIX Mid-Term Futures ETF | (4,024,133 | ) | 10,651,835 | |||||||||
| ProShares VIX Short-Term Futures ETF | (51,868,433 | ) | 42,164,263 | |||||||||
| 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 | 106,330,563 | (16,910,039 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 33,925,711 | 25,134,988 | ||||||||||
| ProShares Ultra Gold | (21,858,089 | ) | 15,564,318 | |||||||||
| ProShares Ultra Silver | (201,315,310 | ) | (6,040,776 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (11,449,562 | ) | (1,521,543 | ) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | (95,609,878 | ) | (17,870,697 | ) | ||||||||
| ProShares UltraShort Gold | 1,213,721 | (1,898,585 | ) | |||||||||
| ProShares UltraShort Silver | 6,662,145 | 3,921,845 | ||||||||||
| 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 | 57,489 | (4,770 | ) | |||||||||
| ProShares Ultra Euro | (254,219 | ) | 72,810 | |||||||||
| ProShares Ultra Yen | (25,554 | ) | 10,988 | |||||||||
| ProShares UltraShort Australian Dollar | 188,884 | 56,770 | ||||||||||
| ProShares UltraShort Euro | 2,974,466 | (618,447 | ) | |||||||||
| ProShares UltraShort Yen | 197,444 | (190,261 | ) | |||||||||
Total Trust | $ | (398,661,839 | ) | $ | 195,897,696 | |||||||
| * | 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 |
Fair Value
as of December 31, 2016
Assets Derivatives | Liability Derivatives | |||||||||||||||
Derivatives not 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 | * | |||||||||
Contents
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 | $ | 168,120,340 | $ | (14,530,761 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (1,757,428,075 | ) | 146,502,120 | |||||||||
ProShares VIX Mid-Term Futures ETF | (14,890,359 | ) | 5,950,464 | |||||||||
| ProShares VIX Short-Term Futures ETF | (304,349,667 | ) | 27,731,186 | |||||||||
| 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 | 761,187,450 | 176,083,841 | ||||||||||
| ProShares Ultra Bloomberg Natural Gas | 80,409,384 | 35,685,009 | ||||||||||
| ProShares Ultra Gold | (27,599,854 | ) | (19,131,126 | ) | ||||||||
| ProShares Ultra Silver | (80,034,280 | ) | (192,143,248 | ) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | (86,637,748 | ) | (5,829,347 | ) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | (112,274,576 | ) | (35,668,153 | ) | ||||||||
| ProShares UltraShort Gold | (1,767,636 | ) | 1,727,831 | |||||||||
| ProShares UltraShort Silver | (2,146,662 | ) | 10,464,123 | |||||||||
| 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 | 88,710 | 91,407 | ||||||||||
| ProShares Ultra Euro | (186,149 | ) | (251,422 | ) | ||||||||
| ProShares Ultra Yen | (305,028 | ) | (126,353 | ) | ||||||||
| ProShares UltraShort Australian Dollar | 17,207 | 321,113 | ||||||||||
| ProShares UltraShort Euro | 2,249,236 | 3,263,507 | ||||||||||
| ProShares UltraShort Yen | 3,055,103 | 1,066,540 | ||||||||||
Total Trust | $ | (1,372,492,604 | ) | $ | 141,206,731 | |||||||
Derivatives not accounted for as | 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 | ||||||||
2020
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 | $ | 60,593,315 | $ | (1,463,210 | ) | |||||||
| ProShares Ultra VIX Short-Term Futures ETF | (559,537,850 | ) | 15,302,015 | |||||||||
ProShares VIX Mid-Term Futures ETF | 755,845 | 1,751,675 | ||||||||||
| ProShares VIX Short-Term Futures ETF | (75,120,135 | ) | 555,267 | |||||||||
| 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 | 285,954,263 | (232,623,755 | ) | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 41,156,156 | (4,754,372 | ) | |||||||||
| ProShares Ultra Gold | 25,742,296 | (18,057,616 | ) | |||||||||
| ProShares Ultra Silver | 290,238,797 | (199,321,544 | ) | |||||||||
| ProShares UltraShort Bloomberg Crude Oil | (16,296,829 | ) | 5,848,114 | |||||||||
| ProShares UltraShort Bloomberg Natural Gas | (31,450,011 | ) | 8,968,702 | |||||||||
| ProShares UltraShort Gold | (4,021,537 | ) | 2,688,730 | |||||||||
| ProShares UltraShort Silver | (15,896,820 | ) | 11,129,646 | |||||||||
| 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 | (77,567 | ) | (14,989 | ) | ||||||||
| ProShares Ultra Euro | 441,714 | (84,317 | ) | |||||||||
| ProShares Ultra Yen | 126,569 | (1,524 | ) | |||||||||
| ProShares UltraShort Australian Dollar | (432,100 | ) | 5,020 | |||||||||
| ProShares UltraShort Euro | (7,511,153 | ) | 1,523,931 | |||||||||
| ProShares UltraShort Yen | (1,451,651 | ) | 200,915 | |||||||||
Total Trust | $ | (6,786,698 | ) | $ | (408,347,312 | ) | ||||||
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
| 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 Effect2020
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 | $ | (129,091,526 | ) | $ | (2,706,204 | ) | ||||||
| ProShares Ultra VIX Short-Term Futures ETF | 58,666,590 | 66,331,637 | ||||||||||
ProShares VIX Mid-Term Futures ETF | 21,708,785 | 5,422,315 | ||||||||||
| ProShares VIX Short-Term Futures ETF | 249,771,936 | 16,595,465 | ||||||||||
| 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 | (891,179,560 | ) | 106,147,368 | |||||||||
| ProShares Ultra Bloomberg Natural Gas | 2,225,390 | (4,336,578 | ) | |||||||||
| ProShares Ultra Gold | 51,605,680 | (11,257,214 | ) | |||||||||
| ProShares Ultra Silver | 297,927,456 | (215,072,789 | ) | |||||||||
| ProShares UltraShort Bloomberg Crude Oil | 28,429,846 | 7,230,908 | ||||||||||
| ProShares UltraShort Bloomberg Natural Gas | (20,587,193 | ) | 9,530,001 | |||||||||
| ProShares UltraShort Gold | (12,041,690 | ) | 2,727,600 | |||||||||
| ProShares UltraShort Silver | (18,932,319 | ) | 12,566,735 | |||||||||
| 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 | (116,225 | ) | 31,531 | |||||||||
| ProShares Ultra Euro | 369,811 | (208,243 | ) | |||||||||
| ProShares Ultra Yen | 11,333 | 48,104 | ||||||||||
| ProShares UltraShort Australian Dollar | (799,054 | ) | 390,370 | |||||||||
| ProShares UltraShort Euro | (8,749,738 | ) | 3,449,397 | |||||||||
| ProShares UltraShort Yen | (1,847,423 | ) | (427,974 | ) | ||||||||
Total Trust | $ | (372,627,901 | ) | $ | (3,537,571 | ) | ||||||
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 | ||||||||||||||||||
2021.
Fair Values of Derivative Instruments as of September 30, 2021 | ||||||||||||||||||||||||
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 | $ | 70,885,762 | $ | 0 | $ | 70,885,762 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
| ProShares Ultra Euro | ||||||||||||||||||||||||
| Foreign currency forward contracts | 2,136 | 0 | 2,136 | 164,822 | 0 | 164,822 | ||||||||||||||||||
| ProShares Ultra Gold | ||||||||||||||||||||||||
| Swap agreements | 0 | 0 | 0 | 7,406,864 | 0 | 7,406,864 | ||||||||||||||||||
| ProShares Ultra Silver | ||||||||||||||||||||||||
| Swap agreements | 0 | 0 | 0 | 92,760,569 | 0 | 92,760,569 | ||||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||||||
| Swap agreements | 7,933,765 | 0 | 7,933,765 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares Ultra Yen | ||||||||||||||||||||||||
| Foreign currency forward contracts | 757 | 0 | 757 | 60,023 | 0 | 60,023 | ||||||||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||||||||||
| Foreign currency forward contracts | 2,284,006 | 0 | 2,284,006 | 157,203 | 0 | 157,203 | ||||||||||||||||||
| ProShares UltraShort Gold | ||||||||||||||||||||||||
| Swap agreements | 830,123 | 0 | 830,123 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares UltraShort Silver | ||||||||||||||||||||||||
| Swap agreements | 4,090,510 | 0 | 4,090,510 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||||||||||||
| Foreign currency forward contracts | 549,354 | 0 | 549,354 | 47,780 | 0 | 47,780 | ||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2017 ProShares UltraShort Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Euro Goldman Sachs International UBS AG ProShares UltraShort Yen Goldman Sachs International UBS AG ProShares Ultra Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Euro Goldman Sachs International UBS AG ProShares Ultra Yen Goldman Sachs International UBS AG 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 $ (6,092,070 ) $ 6,092,070 $ — $ — (3,900,635 ) 3,900,635 — — (514,835 ) 514,835 — — (3,170,837 ) 3,170,837 — — 1,045,390 — — 1,045,390 835,086 (692,611 ) — 142,475 267,146 (267,146 ) — — 813,983 — (660,000 ) 153,983 775,445 — — 775,445 671,956 — — 671,956 143,987 — — 143,987 561,045 — (350,000 ) 211,045 2,034,015 (2,034,015 ) — — 1,865,678 — (1,865,678 ) — 4,588,344 (4,588,344 ) — — 4,658,535 — (4,550,000 ) 108,535 13,855,515 — — 13,855,515 11,965,958 (11,930,988 ) — 34,970 4,548,744 (4,548,744 ) — — 10,426,683 — (9,900,000 ) 526,683 (2,994,458 ) 2,994,458 — — (2,118,074 ) 2,118,074 — — (1,015,643 ) 1,015,643 — — (2,325,252 ) 2,325,252 — — (9,405,158 ) 9,405,158 — — (7,478,422 ) 7,478,422 — — (3,531,263 ) 3,531,263 — — (7,828,959 ) 7,828,959 — — (103,093 ) 103,093 — — (106,267 ) 106,267 — — (216,458 ) 216,458 — — (178,851 ) 27,993 — (150,858 )
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021 | ||||||||||||||||
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. | $ | 10,910,833 | $ | 0 | $ | (10,820,000 | ) | $ | 90,833 | |||||||
| Goldman Sachs International | 15,436,191 | (15,436,191 | ) | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | 18,898,011 | 0 | (18,898,011 | ) | 0 | |||||||||||
| Societe Generale | 10,305,144 | (10,302,497 | ) | (2,648 | ) | 0 | ||||||||||
| UBS AG | 15,335,583 | 0 | (15,200,000 | ) | 135,583 | |||||||||||
| ProShares Ultra Euro | ||||||||||||||||
| Goldman Sachs International | (89,604 | ) | 89,604 | 0 | 0 | |||||||||||
| UBS AG | (73,082 | ) | 73,082 | 0 | 0 | |||||||||||
| ProShares Ultra Gold | ||||||||||||||||
| Citibank, N.A. | (2,550,199 | ) | 2,550,199 | 0 | 0 | |||||||||||
| Goldman Sachs International | (2,203,785 | ) | 2,203,785 | 0 | 0 | |||||||||||
| UBS AG | (2,652,880 | ) | 2,652,880 | 0 | 0 | |||||||||||
| ProShares Ultra Silver | ||||||||||||||||
| Citibank, N.A. | (28,588,785 | ) | 28,588,785 | 0 | 0 | |||||||||||
| Goldman Sachs International | (23,220,141 | ) | 23,220,141 | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | (21,635,372 | ) | 21,635,372 | 0 | 0 | |||||||||||
| UBS AG | (19,316,271 | ) | 19,316,271 | 0 | 0 | |||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
| Goldman Sachs & Co. | 7,933,765 | (7,933,765 | ) | 0 | 0 | |||||||||||
| ProShares Ultra Yen | ||||||||||||||||
| Goldman Sachs International | (34,487 | ) | 34,487 | 0 | 0 | |||||||||||
| UBS AG | (24,779 | ) | 24,779 | 0 | 0 | |||||||||||
| ProShares UltraShort Euro | ||||||||||||||||
| Goldman Sachs International | 1,000,511 | (970,612 | ) | 0 | 29,899 | |||||||||||
| UBS AG | 1,126,292 | 0 | (1,070,000 | ) | 56,292 | |||||||||||
| ProShares UltraShort Gold | ||||||||||||||||
| Citibank, N.A. | 340,577 | 0 | (340,577 | ) | 0 | |||||||||||
| Goldman Sachs International | 223,115 | (223,115 | ) | 0 | 0 | |||||||||||
| UBS AG | 266,431 | 0 | (266,431 | ) | 0 | |||||||||||
| ProShares UltraShort Silver | ||||||||||||||||
| Citibank, N.A. | 782,817 | 0 | (782,817 | ) | 0 | |||||||||||
| Goldman Sachs International | 1,036,372 | (1,036,372 | ) | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | 819,178 | 0 | (819,178 | ) | 0 | |||||||||||
| UBS AG | 1,452,143 | 0 | (1,452,143 | ) | 0 | |||||||||||
| ProShares UltraShort Yen | ||||||||||||||||
| Goldman Sachs International | 138,399 | 0 | 0 | 138,399 | ||||||||||||
| UBS AG | 363,175 | 0 | (363,175 | ) | 0 | |||||||||||
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 | ||||||||||||||||||
2020:
Fair Values of Derivative Instruments as of December 31, 2020 | ||||||||||||||||||||||||
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 | $ | 18,242,195 | $ | 0 | $ | 18,242,195 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
| ProShares Ultra Euro Foreign currency forward contracts | 89,103 | 0 | 89,103 | 367 | 0 | 367 | ||||||||||||||||||
| ProShares Ultra Gold Swap agreements | 5,140,980 | 0 | 5,140,980 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares Ultra Silver Swap agreements | 56,752,666 | 0 | 56,752,666 | 0 | 0 | 0 | ||||||||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF Swap agreements | 0 | 0 | 0 | 24,807 | 0 | 24,807 | ||||||||||||||||||
| ProShares Ultra Yen Foreign currency forward contracts | 67,235 | 0 | 67,235 | 148 | 0 | 148 | ||||||||||||||||||
| ProShares UltraShort Euro Foreign currency forward contracts | 5,705 | 0 | 5,705 | 1,142,409 | 0 | 1,142,409 | ||||||||||||||||||
| ProShares UltraShort Gold Swap agreements | 0 | 0 | 0 | 268,728 | 0 | 268,728 | ||||||||||||||||||
| ProShares UltraShort Silver Swap agreements | 0 | 0 | 0 | 3,197,561 | 0 | 3,197,561 | ||||||||||||||||||
| ProShares UltraShort Yen Foreign currency forward contracts | 7,008 | 0 | 7,008 | 571,974 | 0 | 571,974 | ||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2016 ProShares UltraShort Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares UltraShort Euro Goldman Sachs International UBS AG ProShares UltraShort Yen Goldman Sachs International UBS AG ProShares Ultra Bloomberg Crude Oil Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Gold Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Silver Citibank, N.A. Goldman Sachs International Societe Generale UBS AG ProShares Ultra Euro Goldman Sachs International UBS AG ProShares Ultra Yen Goldman Sachs International UBS AG 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 $ (4,742,191 ) $ 4,742,191 $ — $ — (3,061,395 ) 3,061,395 — — (1,050,699 ) 1,050,699 — — (3,352,596 ) 3,352,596 — — 1,147,811 — — 1,147,811 881,454 (874,948 ) — 6,506 393,006 (393,006 ) — — 611,295 — (611,295 ) — 610,478 — — 610,478 323,829 (323,829 ) — — 86,543 (86,543 ) — — 363,396 — (363,396 ) — 8,109,067 (8,109,067 ) — — 8,053,864 — (8,053,864 ) — 8,256,779 (7,771,819 ) — 484,960 8,488,158 — (7,980,000 ) 508,158 18,427,009 — — 18,427,009 14,016,906 (14,016,906 ) — — 8,661,821 (8,661,821 ) — — 14,252,835 — (14,252,835 ) — (1,464,982 ) 1,464,982 — — (1,112,916 ) 1,112,916 — — (643,587 ) 643,587 — — (1,209,622 ) 1,209,622 — — (6,946,009 ) 6,946,009 — — (5,869,092 ) 5,869,092 — — (2,532,729 ) 2,532,729 — — (5,628,359 ) 5,628,359 — — (239,256 ) 239,256 — — (334,754 ) 334,754 — — (219,736 ) 219,736 — — (122,340 ) 122,340 — —
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 | ||||||||||||||||
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 | ||||||||||||||||
| Goldman Sachs International | $ | 1,377,243 | $ | (1,281,309 | ) | $ | 0 | $ | 95,934 | |||||||
Morgan Stanley & Co. Internatio n al PLC | 10,959,227 | 0 | (10,629,000 | ) | 330,227 | |||||||||||
| Societe Generale | 1,679,334 | (1,679,334 | ) | 0 | 0 | |||||||||||
| UBS AG | 4,226,391 | (4,151,442 | ) | (6,270 | ) | 68,679 | ||||||||||
| ProShares Ultra Euro | ||||||||||||||||
| Goldman Sachs International | 22,950 | 0 | 0 | 22,950 | ||||||||||||
| UBS AG | 65,786 | 0 | 0 | 65,786 | ||||||||||||
| ProShares Ultra Gold | ||||||||||||||||
| Citibank, N.A. | 1,770,050 | 0 | (1,670,000 | ) | 100,050 | |||||||||||
| Goldman Sachs International | 1,529,612 | (1,497,203 | ) | 0 | 32,409 | |||||||||||
| UBS AG | 1,841,318 | 0 | 0 | 1,841,318 | ||||||||||||
| ProShares Ultra Silver | ||||||||||||||||
| Citibank, N.A. | 18,010,776 | 0 | (18,010,776 | ) | 0 | |||||||||||
| Goldman Sachs International | 12,930,574 | (12,930,574 | ) | 0 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | 12,353,706 | 0 | (12,353,706 | ) | 0 | |||||||||||
| UBS AG | 13,457,610 | (4,126,610 | ) | (9,331,000 | ) | 0 | ||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||
| Goldman Sachs & Co. | (24,807 | ) | 0 | 24,807 | 0 | |||||||||||
| ProShares Ultra Yen | ||||||||||||||||
| Goldman Sachs International | 34,265 | 0 | 0 | 34,265 | ||||||||||||
| UBS AG | 32,822 | 0 | 0 | 32,822 | ||||||||||||
| ProShares UltraShort Euro | ||||||||||||||||
| Goldman Sachs International | (388,233 | ) | 0 | 388,233 | 0 | |||||||||||
| UBS AG | (748,471 | ) | 748,471 | 0 | 0 | |||||||||||
| ProShares UltraShort Gold | ||||||||||||||||
| Citibank, N.A. | (80,068 | ) | 0 | 80,068 | 0 | |||||||||||
| Goldman Sachs International | (82,645 | ) | 0 | 82,645 | 0 | |||||||||||
| UBS AG | (106,015 | ) | 0 | 106,015 | 0 | |||||||||||
| ProShares UltraShort Silver | ||||||||||||||||
| Citibank, N.A. | (1,208,988 | ) | 0 | 1,208,988 | 0 | |||||||||||
| Goldman Sachs International | (927,829 | ) | 0 | 927,829 | 0 | |||||||||||
| Morgan Stanley & Co. International PLC | (579,421 | ) | 0 | 579,421 | 0 | |||||||||||
| UBS AG | (481,323 | ) | 0 | 481,323 | 0 | |||||||||||
| ProShares UltraShort Yen | ||||||||||||||||
| Goldman Sachs International | (207,021 | ) | 0 | 207,021 | 0 | |||||||||||
| UBS AG | (357,945 | ) | 0 | 357,945 | 0 | |||||||||||
BBH&Co.
| 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 | ||||
Fund | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 | ||||||
| ProShares Short Euro | $ | 0 | $ | 0 | ||||
| ProShares Short VIX Short-Term Futures ETF | 75,629 | 139,978 | ||||||
| ProShares Ultra Bloomberg Crude Oil | 0 | 0 | ||||||
| ProShares Ultra Bloomberg Natural Gas | 0 | 0 | ||||||
| ProShares Ultra Euro | 0 | 0 | ||||||
| ProShares Ultra Gold | 0 | 0 | ||||||
| ProShares Ultra Silver | 0 | 0 | ||||||
| ProShares Ultra VIX Short-Term Futures ETF | 908,895 | 2,277,545 | ||||||
| ProShares Ultra Yen | 0 | 0 | ||||||
| ProShares UltraShort Australian Dollar | 0 | 0 | ||||||
| ProShares UltraShort Bloomberg Crude Oil | 0 | 0 | ||||||
| ProShares UltraShort Bloomberg Natural Gas | 0 | 0 | ||||||
| ProShares UltraShort Euro | 0 | 0 | ||||||
| ProShares UltraShort Gold | 0 | 0 | ||||||
| ProShares UltraShort Silver | 0 | 0 | ||||||
| ProShares UltraShort Yen | 0 | 0 | ||||||
ProShares VIX Mid-Term Futures ETF | 13,723 | 32,535 | ||||||
| ProShares VIX Short-Term Futures ETF | 81,985 | 314,310 | ||||||
Total Trust | $ | 1,080,232 | $ | 2,764,368 | ||||
2021
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 | )% | ||||||||||||
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, 2021 | $ | 43.18 | $ | 55.61 | $ | 78.24 | $ | 35.33 | $ | 14.67 | $ | 57.28 | ||||||||||||
| Net investment income (loss) | (0.10 | ) | (0.19 | ) | (0.20 | ) | (0.14 | ) | (0.03 | ) | (0.14 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 1.06 | (0.96 | ) | 6.43 | 48.28 | (0.72 | ) | (1.50 | ) | |||||||||||||||
| Change in net asset value from operations | 0.96 | (1.15 | ) | 6.23 | 48.14 | (0.75 | ) | (1.64 | ) | |||||||||||||||
| Net asset value, at September 30, 2021 | $ | 44.14 | $ | 54.46 | $ | 84.47 | $ | 83.47 | $ | 13.92 | $ | 55.64 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 43.14 | $ | 55.55 | $ | 78.23 | $ | 37.17 | $ | 14.66 | $ | 57.22 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 44.16 | $ | 54.39 | $ | 84.22 | $ | 82.30 | $ | 13.92 | $ | 55.59 | ||||||||||||
Total Return, at net asset value^ | 2.3 | % | (2.1 | )% | 8.0 | % | 136.3 | % | (5.1 | )% | (2.9 | )% | ||||||||||||
Total Return, at market value^ | 2.4 | % | (2.1 | )% | 7.7 | % | 121.4 | % | (5.1 | )% | (2.9 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.96 | % | 1.33 | % | 1.10 | % | 1.30 | % | 0.95 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.92 | )% | (1.32 | )% | (1.07 | )% | (1.25 | )% | (0.91 | )% | (0.97 | )% | ||||||||||||
| ** |
| # | 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 |
| ^ | Percentages are not annualized for the period ended September 30, |
The expense ratio would be 0.95 %, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
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 | % | ||||||||||||
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) | ||||||||||||
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 | )% | ||||
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 | (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 | )% | ||||||||||||
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 45.97 | $ | 27.91 | $ | 51.24 | $ | 46.09 | $ | 18.11 | $ | 21.55 | ||||||||||||
| Net investment income (loss) | (0.10 | ) | (0.11 | ) | (0.12 | ) | (0.12 | ) | (0.05 | ) | (0.05 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (14.16 | ) | (3.37 | ) | (0.29 | ) | 3.17 | (2.93 | ) | (14.48 | ) | |||||||||||||
| Change in net asset value from operations | (14.26 | ) | (3.48 | ) | (0.41 | ) | 3.05 | (2.98 | ) | (14.53 | ) | |||||||||||||
| Net asset value, at September 30, 2021 | $ | 31.71 | $ | 24.43 | $ | 50.83 | $ | 49.14 | $ | 15.13 | $ | 7.02 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 46.12 | $ | 27.98 | $ | 51.26 | $ | 45.96 | $ | 18.11 | $ | 20.44 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 31.99 | $ | 24.55 | $ | 50.82 | $ | 49.16 | $ | 15.18 | $ | 7.12 | ||||||||||||
Total Return, at net asset value^ | (31.0 | )% | (12.5 | )% | (0.8 | )% | 6.6 | % | (16.5 | )% | (67.4 | )% | ||||||||||||
Total Return, at market value^ | (30.6 | )% | (12.3 | )% | (0.9 | )% | 7.0 | % | (16.2 | )% | (65.2 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.00 | % | 1.71 | % | 0.95 | % | 1.05 | % | 1.17 | % | 1.35 | % | ||||||||||||
| Net investment income gain (loss) | (0.97 | )% | (1.71 | )% | (0.91 | )% | (1.01 | )% | (1.14 | )% | (1.32 | )% | ||||||||||||
| * | 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 |
| ^ | Percentages are not annualized for the period ended September 30, |
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 | )% | ||||||||||||
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 | )% | ||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at June 30, 2021 | $ | 23.81 | $ | 34.67 | $ | 23.37 | $ | 77.96 | $ | 30.51 | $ | 24.09 | ||||||||||||
| Net investment income (loss) | (0.06 | ) | (0.08 | ) | (0.07 | ) | (0.17 | ) | (0.08 | ) | (0.07 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 1.19 | 0.21 | 7.97 | 0.16 | 1.79 | (1.34 | ) | |||||||||||||||||
| Change in net asset value from operations | 1.13 | 0.13 | 7.90 | (0.01 | ) | 1.71 | (1.41 | ) | ||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 24.94 | $ | 34.80 | $ | 31.27 | $ | 77.95 | $ | 32.22 | $ | 22.68 | ||||||||||||
Market value per share, at June 30, 2021 † | $ | 23.82 | $ | 34.69 | $ | 23.28 | $ | 77.98 | $ | 30.54 | $ | 24.08 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 24.93 | $ | 34.82 | $ | 30.97 | $ | 77.96 | $ | 32.31 | $ | 22.80 | ||||||||||||
Total Return, at net asset value^ | 4.8 | % | 0.4 | % | 33.8 | % | (0.0 | )% @ | 5.6 | % | (5.8 | )% | ||||||||||||
Total Return, at market value^ | 4.7 | % | 0.4 | % | 33.0 | % | (0.0 | )% @ | 5.8 | % | (5.3 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.04 | % | 1.17 | % | ||||||||||||
| Net investment income gain (loss) | (0.91 | )% | (0.98 | )% | (1.07 | )% | (0.91 | )% | (1.01 | )% | (1.16 | )% | ||||||||||||
| * | 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 |
| ^ | Percentages are not annualized for the period ended September 30, |
| @ | Amount represents greater than (0.05)%. |
2020
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 | )% | ||||||||||||
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, 2020 | $ | 45.73 | $ | 31.40 | $ | 28.59 | $ | 28.31 | $ | 13.56 | $ | 64.98 | ||||||||||||
| Net investment income (loss) | (0.11 | ) | (0.11 | ) | (0.10 | ) | (0.14 | ) | (0.03 | ) | (0.17 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (1.85 | ) | 4.08 | 0.25 | 6.19 | 1.13 | 4.05 | |||||||||||||||||
| Change in net asset value from operations | (1.96 | ) | 3.97 | 0.15 | 6.05 | 1.10 | 3.88 | |||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 43.77 | $ | 35.37 | $ | 28.74 | $ | 34.36 | $ | 14.66 | $ | 68.86 | ||||||||||||
Market value per share, at June 30, 2020 † | $ | 44.83 | $ | 31.50 | $ | 28.68 | $ | 28.36 | $ | 13.57 | $ | 64.83 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 43.28 | $ | 35.50 | $ | 28.45 | $ | 34.63 | $ | 14.64 | $ | 68.58 | ||||||||||||
Total Return, at net asset value^ | (4.3 | )% | 12.6 | % | 0.5 | % | 21.4 | % | 8.1 | % | 6.0 | % | ||||||||||||
Total Return, at market value^ | (3.5 | )% | 12.7 | % | (0.8 | )% | 22.1 | % | 7.9 | % | 5.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.98 | % | 1.36 | % | 1.32 | % | 1.61 | % | 0.96 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.95 | )% | (1.31 | )% | (1.31 | )% | (1.54 | )% | (0.93 | )% | (0.92 | )% | ||||||||||||
| ** |
| # | 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 |
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 | )% | ||||||||||||
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 29.56 | $ | 329.28 | $ | 55.32 | $ | 56.14 | $ | 73.18 | $ | 67.21 | ||||||||||||
| Net investment income (loss) | (0.12 | ) | (0.97 | ) | (0.13 | ) | (0.13 | ) | (0.22 | ) | (0.16 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 12.81 | (126.77 | ) | 2.50 | (4.27 | ) | (6.50 | ) | (28.73 | ) | ||||||||||||||
| Change in net asset value from operations | 12.69 | (127.74 | ) | 2.37 | (4.40 | ) | (6.72 | ) | (28.89 | ) | ||||||||||||||
| Net asset value, at September 30, 2020 | $ | 42.25 | $ | 201.54 | $ | 57.69 | $ | 51.74 | $ | 66.46 | $ | 38.32 | ||||||||||||
Market value per share, at June 30, 2020 † | $ | 29.33 | $ | 327.70 | $ | 55.31 | $ | 56.06 | $ | 73.00 | $ | 67.21 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 41.77 | $ | 199.20 | $ | 57.69 | $ | 51.67 | $ | 67.08 | $ | 38.01 | ||||||||||||
Total Return, at net asset value^ | 42.9 | % | (38.8 | )% | 4.3 | % | (7.8 | )% | (9.2 | )% | (43.0 | )% | ||||||||||||
Total Return, at market value^ | 42.4 | % | (39.2 | )% | 4.3 | % | (7.8 | )% | (8.1 | )% | (43.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.04 | % | 1.67 | % | 0.96 | % | 1.03 | % | 1.39 | % | 1.77 | % | ||||||||||||
| Net investment income gain (loss) | (0.97 | )% | (1.64 | )% | (0.94 | )% | (1.01 | )% | (1.37 | )% | (1.71 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | 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 | )% | ||||||||||||
| # | 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 |
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.
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 | )% | ||||
| ^ | Percentages are not annualized for the period ended September 30, |
Selected data for a Share outstanding throughout the nine months ended September 30, 2016:
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 | )% | ||||||||||||
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at June 30, 2020 | $ | 26.73 | $ | 35.46 | $ | 78.50 | $ | 74.60 | $ | 40.40 | $ | 111.70 | ||||||||||||
| Net investment income (loss) | (0.05 | ) | (0.08 | ) | (0.09 | ) | (0.16 | ) | (0.10 | ) | (0.26 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (2.19 | ) | (3.34 | ) | (39.64 | ) | (3.49 | ) | 0.69 | �� | (29.31 | ) | ||||||||||||
| Change in net asset value from operations | (2.24 | ) | (3.42 | ) | (39.73 | ) | (3.65 | ) | 0.59 | (29.57 | ) | |||||||||||||
| Net asset value, at September 30, 2020 | $ | 24.49 | $ | 32.04 | $ | 38.77 | $ | 70.95 | $ | 40.99 | $ | 82.13 | ||||||||||||
Market value per share, at June 30, 2020 † | $ | 26.73 | $ | 35.57 | $ | 79.08 | $ | 74.58 | $ | 40.24 | $ | 111.04 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 24.49 | $ | 32.19 | $ | 39.24 | $ | 70.93 | $ | 40.68 | $ | 81.64 | ||||||||||||
Total Return, at net asset value^ | (8.4 | )% | (9.7 | )% | (50.6 | )% | (4.9 | )% | 1.5 | % | (26.5 | )% | ||||||||||||
Total Return, at market value^ | (8.4 | )% | (9.5 | )% | (50.4 | )% | (4.9 | )% | 1.1 | % | (26.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.03 | % | 1.11 | % | 0.96 | % | 1.07 | % | 1.20 | % | ||||||||||||
| Net investment income gain (loss) | (0.85 | )% | (0.99 | )% | (1.07 | )% | (0.88 | )% | (1.01 | )% | (1.15 | )% | ||||||||||||
| * | See Note 1 of these Notes to Financial |
| ** | 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 |
| ^ | Percentages are not annualized for the period ended September 30, |
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 | )% | ||||||||||||
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, 2020 | $ | 41.92 | $ | 41.42 | $ | 36.38 | $ | 21.00 | $ | 15.79 | $ | 67.57 | ||||||||||||
| Net investment income (loss) | (0.29 | ) | (0.49 | ) | (0.49 | ) | (0.29 | ) | (0.10 | ) | (0.43 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 2.51 | 13.53 | 48.58 | 62.76 | (1.77 | ) | (11.50 | ) | ||||||||||||||||
| Change in net asset value from operations | 2.22 | 13.04 | 48.09 | 62.47 | (1.87 | ) | (11.93 | ) | ||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 44.14 | $ | 54.46 | $ | 84.47 | $ | 83.47 | $ | 13.92 | $ | 55.64 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 41.35 | $ | 41.44 | $ | 36.27 | $ | 21.07 | $ | 15.81 | $ | 68.20 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 44.16 | $ | 54.39 | $ | 84.22 | $ | 82.30 | $ | 13.92 | $ | 55.59 | ||||||||||||
Total Return, at net asset value^ | 5.2 | % | 31.5 | % | 132.2 | % | 297.6 | % | (11.9 | )% | (17.7 | )% | ||||||||||||
Total Return, at market value^ | 6.8 | % | 31.3 | % | 132.2 | % | 290.7 | % | (11.9 | )% | (18.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.35 | % | 1.11 | % | 1.47 | % | 0.95 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.91 | )% | (1.33 | )% | (1.07 | )% | (1.41 | )% | (0.90 | )% | (0.97 | )% | ||||||||||||
| ** | 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 | )% | ||||||||||||
| # | 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 |
| ^ | Percentages are not annualized for the period ended September 30, |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
| Net asset value, at December 31, 2020 | $ | 50.71 | $ | 106.68 | $ | 59.83 | $ | 44.45 | $ | 46.45 | $ | 47.59 | ||||||||||||
| Net investment income (loss) | (0.33 | ) | (0.59 | ) | (0.36 | ) | (0.34 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (18.67 | ) | (81.66 | ) | (8.64 | ) | 5.03 | (31.11 | ) | (40.34 | ) | |||||||||||||
| Change in net asset value from operations | (19.00 | ) | (82.25 | ) | (9.00 | ) | 4.69 | (31.32 | ) | (40.57 | ) | |||||||||||||
| Net asset value, at September 30, 2021 | $ | 31.71 | $ | 24.43 | $ | 50.83 | $ | 49.14 | $ | 15.13 | $ | 7.02 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 51.28 | $ | 106.50 | $ | 59.82 | $ | 43.89 | $ | 46.56 | $ | 47.38 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 31.99 | $ | 24.55 | $ | 50.82 | $ | 49.16 | $ | 15.18 | $ | 7.12 | ||||||||||||
Total Return, at net asset value^ | (37.5 | )% | (77.1 | )% | (15.0 | )% | 10.6 | % | (67.4 | )% | (85.3 | )% | ||||||||||||
Total Return, at market value^ | (37.6 | )% | (77.0 | )% | (15.1 | )% | 12.0 | % | (67.4 | )% | (85.0 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.03 | % | 1.75 | % | 0.95 | % | 1.04 | % | 1.24 | % | 1.49 | % | ||||||||||||
| Net investment income gain (loss) | (0.98 | )% | (1.71 | )% | (0.90 | )% | (0.99 | )% | (1.18 | )% | (1.45 | )% | ||||||||||||
| * | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at December 31, 2020 | $ | 22.53 | $ | 31.43 | $ | 27.73 | $ | 67.83 | $ | 36.73 | $ | 55.03 | ||||||||||||
| Net investment income (loss) | (0.16 | ) | (0.25 | ) | (0.20 | ) | (0.50 | ) | (0.25 | ) | (0.28 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 2.57 | 3.62 | 3.74 | 10.62 | (4.26 | ) | (32.07 | ) | ||||||||||||||||
| Change in net asset value from operations | 2.41 | 3.37 | 3.54 | 10.12 | (4.51 | ) | (32.35 | ) | ||||||||||||||||
| Net asset value, at September 30, 2021 | $ | 24.94 | $ | 34.80 | $ | 31.27 | $ | 77.95 | $ | 32.22 | $ | 22.68 | ||||||||||||
Market value per share, at December 31, 2020 † | $ | 22.52 | $ | 31.14 | $ | 27.40 | $ | 67.81 | $ | 36.70 | $ | 54.96 | ||||||||||||
Market value per share, at September 30, 2021 † | $ | 24.93 | $ | 34.82 | $ | 30.97 | $ | 77.96 | $ | 32.31 | $ | 22.80 | ||||||||||||
Total Return, at net asset value^ | 10.7 | % | 10.7 | % | 12.8 | % | 14.9 | % | (12.3 | )% | (58.8 | )% | ||||||||||||
Total Return, at market value^ | 10.7 | % | 11.8 | % | 13.0 | % | 15.0 | % | (12.0 | )% | (58.5 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.03 | % | 1.10 | % | 0.95 | % | 1.05 | % | 1.23 | % | ||||||||||||
| Net investment income gain (loss) | (0.90 | )% | (0.99 | )% | (1.07 | )% | (0.90 | )% | (1.01 | )% | (1.19 | )% | ||||||||||||
| * | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
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, 2019 | $ | 45.64 | $ | 65.62 | $ | 509.23 | $ | 83.97 | $ | 13.79 | $ | 49.21 | ||||||||||||
| Net investment income (loss) | (0.18 | ) | (0.28 | ) | (0.25 | ) | (0.35 | ) | (0.05 | ) | (0.28 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (1.69 | ) | (29.97 | ) | (480.24 | ) | (49.26 | ) | 0.92 | 19.93 | ||||||||||||||
| Change in net asset value from operations | (1.87 | ) | (30.25 | ) | (480.49 | ) | (49.61 | ) | 0.87 | 19.65 | ||||||||||||||
| Net asset value, at September 30, 2020 | $ | 43.77 | $ | 35.37 | $ | 28.74 | $ | 34.36 | $ | 14.66 | $ | 68.86 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 45.69 | $ | 65.23 | $ | 511.50 | $ | 83.40 | $ | 13.77 | $ | 49.05 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 43.28 | $ | 35.50 | $ | 28.45 | $ | 34.63 | $ | 14.64 | $ | 68.58 | ||||||||||||
Total Return, at net asset value^ | (4.1 | )% | (46.1 | )% | (94.4 | )% | (59.1 | )% | 6.3 | % | 39.9 | % | ||||||||||||
Total Return, at market value^ | (5.3 | )% | (45.6 | )% | (94.4 | )% | (58.5 | )% | 6.3 | % | 39.8 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.97 | % | 1.31 | % | 1.35 | % | 1.60 | % | 0.95 | % | 1.00 | % | ||||||||||||
| Net investment income gain (loss) | (0.52 | )% | (1.07 | )% | (1.10 | )% | (1.12 | )% | (0.49 | )% | (0.59 | )% | ||||||||||||
| ** | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2020. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | Ultra Silver | Ultra VIX Short-Term Futures ETF * | Ultra Yen | UltraShort Australian Dollar | UltraShort Bloomberg Crude Oil * | UltraShort Bloomberg Natural Gas | ||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 31.70 | $ | 126.74 | $ | 55.83 | $ | 56.09 | $ | 48.77 | $ | 38.53 | ||||||||||||
| Net investment income (loss) | (0.17 | ) | (2.43 | ) | (0.22 | ) | (0.26 | ) | (0.86 | ) | (0.52 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | 10.72 | 77.23 | 2.08 | (4.09 | ) | 18.55 | 0.31 | |||||||||||||||||
| Change in net asset value from operations | 10.55 | 74.80 | 1.86 | (4.35 | ) | 17.69 | (0.21 | ) | ||||||||||||||||
| Net asset value, at September 30, 2020 | $ | 42.25 | $ | 201.54 | $ | 57.69 | $ | 51.74 | $ | 66.46 | $ | 38.32 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 31.65 | $ | 128.90 | $ | 55.83 | $ | 55.88 | $ | 48.60 | $ | 38.82 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 41.77 | $ | 199.20 | $ | 57.69 | $ | 51.67 | $ | 67.08 | $ | 38.01 | ||||||||||||
Total Return, at net asset value^ | 33.3 | % | 59.0 | % | 3.3 | % | (7.8 | )% | 36.3 | % | (0.5 | )% | ||||||||||||
Total Return, at market value^ | 32.0 | % | 54.5 | % | 3.3 | % | (7.5 | )% | 38.0 | % | (2.1 | )% | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 1.03 | % | 1.61 | % | 0.95 | % | 1.04 | % | 1.70 | % | 1.88 | % | ||||||||||||
| Net investment income gain (loss) | (0.62 | )% | (1.34 | )% | (0.54 | )% | (0.58 | )% | (1.39 | )% | (1.64 | )% | ||||||||||||
| * | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2020. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance | UltraShort Euro | UltraShort Gold | UltraShort Silver * | UltraShort Yen | VIX Mid- Term Futures ETF | VIX Short- Term Futures ETF * | ||||||||||||||||||
| Net asset value, at December 31, 2019 | $ | 26.80 | $ | 53.02 | $ | 107.04 | $ | 76.37 | $ | 21.27 | $ | 49.19 | ||||||||||||
| Net investment income (loss) | (0.05 | ) | (0.15 | ) | (0.29 | ) | (0.19 | ) | (0.16 | ) | (0.34 | ) | ||||||||||||
| Net realized and unrealized gain (loss)# | (2.26 | ) | (20.83 | ) | (67.98 | ) | (5.23 | ) | 19.88 | 33.28 | ||||||||||||||
| Change in net asset value from operations | (2.31 | ) | (20.98 | ) | (68.27 | ) | (5.42 | ) | 19.72 | 32.94 | ||||||||||||||
| Net asset value, at September 30, 2020 | $ | 24.49 | $ | 32.04 | $ | 38.77 | $ | 70.95 | $ | 40.99 | $ | 82.13 | ||||||||||||
Market value per share, at December 31, 2019 † | $ | 26.80 | $ | 53.21 | $ | 107.20 | $ | 76.35 | $ | 21.29 | $ | 49.72 | ||||||||||||
Market value per share, at September 30, 2020 † | $ | 24.49 | $ | 32.19 | $ | 39.24 | $ | 70.93 | $ | 40.68 | $ | 81.64 | ||||||||||||
Total Return, at net asset value^ | (8.6 | )% | (39.6 | )% | (63.8 | )% | (7.1 | )% | 92.8 | % | 67.0 | % | ||||||||||||
Total Return, at market value^ | (8.6 | )% | (39.5 | )% | (63.4 | )% | (7.1 | )% | 91.1 | % | 64.2 | % | ||||||||||||
Ratios to Average Net Assets** | ||||||||||||||||||||||||
| Expense ratio^^ | 0.95 | % | 1.02 | % | 1.10 | % | 0.95 | % | 1.06 | % | 1.17 | % | ||||||||||||
| Net investment income gain (loss) | (0.23 | )% | (0.54 | )% | (0.79 | )% | (0.33 | )% | (0.63 | )% | (0.57 | )% | ||||||||||||
| * | 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 applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2020. |
| ^^ | The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded. |
In addition, unlike
Certain of the Funds will
Swap agreements and forward contractscounterparty risks.
Fund, subject to applicable law.
investment, even over periods as short as a single day.
Fund’s performance, resulting in losses to your investment.
March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
ProShare Capital Management LLC
Each
Fund’s next NAV calculation.
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, 2021 | Interest Income Three Months Ended September 30, 2020 | Interest Income Nine Months Ended September 30, 2021 | Interest Income Nine Months Ended September 30, 2020 | ||||||||||||
ProShares Short Euro | $ | 269 | $ | 127 | $ | 1,175 | $ | 7,776 | ||||||||
ProShares Short VIX Short-Term Futures ETF | 8,152 | 53,301 | 75,729 | 909,185 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | 86,370 | 50,356 | 365,778 | 1,817,563 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | 7,355 | 15,347 | 32,714 | 191,160 | ||||||||||||
ProShares Ultra Euro | 393 | 357 | 1,415 | 16,350 | ||||||||||||
ProShares Ultra Gold | 14,338 | 59,354 | 70,259 | 543,895 | ||||||||||||
ProShares Ultra Silver | 44,511 | 103,976 | 208,169 | 1,018,578 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 11,979 | 88,621 | 328,504 | 1,601,884 | ||||||||||||
ProShares Ultra Yen | 260 | 171 | 923 | 9,100 | ||||||||||||
ProShares UltraPro 3x Crude Oil ETF* | — | — | — | 346,326 | ||||||||||||
ProShares UltraPro 3x Short Crude Oil ETF* | — | — | — | 166,789 | ||||||||||||
ProShares UltraShort Australian Dollar | 443 | 289 | 961 | 20,385 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 6,891 | 4,832 | 36,069 | 259,750 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 9,879 | 8,136 | 25,512 | 51,939 | ||||||||||||
ProShares UltraShort Euro | 5,008 | 18,939 | 17,814 | 486,623 | ||||||||||||
ProShares UltraShort Gold | 3,075 | 1,831 | 9,213 | 65,111 | ||||||||||||
ProShares UltraShort Silver | 3,100 | 3,192 | 8,895 | 48,379 | ||||||||||||
ProShares UltraShort Yen | 2,392 | 5,085 | 9,558 | 136,411 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | 8,914 | 13,590 | 27,487 | 199,491 | ||||||||||||
ProShares VIX Short-Term Futures ETF | 11,739 | 34,770 | 91,187 | 1,117,617 | ||||||||||||
| * | The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively. |
The Trust’s and the Funds’ critical accounting policies are as follows:
2021.
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.
2020
Short Euro
| 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 | % | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,159,102 | $ | 2,286,467 | ||||
NAV end of period | $ | 2,206,818 | $ | 2,188,644 | ||||
Percentage change in NAV | 2.2 | % | (4.3 | )% | ||||
Shares outstanding beginning of period | 50,000 | 50,000 | ||||||
Shares outstanding end of period | 50,000 | 50,000 | ||||||
Percentage change in shares outstanding | — | % | — | % | ||||
Shares created | — | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 43.18 | $ | 45.73 | ||||
Per share NAV end of period | $ | 44.14 | $ | 43.77 | ||||
Percentage change in per share NAV | 2.3 | % | (4.3 | )% | ||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | ||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | ||||
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.
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, 2017,2021, the increase in the Fund’s NAV resulted primarily from an increase from 9,900,000 outstanding Shares at June 30, 2017 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, (beforebefore fees and expenses)expenses, that correspond to the inverse
spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.
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.
2021.
2021.
| 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 | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (5,003 | ) | $ | (5,267 | ) | ||
Management fee | 5,193 | 5,247 | ||||||
Brokerage commission | 79 | 82 | ||||||
Non-recurring fees and expenses | — | 65 | ||||||
Net realized gain (loss) | 57,489 | (77,567 | ) | |||||
Change in net unrealized appreciation (depreciation) | (4,770 | ) | (14,989 | ) | ||||
Net Income (loss) | $ | 47,716 | $ | (97,823 | ) | |||
ProShares Short |
ProShares Ultra VIX Short-Term Futures ETF*
ETF
| 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 | % | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 588,615,946 | $ | 509,811,853 | ||||
NAV end of period | $ | 388,523,845 | $ | 335,465,066 | ||||
Percentage change in NAV | (34.0 | )% | (34.2 | )% | ||||
Shares outstanding beginning of period | 10,584,307 | 16,234,307 | ||||||
Shares outstanding end of period | 7,134,307 | 9,484,307 | ||||||
Percentage change in shares outstanding | (32.6 | )% | (41.6 | )% | ||||
Shares created | 550,000 | — | ||||||
Shares redeemed | 4,000,000 | 6,750,000 | ||||||
Per share NAV beginning of period | $ | 55.61 | $ | 31.40 | ||||
Per share NAV end of period | $ | 54.46 | $ | 35.37 | ||||
Percentage change in per share NAV | (2.1 | )% | 12.6 | % | ||||
Percentage change in benchmark | (5,6 | )% | (26.3 | )% | ||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (1,466,273 | ) | $ | (1,544,734 | ) | ||
Management fee | 1,055,823 | 1,116,999 | ||||||
Brokerage commission | 208,885 | 167,648 | ||||||
Non-recurring fees and expenses | — | 22,038 | ||||||
Net realized gain (loss) | 34,572,603 | 60,593,305 | ||||||
Change in net unrealized appreciation (depreciation) | (43,349,844 | ) | (1,463,399 | ) | ||||
Net Income (loss) | $ | (10,243,514 | ) | $ | 57,585,172 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 1,303,530,902 | $ | 1,508,661,459 | ||||
NAV end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | ||||
Percentage change in NAV | (16.3 | )% | (20.7 | )% | ||||
Shares outstanding beginning of period | 16,660,774 | 52,760,774 | ||||||
Shares outstanding end of period | 12,910,774 | 41,610,774 | ||||||
Percentage change in shares outstanding | (22.5 | )% | (21.1 | )% | ||||
Shares created | 950,000 | 21,500,000 | ||||||
Shares redeemed | 4,700,000 | 32,650,000 | ||||||
Per share NAV beginning of period | $ | 78.24 | $ | 28.59 | ||||
Per share NAV end of period | $ | 84.47 | $ | 28.74 | ||||
Percentage change in per share NAV | 8.0 | % | 0.5 | % | ||||
Percentage change in benchmark | 5.4 | % | 2.6 | % | ||||
Benchmark annualized volatility | 30.9 | % | 26.3 | % | ||||
2020. 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 Commodity Balanced WTI Crude Oil Index
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (3,130,493 | ) | $ | (4,420,342 | ) | ||
Management fee | 2,775,351 | 3,210,517 | ||||||
Brokerage commission | 198,498 | 600,233 | ||||||
Non-recurring fees and expenses | 27,500 | 24,637 | ||||||
Net realized gain (loss) | 106,325,821 | 285,954,263 | ||||||
Change in net unrealized appreciation (depreciation) | (16,878,588 | ) | (232,630,286 | ) | ||||
Net Income (loss) | $ | 86,316,740 | $ | 48,903,635 | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 70,213,227 | $ | 50,599,783 | ||||
NAV end of period | $ | 145,038,381 | $ | 99,203,762 | ||||
Percentage change in NAV | 106.6 | % | 96.1 | % | ||||
Shares outstanding beginning of period | 1,987,527 | 1,787,527 | ||||||
Shares outstanding end of period | 1,737,527 | 2,887,527 | ||||||
Percentage change in shares outstanding | (12.6 | )% | 61.5 | % | ||||
Shares created | 1,150,000 | 4,350,000 | ||||||
Shares redeemed | 1,400,000 | 3,250,000 | ||||||
Per share NAV beginning of period | $ | 35.33 | $ | 28.31 | ||||
Per share NAV end of period | $ | 83.47 | $ | 34.36 | ||||
Percentage change in per share NAV | 136.3 | % | 21.4 | % | ||||
Percentage change in benchmark | 58.6 | % | 15.0 | % | ||||
Benchmark annualized volatility | 48.6 | % | 58.7 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (212,510 | ) | $ | (323,543 | ) | ||
Management fee | 161,130 | 199,772 | ||||||
Brokerage commission | 40,472 | 106,449 | ||||||
Non-recurring fees and expenses | — | 1,129 | ||||||
Net realized gain (loss) | 33,925,723 | 41,156,156 | ||||||
Change in net unrealized appreciation (depreciation) | 25,135,708 | (4,754,827 | ) | |||||
Net Income (loss) | $ | 58,848,921 | $ | 36,077,786 | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 3,668,741 | $ | 4,067,686 | ||||
NAV end of period | $ | 3,479,104 | $ | 4,397,675 | ||||
Percentage change in NAV | (5.2 | )% | 8.1 | % | ||||
Shares outstanding beginning of period | 250,000 | 300,000 | ||||||
Shares outstanding end of period | 250,000 | 300,000 | ||||||
Percentage change in shares outstanding | — | % | — | % | ||||
Shares created | — | 100,000 | ||||||
Shares redeemed | — | 100,000 | ||||||
Per share NAV beginning of period | $ | 14.67 | $ | 13.56 | ||||
Per share NAV end of period | $ | 13.92 | $ | 14.66 | ||||
Percentage change in per share NAV | (5.1 | )% | 8.1 | % | ||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | ||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | ||||
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.
2021.
2021.
| 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 | ) | ||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (8,271 | ) | $ | (12,155 | ) | ||
Management fee | 8,664 | 12,404 | ||||||
Non-recurring fees and expenses | — | 108 | ||||||
Net realized gain (loss) | (254,219 | ) | 441,714 | |||||
Change in net unrealized appreciation (depreciation) | 72,853 | (84,317 | ) | |||||
Net Income (loss) | $ | (189,637 | ) | $ | 345,242 | |||
2021.
Ultra Gold
| 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 | % | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 243,456,703 | $ | 165,689,050 | ||||
NAV end of period | $ | 230,917,847 | $ | 275,450,606 | ||||
Percentage change in NAV | (5.2 | )% | 66.2 | % | ||||
Shares outstanding beginning of period | 4,250,000 | 2,550,000 | ||||||
Shares outstanding end of period | 4,150,000 | 4,000,000 | ||||||
Percentage change in shares outstanding | (2.4 | )% | 56.9 | % | ||||
Shares created | 250,000 | 1,700,000 | ||||||
Shares redeemed | 350,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 57.28 | $ | 64.98 | ||||
Per share NAV end of period | $ | 55.64 | $ | 68.86 | ||||
Percentage change in per share NAV | (2.9 | )% | 6.0 | % | ||||
Percentage change in benchmark | (1.0 | )% | 3.6 | % | ||||
Benchmark annualized volatility | 13.8 | % | 25.4 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (596,194 | ) | $ | (617,991 | ) | ||
Management fee | 582,103 | 640,992 | ||||||
Brokerage commission | 9,421 | 12,115 | ||||||
Non-recurring fees and expenses | — | 3,751 | ||||||
Net realized gain (loss) | (21,858,089 | ) | 25,742,296 | |||||
Change in net unrealized appreciation (depreciation) | 15,574,284 | (18,054,591 | ) | |||||
Net Income (loss) | $ | (6,879,999 | ) | $ | 7,069,714 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 661,778,727 | $ | 249,671,968 | ||||
NAV end of period | $ | 480,309,476 | $ | 620,883,156 | ||||
Percentage change in NAV | (27.4 | )% | 148.7 | % | ||||
Shares outstanding beginning of period | 14,396,526 | 8,446,526 | ||||||
Shares outstanding end of period | 15,146,526 | 14,696,526 | ||||||
Percentage change in shares outstanding | 5.2 | % | 74.0 | % | ||||
Shares created | 1,050,000 | 8,050,000 | ||||||
Shares redeemed | 300,000 | 1,800,000 | ||||||
Per share NAV beginning of period | $ | 45.97 | $ | 29.56 | ||||
Per share NAV end of period | $ | 31.71 | $ | 42.25 | ||||
Percentage change in per share NAV | (31.0 | )% | 42.9 | % | ||||
Percentage change in benchmark | (16.0 | )% | 25.1 | % | ||||
Benchmark annualized volatility | 26.7 | % | 33.8 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (1,424,705 | ) | $ | (1,497,215 | ) | ||
Management fee | 1,394,627 | 1,462,400 | ||||||
Brokerage commission | 27,419 | 54,812 | ||||||
Non-recurring fees and expenses | — | 3,943 | ||||||
Net realized gain (loss) | (201,320,030 | ) | 290,238,797 | |||||
Change in net unrealized appreciation (depreciation) | (6,018,290 | ) | (199,313,772 | ) | ||||
Net Income (loss) | $ | (208,763,025 | ) | $ | 89,427,810 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 840,870,703 | $ | 992,156,607 | ||||
NAV end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | ||||
Percentage change in NAV | 21.4 | % | 31.8 | % | ||||
Shares outstanding beginning of period | 30,128,420 | 3,013,091 | ||||||
Shares outstanding end of period | 41,778,420 | 6,488,091 | ||||||
Percentage change in shares outstanding | 38.7 | % | 115.3 | % | ||||
Shares created | 37,800,000 | 4,280,000 | ||||||
Shares redeemed | 26,150,000 | 805,000 | ||||||
Per share NAV beginning of period | $ | 27.91 | $ | 329.28 | ||||
Per share NAV end of period | $ | 24.43 | $ | 201.54 | ||||
Percentage change in per share NAV | (12.5 | )% | (38.8 | )% | ||||
Percentage change in benchmark | (5.6 | )% | (26.3 | )% | ||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (3,993,799 | ) | $ | (5,136,994 | ) | ||
Management fee | 2,221,755 | 2,969,740 | ||||||
Brokerage commission | 1,095,975 | 1,102,235 | ||||||
Non-recurring fees and expenses | — | 10,480 | ||||||
Net realized gain (loss) | (198,380,990 | ) | (559,537,850 | ) | ||||
Change in net unrealized appreciation (depreciation) | 186,742,221 | 15,303,127 | ||||||
Net Income (loss) | $ | (15,632,568 | ) | $ | (549,371,717 | ) | ||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,560,348 | $ | 2,764,355 | ||||
NAV end of period | $ | 2,539,880 | $ | 2,882,680 | ||||
Percentage change in NAV | (0.8 | )% | 4.3 | % | ||||
Shares outstanding beginning of period | 49,970 | 49,970 | ||||||
Shares outstanding end of period | 49,970 | 49,970 | ||||||
Percentage change in shares outstanding | — | % | — | % | ||||
Shares created | — | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 51.24 | $ | 55.32 | ||||
Per share NAV end of period | $ | 50.83 | $ | 57.69 | ||||
Percentage change in per share NAV | (0.8 | )% | 4.3 | % | ||||
Percentage change in benchmark | (0.2 | )% | 2.4 | % | ||||
Benchmark annualized volatility | 5.5 | % | 5.8 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (5,973 | ) | $ | (6,720 | ) | ||
Management fee | 6,233 | 6,813 | ||||||
Non-recurring fees and expenses | — | 78 | ||||||
Net realized gain (loss) | (25,554 | ) | 126,569 | |||||
Change in net unrealized appreciation (depreciation) | 11,059 | (1,524 | ) | |||||
Net Income (loss) | $ | (20,468 | ) | $ | 118,325 | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,304,732 | $ | 5,614,042 | ||||
NAV end of period | $ | 4,914,269 | $ | 5,173,668 | ||||
Percentage change in NAV | 113.2 | % | (7.8 | )% | ||||
Shares outstanding beginning of period | 50,000 | 100,000 | ||||||
Shares outstanding end of period | 100,000 | 100,000 | ||||||
Percentage change in shares outstanding | 100.0 | % | — | % | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 46.09 | $ | 56.14 | ||||
Per share NAV end of period | $ | 49.14 | $ | 51.74 | ||||
Percentage change in per share NAV | 6.6 | % | (7.8 | )% | ||||
Percentage change in benchmark | (3.6 | )% | 3.8 | % | ||||
Benchmark annualized volatility | 8.8 | % | 9.0 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (9,379 | ) | $ | (13,294 | ) | ||
Management fee | 8,860 | 12,478 | ||||||
Brokerage commission | 962 | 928 | ||||||
Non-recurring fees and expenses | — | 177 | ||||||
Net realized gain (loss) | 188,884 | (432,100 | ) | |||||
Change in net unrealized appreciation (depreciation) | 56,770 | 5,020 | ||||||
Net Income (loss) | $ | 236,275 | $ | (440,374 | ) | |||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 79,400,059 | $ | 117,821,898 | ||||
NAV end of period | $ | 93,575,213 | $ | 80,418,166 | ||||
Percentage change in NAV | 17.9 | % | (31.7 | )% | ||||
Shares outstanding beginning of period | 4,383,799 | 1,609,971 | ||||||
Shares outstanding end of period | 6,183,799 | 1,209,971 | ||||||
Percentage change in shares outstanding | 41.1 | % | (24.8 | )% | ||||
Shares created | 3,350,000 | 1,075,000 | ||||||
Shares redeemed | 1,550,000 | 1,475,000 | ||||||
Per share NAV beginning of period | $ | 18.11 | $ | 73.18 | ||||
Per share NAV end of period | $ | 15.13 | $ | 66.46 | ||||
Percentage change in per share NAV | (16.5 | )% | (9.2 | )% | ||||
Percentage change in benchmark | 5.4 | % | 2.6 | % | ||||
Benchmark annualized volatility | 30.9 | % | 26.3 | % | ||||
The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
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.
2021.
2021.
| 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 | |||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (241,725 | ) | $ | (342,320 | ) | ||
Management fee | 201,146 | 238,038 | ||||||
Brokerage commission | 29,277 | 64,657 | ||||||
Non-recurring fees and expenses | — | 4,892 | ||||||
Net realized gain (loss) | (11,449,562 | ) | (16,296,829 | ) | ||||
Change in net unrealized appreciation (depreciation) | (1,520,893 | ) | 5,848,114 | |||||
Net Income (loss) | $ | (13,212,180 | ) | $ | (10,791,035 | ) | ||
| * | 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 |
UltraShort Bloomberg Natural Gas NAV beginning of period NAV end of period Percentage change in NAV Shares outstanding beginning of period Shares outstanding end of period Percentage change in shares outstanding Shares created Shares redeemed Per share NAV beginning of period Per share NAV end of period Percentage change in per share NAV Percentage change in benchmark Benchmark annualized volatility 2021 and 2020:UltraPro 3x Short Crude Oil ETFSince 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.2017: Three Months Ended
September 30, 2017 $ 5,292,315 $ 15,768,728 198.0 % 200,008 900,008 350.0 % 700,000 — $ 26.46 $ 17.52 (33.8 )% 11.2 % 25.6 % $ 97,525,300 $ 28,552,210 $ 138,468,677 $ 46,937,986 42.0 % 64.4 % 4,524,832 424,832 19,724,832 1,224,832 335.9 % 188.3 % 20,500,000 3,200,000 5,300,000 2,400,000 $ 21.55 $ 67.21 $ 7.02 $ 38.32 (67.4 )% (43.0 )% 58.6 % 15.0 % 48.6 % 58.7 %
By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 424,832 outstanding Shares at June 30, 2020 to 1,224,832 outstanding Shares at September 30, 2020. 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
During the three months ended September 30, 2017, the 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 risedecrease of 11.2%67.4% for the three months ended September 30, 2017, can be attributed2021, as compared to an increasethe Fund’s per Share NAV decrease of 43.0% for the three months ended September 30, 2020, was primarily due to greater depreciation in the pricevalue of WTI Crude Oilthe assets held by the Fund during the three months ended September 30, 2017.
2021.
| 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 | ) | |
2021 and 2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (358,817 | ) | $ | (249,586 | ) | ||
Management fee | 258,824 | 138,507 | ||||||
Brokerage commission | 67,808 | 98,416 | ||||||
Non-recurring fees and expenses | — | 345 | ||||||
Net realized gain (loss) | (95,609,878 | ) | (31,449,992 | ) | ||||
Change in net unrealized appreciation (depreciation) | (17,871,536 | ) | 8,969,137 | |||||
Net Income (loss) | $ | (113,840,231 | ) | $ | (22,730,441 | ) | ||
Euro
| 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 | % | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 48,820,440 | $ | 78,848,965 | ||||
NAV end of period | $ | 48,640,817 | $ | 68,577,533 | ||||
Percentage change in NAV | (0.4 | )% | (13.0 | )% | ||||
Shares outstanding beginning of period | 2,050,000 | 2,950,000 | ||||||
Shares outstanding end of period | 1,950,000 | 2,800,000 | ||||||
Percentage change in shares outstanding | (4.9 | )% | (5.1 | )% | ||||
Shares created | 100,000 | 1,000,000 | ||||||
Shares redeemed | 200,000 | 1,150,000 | ||||||
Per share NAV beginning of period | $ | 23.81 | $ | 26.73 | ||||
Per share NAV end of period | $ | 24.94 | $ | 24.49 | ||||
Percentage change in per share NAV | 4.8 | % | (8.4 | )% | ||||
Percentage change in benchmark | (2.3 | )% | 4.4 | % | ||||
Benchmark annualized volatility | 4.5 | % | 6.3 | % | ||||
spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020.
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.
2021.
2021.
| 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 | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (111,725 | ) | $ | (144,828 | ) | ||
Management fee | 116,733 | 161,145 | ||||||
Non-recurring fees and expenses | — | 2,622 | ||||||
Net realized gain (loss) | 2,974,466 | (7,511,167 | ) | |||||
Change in net unrealized appreciation (depreciation) | (617,958 | ) | 1,525,791 | |||||
Net Income (loss) | $ | 2,244,783 | $ | (6,130,204 | ) | |||
2021.
| 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 | % | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 32,835,014 | $ | 15,851,043 | ||||
NAV end of period | $ | 27,731,022 | $ | 27,139,981 | ||||
Percentage change in NAV | (15.5 | )% | 71.2 | % | ||||
Shares outstanding beginning of period | 946,977 | 446,977 | ||||||
Shares outstanding end of period | 796,977 | 846,977 | ||||||
Percentage change in shares outstanding | (15.8 | )% | 89.5 | % | ||||
Shares created | 650,000 | 750,000 | ||||||
Shares redeemed | 800,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 34.67 | $ | 35.46 | ||||
Per share NAV end of period | $ | 34.80 | $ | 32.04 | ||||
Percentage change in per share NAV | 0.4 | % | (9.6 | )% | ||||
Percentage change in benchmark | (1.0 | )% | 3.6 | % | ||||
Benchmark annualized volatility | 13.8 | % | 19.1 | % | ||||
Fund during the three months ended September 30, 2021.
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (68,386 | ) | $ | (47,471 | ) | ||
Management fee | 66,304 | 45,591 | ||||||
Brokerage commission | 3,301 | 1,980 | ||||||
Non-recurring fees and expenses | — | 499 | ||||||
Net realized gain (loss) | 1,213,721 | (4,021,537 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,898,419 | ) | 2,689,061 | |||||
Net Income (loss) | $ | (753,084 | ) | $ | (1,379,947 | ) | ||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 34,859,763 | $ | 10,145,625 | ||||
NAV end of period | $ | 40,373,877 | $ | 51,055,675 | ||||
Percentage change in NAV | 15.8 | % | 403.2 | % | ||||
Shares outstanding beginning of period | 1,491,329 | 129,244 | ||||||
Shares outstanding end of period | 1,291,329 | 1,316,744 | ||||||
Percentage change in shares outstanding | (13.4 | )% | 918.8 | % | ||||
Shares created | 1,000,000 | 2,825,000 | ||||||
Shares redeemed | 1,200,000 | 1,637,500 | ||||||
Per share NAV beginning of period | $ | 23.37 | $ | 78.50 | ||||
Per share NAV end of period | $ | 31.27 | $ | 38.77 | ||||
Percentage change in per share NAV | 33.8 | % | (50.6 | )% | ||||
Percentage change in benchmark | (16.0 | )% | 25.1 | % | ||||
Benchmark annualized volatility | 26.7 | % | 57.7 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (102,532 | ) | $ | (94,990 | ) | ||
Management fee | 90,963 | 84,377 | ||||||
Brokerage commission | 8,141 | 8,539 | ||||||
Non-recurring fees and expenses | — | 321 | ||||||
Net realized gain (loss) | 6,662,145 | (15,896,820 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,922,596 | 11,129,734 | ||||||
Net Income (loss) | $ | 10,482,209 | $ | (4,862,076 | ) | |||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Silver. |
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 27,231,748 | $ | 29,787,034 | ||||
NAV end of period | $ | 23,328,922 | $ | 24,780,763 | ||||
Percentage change in NAV | (14.3 | )% | (16.8 | )% | ||||
Shares outstanding beginning of period | 349,290 | 399,290 | ||||||
Shares outstanding end of period | 299,290 | 349,290 | ||||||
Percentage change in shares outstanding | (14.3 | )% | (12.5 | )% | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 77.96 | $ | 74.60 | ||||
Per share NAV end of period | $ | 77.95 | $ | 70.95 | ||||
Percentage change in per share NAV | (0.0 | )%@ | (4.9 | )% | ||||
Percentage change in benchmark | (0.2 | )% | 2.4 | % | ||||
Benchmark annualized volatility | 5.5 | % | 5.8 | % | ||||
| @ | Amount represents greater than (0.05)%. |
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. 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.
2021.
2021.
| 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 | ) | ||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (54,645 | ) | $ | (55,870 | ) | ||
Management fee | 57,037 | 60,238 | ||||||
Non-recurring fees and expenses | — | 717 | ||||||
Net realized gain (loss) | 197,444 | (1,451,651 | ) | |||||
Change in net unrealized appreciation (depreciation) | (189,932 | ) | 201,521 | |||||
Net Income (loss) | $ | (47,133 | ) | $ | (1,306,000 | ) | ||
2021.
VIX
| 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 | % | ||||
2020:
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 92,662,734 | $ | 59,085,470 | ||||
NAV end of period | $ | 127,673,137 | $ | 101,957,520 | ||||
Percentage change in NAV | 37.7 | % | 72.6 | % | ||||
Shares outstanding beginning of period | 3,037,403 | 1,462,403 | ||||||
Shares outstanding end of period | 3,962,403 | 2,487,403 | ||||||
Percentage change in shares outstanding | 30.5 | % | 70.1 | % | ||||
Shares created | 1,200,000 | 1,150,000 | ||||||
Shares redeemed | 275,000 | 125,000 | ||||||
Per share NAV beginning of period | $ | 30.51 | $ | 40.40 | ||||
Per share NAV end of period | $ | 32.22 | $ | 40.99 | ||||
Percentage change in per share NAV | 5.6 | % | 1.5 | % | ||||
Percentage change in benchmark | 6.0 | % | 1.8 | % | ||||
Benchmark annualized volatility | 22.9 | % | 26.2 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (262,156 | ) | $ | (204,460 | ) | ||
Management fee | 221,356 | 172,587 | ||||||
Brokerage commission | 20,803 | 19,350 | ||||||
Net realized gain (loss) | (4,024,133 | ) | 755,845 | |||||
Change in net unrealized appreciation (depreciation) | 10,652,952 | 1,752,080 | ||||||
Net Income (loss) | $ | 6,366,663 | $ | 2,303,465 | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 272,352,675 | $ | 221,343,175 | ||||
NAV end of period | $ | 368,777,333 | $ | 279,272,297 | ||||
Percentage change in NAV | 35.3 | % | 26.2 | % | ||||
Shares outstanding beginning of period | 11,307,826 | 1,981,579 | ||||||
Shares outstanding end of period | 16,257,826 | 3,400,329 | ||||||
Percentage change in shares outstanding | 43.8 | % | 71.6 | % | ||||
Shares created | 6,300,000 | 1,662,500 | ||||||
Shares redeemed | 1,350,000 | 243,750 | ||||||
Per share NAV beginning of period | $ | 24.09 | $ | 111.70 | ||||
Per share NAV end of period | $ | 22.68 | $ | 82.13 | ||||
Percentage change in per share NAV | (5.8 | )% | (26.5 | )% | ||||
Percentage change in benchmark | (5.6 | )% | (26.3 | )% | ||||
Benchmark annualized volatility | 69.6 | % | 56.2 | % | ||||
Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (897,586 | ) | $ | (758,225 | ) | ||
Management fee | 660,051 | 560,301 | ||||||
Brokerage commission | 97,516 | 66,969 | ||||||
Net realized gain (loss) | (51,868,433 | ) | (75,120,135 | ) | ||||
Change in net unrealized appreciation (depreciation) | 42,168,297 | 556,466 | ||||||
Net Income (loss) | $ | (10,597,722 | ) | $ | (75,321,894 | ) | ||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. |
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 4,191,955 | $ | 2,282,195 | ||||
NAV end of period | $ | 2,206,818 | $ | 2,188,644 | ||||
Percentage change in NAV | (47.4 | )% | (4.1 | )% | ||||
Shares outstanding beginning of period | 100,000 | 50,000 | ||||||
Shares outstanding end of period | 50,000 | 50,000 | ||||||
Percentage change in shares outstanding | (50.0 | )% | – | % | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 41.92 | $ | 45.64 | ||||
Per share NAV end of period | $ | 44.14 | $ | 43.77 | ||||
Percentage change in per share NAV | 5.2 | % | (4.1 | )% | ||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | ||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (18,442 | ) | $ | (8,827 | ) | ||
Management fee | 19,278 | 16,266 | ||||||
Brokerage commission | 339 | 272 | ||||||
Non-recurring fees and expenses | — | 65 | ||||||
Net realized gain (loss) | 88,710 | (116,225 | ) | |||||
Change in net unrealized appreciation (depreciation) | 91,407 | 31,501 | ||||||
Net Income (loss) | $ | 161,675 | $ | (93,551 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 409,371,468 | $ | 284,437,179 | ||||
NAV end of period | $ | 388,523,845 | $ | 335,465,066 | ||||
Percentage change in NAV | (5.1 | )% | 17.9 | % | ||||
Shares outstanding beginning of period | 9,884,307 | 4,334,307 | ||||||
Shares outstanding end of period | 7,134,307 | 9,484,307 | ||||||
Percentage change in shares outstanding | (27.8 | )% | 118.8 | % | ||||
Shares created | 3,400,000 | 25,850,000 | ||||||
Shares redeemed | 6,150,000 | 20,700,000 | ||||||
Per share NAV beginning of period | $ | 41.42 | $ | 65.62 | ||||
Per share NAV end of period | $ | 54.46 | $ | 35.37 | ||||
Percentage change in per share NAV | 31.5 | % | (46.1 | )% | ||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | ||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (4,774,396 | ) | $ | (4,043,310 | ) | ||
Management fee | 3,415,545 | 3,592,232 | ||||||
Brokerage commission | 638,744 | 585,356 | ||||||
Non-recurring fees and expenses | — | 22,038 | ||||||
Net realized gain (loss) | 168,119,037 | (129,092,294 | ) | |||||
Change in net unrealized appreciation (depreciation) | (14,532,856 | ) | (2,709,070 | ) | ||||
Net Income (loss) | $ | 148,811,785 | $ | (135,844,674 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 902,739,250 | $ | 309,844,582 | ||||
NAV end of period | $ | 1,090,613,716 | $ | 1,195,885,056 | ||||
Percentage change in NAV | 20.8 | % | 286.0 | % | ||||
Shares outstanding beginning of period | 24,810,774 | 608,453 | ||||||
Shares outstanding end of period | 12,910,774 | 41,610,774 | ||||||
Percentage change in shares outstanding | (48.0 | )% | 6,738.8 | % | ||||
Shares created | 4,350,000 | 109,662,000 | ||||||
Shares redeemed | 16,250,000 | 68,659,679 | ||||||
Per share NAV beginning of period | $ | 36.38 | $ | 509.23 | ||||
Per share NAV end of period | $ | 84.47 | $ | 28.74 | ||||
Percentage change in per share NAV | 132.2 | % | (94.4 | )% | ||||
Percentage change in benchmark | 58.2 | % | (33.6 | )% | ||||
Benchmark annualized volatility | 29.1 | % | 90.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (9,100,359 | ) | $ | (8,010,293 | ) | ||
Management fee | 8,104,728 | 6,887,044 | ||||||
Brokerage commission | 701,710 | 1,744,115 | ||||||
Non-recurring fees and expenses | 27,500 | 24,637 | ||||||
Net realized gain (loss) | 761,182,708 | (891,020,242 | ) | |||||
Change in net unrealized appreciation (depreciation) | 176,076,207 | 106,126,899 | ||||||
Net Income (loss) | $ | 928,158,556 | $ | (792,903,636 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 169,800,371 | $ | 45,160,205 | ||||
NAV end of period | $ | 145,038,381 | $ | 99,203,762 | ||||
Percentage change in NAV | (14.6 | )% | 119.7 | % | ||||
Shares outstanding beginning of period | 8,087,527 | 537,815 | ||||||
Shares outstanding end of period | 1,737,527 | 2,887,527 | ||||||
Percentage change in shares outstanding | (78.5 | )% | 436.9 | % | ||||
Shares created | 5,200,000 | 5,835,000 | ||||||
Shares redeemed | 11,550,000 | 3,485,288 | ||||||
Per share NAV beginning of period | $ | 21.00 | $ | 83.97 | ||||
Per share NAV end of period | $ | 83.47 | $ | 34.36 | ||||
Percentage change in per share NAV | 297.6 | % | (59.1 | )% | ||||
Percentage change in benchmark | 113.0 | % | (28.5 | )% | ||||
Benchmark annualized volatility | 40.5 | % | 53.5 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (845,018 | ) | $ | (447,190 | ) | ||
Management fee | 568,903 | 378,784 | ||||||
Brokerage commission | 195,831 | 214,255 | ||||||
Non-recurring fees and expenses | — | 1,129 | ||||||
Net realized gain (loss) | 80,409,947 | 2,226,367 | ||||||
Change in net unrealized appreciation (depreciation) | 35,684,757 | (4,338,592 | ) | |||||
Net Income (loss) | $ | 115,249,686 | $ | (2,559,415 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 4,737,350 | $ | 6,204,424 | ||||
NAV end of period | $ | 3,479,104 | $ | 4,397,675 | ||||
Percentage change in NAV | (26.6 | )% | (29.1 | )% | ||||
Shares outstanding beginning of period | 300,000 | 450,000 | ||||||
Shares outstanding end of period | 250,000 | 300,000 | ||||||
Percentage change in shares outstanding | (16.7 | )% | (33.3 | )% | ||||
Shares created | 100,000 | 200,000 | ||||||
Shares redeemed | 150,000 | 350,000 | ||||||
Per share NAV beginning of period | $ | 15.79 | $ | 13.79 | ||||
Per share NAV end of period | $ | 13.92 | $ | 14.66 | ||||
Percentage change in per share NAV | (11.9 | )% | 6.3 | % | ||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | ||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (26,743 | ) | $ | (17,610 | ) | ||
Management fee | 28,158 | 33,852 | ||||||
Non-recurring fees and expenses | — | 108 | ||||||
Net realized gain (loss) | (186,149 | ) | 369,811 | |||||
Change in net unrealized appreciation (depreciation) | (251,418 | ) | (208,451 | ) | ||||
Net Income (loss) | $ | (464,310 | ) | $ | 143,750 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 263,540,473 | $ | 110,726,032 | ||||
NAV end of period | $ | 230,917,847 | $ | 275,450,606 | ||||
Percentage change in NAV | (12.4 | )% | 148.8 | % | ||||
Shares outstanding beginning of period | 3,900,000 | 2,250,000 | ||||||
Shares outstanding end of period | 4,150,000 | 4,000,000 | ||||||
Percentage change in shares outstanding | 6.4 | % | 77.8 | % | ||||
Shares created | 1,250,000 | 3,150,000 | ||||||
Shares redeemed | 1,000,000 | 1,400,000 | ||||||
Per share NAV beginning of period | $ | 67.57 | $ | 49.21 | ||||
Per share NAV end of period | $ | 55.64 | $ | 68.86 | ||||
Percentage change in per share NAV | (17.7 | )% | 39.9 | % | ||||
Percentage change in benchmark | (7.9 | )% | 21.4 | % | ||||
Benchmark annualized volatility | 15.7 | % | 22.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (1,745,829 | ) | $ | (789,004 | ) | ||
Management fee | 1,718,350 | 1,269,866 | ||||||
Brokerage commission | 32,974 | 28,599 | ||||||
Non-recurring fees and expenses | — | 3,751 | ||||||
Net realized gain (loss) | (27,599,609 | ) | 51,605,680 | |||||
Change in net unrealized appreciation (depreciation) | (19,136,522 | ) | (11,258,939 | ) | ||||
Net Income (loss) | $ | (48,481,960 | ) | $ | 39,557,737 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 745,304,028 | $ | 239,254,842 | ||||
NAV end of period | $ | 480,309,476 | $ | 620,883,156 | ||||
Percentage change in NAV | (35.6 | )% | 159.5 | % | ||||
Shares outstanding beginning of period | 14,696,526 | 7,546,526 | ||||||
Shares outstanding end of period | 15,146,526 | 14,696,526 | ||||||
Percentage change in shares outstanding | 3.1 | % | 94.7 | % | ||||
Shares created | 4,450,000 | 10,300,000 | ||||||
Shares redeemed | 4,000,000 | 3,150,000 | ||||||
Per share NAV beginning of period | $ | 50.71 | $ | 31.70 | ||||
Per share NAV end of period | $ | 31.71 | $ | 42.25 | ||||
Percentage change in per share NAV | (37.5 | )% | 33.3 | % | ||||
Percentage change in benchmark | (17.0 | )% | 27.4 | % | ||||
Benchmark annualized volatility | 33.0 | % | 48.6 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (4,805,716 | ) | $ | (1,555,626 | ) | ||
Management fee | 4,640,919 | 2,369,293 | ||||||
Brokerage commission | 114,716 | 99,986 | ||||||
Non-recurring fees and expenses | — | 3,943 | ||||||
Net realized gain (loss) | (80,038,809 | ) | 297,927,456 | |||||
Change in net unrealized appreciation (depreciation) | (192,156,316 | ) | (215,073,543 | ) | ||||
Net Income (loss) | $ | (277,000,841 | ) | $ | 81,298,287 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 1,356,204,199 | $ | 527,636,003 | ||||
NAV end of period | $ | 1,020,845,873 | $ | 1,307,611,521 | ||||
Percentage change in NAV | (24.7 | )% | 147.8 | % | ||||
Shares outstanding beginning of period | 12,713,091 | 4,163,091 | ||||||
Shares outstanding end of period | 41,778,420 | 6,488,091 | ||||||
Percentage change in shares outstanding | 228.6 | % | 55.8 | % | ||||
Shares created | 70,385,000 | 7,755,000 | ||||||
Shares redeemed | 41,319,671 | 5,430,000 | ||||||
Per share NAV beginning of period | $ | 106.68 | $ | 126.74 | ||||
Per share NAV end of period | $ | 24.43 | $ | 201.54 | ||||
Percentage change in per share NAV | (77.1 | )% | 59.0 | % | ||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | ||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (16,038,632 | ) | $ | (7,952,015 | ) | ||
Management fee | 8,897,953 | 5,646,893 | ||||||
Brokerage commission | 4,225,879 | 2,282,095 | ||||||
Non-recurring fees and expenses | — | 10,480 | ||||||
Net realized gain (loss) | (1,757,407,418 | ) | 58,666,590 | |||||
Change in net unrealized appreciation (depreciation) | 146,498,138 | 66,319,163 | ||||||
Net Income (loss) | $ | (1,626,947,912 | ) | $ | 117,033,738 | |||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF. |
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,989,499 | $ | 5,580,964 | ||||
NAV end of period | $ | 2,539,880 | $ | 2,882,680 | ||||
Percentage change in NAV | (15.0 | )% | (48.3 | )% | ||||
Shares outstanding beginning of period | 49,970 | 99,970 | ||||||
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 | $ | 59.83 | $ | 55.83 | ||||
Per share NAV end of period | $ | 50.83 | $ | 57.69 | ||||
Percentage change in per share NAV | (15.0 | )% | 3.3 | % | ||||
Percentage change in benchmark | (7.2 | )% | 3.0 | % | ||||
Benchmark annualized volatility | 5.2 | % | 10.2 | % | ||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (18,221 | ) | $ | (11,633 | ) | ||
Management fee | 19,144 | 20,655 | ||||||
Non-recurring fees and expenses | — | 78 | ||||||
Net realized gain (loss) | (305,028 | ) | 11,333 | |||||
Change in net unrealized appreciation (depreciation) | (126,370 | ) | 48,030 | |||||
Net Income (loss) | $ | (449,619 | ) | $ | 47,730 | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 2,222,639 | $ | 5,608,612 | ||||
NAV end of period | $ | 4,914,269 | $ | 5,173,668 | ||||
Percentage change in NAV | 121.1 | % | (7.8 | )% | ||||
Shares outstanding beginning of period | 50,000 | 100,000 | ||||||
Shares outstanding end of period | 100,000 | 100,000 | ||||||
Percentage change in shares outstanding | 100.0 | % | — | % | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 44.45 | $ | 56.09 | ||||
Per share NAV end of period | $ | 49.14 | $ | 51.74 | ||||
Percentage change in per share NAV | 10.6 | % | (7.8 | )% | ||||
Percentage change in benchmark | (6.2 | )% | 2.1 | % | ||||
Benchmark annualized volatility | 9.5 | % | 13.0 | % | ||||
For the threenine months ended September 30, 20172021, as compared to the Fund’s per Share NAV decrease of 7.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (19,952 | ) | $ | (26,054 | ) | ||
Management fee | 19,191 | 42,496 | ||||||
Brokerage commission | 1,722 | 3,766 | ||||||
Non-recurring fees and expenses | — | 177 | ||||||
Net realized gain (loss) | 17,207 | (799,054 | ) | |||||
Change in net unrealized appreciation (depreciation) | 321,113 | 390,164 | ||||||
Net Income (loss) | $ | 318,368 | $ | (434,944 | ) | |||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 96,839,233 | $ | 125,451,681 | ||||
NAV end of period | $ | 93,575,213 | $ | 80,418,166 | ||||
Percentage change in NAV | (3.4 | )% | (35.9 | )% | ||||
Shares outstanding beginning of period | 2,084,971 | 2,572,471 | ||||||
Shares outstanding end of period | 6,183,799 | 1,209,971 | ||||||
Percentage change in shares outstanding | 196.6 | % | (53.0 | )% | ||||
Shares created | 7,237,500 | 6,662,500 | ||||||
Shares redeemed | 3,138,672 | 8,025,000 | ||||||
Per share NAV beginning of period | $ | 46.45 | $ | 48.77 | ||||
Per share NAV end of period | $ | 15.13 | $ | 66.46 | ||||
Percentage change in per share NAV | (67.4 | )% | 36.3 | % | ||||
Percentage change in benchmark | 58.2 | % | (33.6 | )% | ||||
Benchmark annualized volatility | 29.1 | % | 90.6 | % | ||||
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 threenine months ended September 30, 2017.
During2021.
The benchmark’s rise of 3.5% for the three months ended September 30, 2017,2021, as compared to the benchmark’s risedecline of 1.2%33.6% for the threenine months ended September 30, 2016,2020, can be attributed to a greateran increase in the value of the euro versus the U.S. dollarWTI Crude Oil during the three monthsperiod ended September 30, 2017.
2021.
| 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 | ) | ||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (751,650 | ) | $ | (1,155,759 | ) | ||
Management fee | 603,444 | 789,307 | ||||||
Brokerage commission | 100,902 | 488,442 | ||||||
Non-recurring fees and expenses | — | 4,892 | ||||||
Net realized gain (loss) | (86,637,748 | ) | 28,429,826 | |||||
Change in net unrealized appreciation (depreciation) | (5,829,481 | ) | 7,227,746 | |||||
Net Income (loss) | $ | (93,218,879 | ) | $ | 34,501,813 | |||
2021.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
Bloomberg Natural Gas
| 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 | % | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 24,977,745 | $ | 12,515,603 | ||||
NAV end of period | $ | 138,468,677 | $ | 46,937,986 | ||||
Percentage change in NAV | 454.4 | % | 275.0 | % | ||||
Shares outstanding beginning of period | 524,832 | 324,832 | ||||||
Shares outstanding end of period | 19,724,832 | 1,224,832 | ||||||
Percentage change in shares outstanding | 3,658.3 | % | 277.1 | % | ||||
Shares created | 28,050,000 | 4,400,000 | ||||||
Shares redeemed | 8,850,000 | 3,500,000 | ||||||
Per share NAV beginning of period | $ | 47.59 | $ | 38.53 | ||||
Per share NAV end of period | $ | 7.02 | $ | 38.32 | ||||
Percentage change in per share NAV | (85.3 | )% | (0.5 | )% | ||||
Percentage change in benchmark | 113.0 | % | (28.5 | )% | ||||
Benchmark annualized volatility | 40.5 | % | 53.5 | % | ||||
Bloomberg Natural Gas Subindex
During2021.
The benchmark’s rise of 2.1% for the three months ended September 30, 2017,2021, as compared to the benchmark’s risedecline of 2.7%28.5% for the threenine months ended September 30, 2016,2020, can be attributed to a lesser risean increase in the value of the Australian dollar versus the U.S. dollarHenry Hub Natural Gas during the three monthsperiod ended September 30, 2017.
2021.
| 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 | ) | ||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (932,981 | ) | $ | (358,912 | ) | ||
Management fee | 609,472 | 207,544 | ||||||
Brokerage commission | 249,831 | 177,159 | ||||||
Non-recurring fees and expenses | — | 345 | ||||||
Net realized gain (loss) | (112,274,576 | ) | (20,587,724 | ) | ||||
Change in net unrealized appreciation (depreciation) | (35,670,233 | ) | 9,530,109 | |||||
Net Income (loss) | $ | (148,877,790 | ) | $ | (11,416,527 | ) | ||
2021.
| 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 | % | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 52,953,339 | $ | 120,581,173 | ||||
NAV end of period | $ | 48,640,817 | $ | 68,577,533 | ||||
Percentage change in NAV | (8.1 | )% | (43.1 | )% | ||||
Shares outstanding beginning of period | 2,350,000 | 4,500,000 | ||||||
Shares outstanding end of period | 1,950,000 | 2,800,000 | ||||||
Percentage change in shares outstanding | (17.0 | )% | (37.8 | )% | ||||
Shares created | 300,000 | 1,350,000 | ||||||
Shares redeemed | 700,000 | 3,050,000 | ||||||
Per share NAV beginning of period | $ | 22.53 | $ | 26.80 | ||||
Per share NAV end of period | $ | 24.94 | $ | 24.49 | ||||
Percentage change in per share NAV | 10.7 | % | (8.6 | )% | ||||
Percentage change in benchmark | (5.2 | )% | 4.5 | % | ||||
Benchmark annualized volatility | 5.6 | % | 7.9 | % | ||||
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 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,299,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 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, 2017 and 2016,2020, 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%10.7% for the threenine months ended September 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 4.5%8.6% for the threenine months ended September 30, 2016,2020, was primarily due to an appreciation in the value of the assets held by the Fund during the threenine months ended September 30, 2017.
During2021.
The benchmark’s decline of 0.03% for the three months ended September 30, 2017,2021, as compared to the benchmark’s rise of 1.8%4.5% for the threenine months ended September 30, 2016,2020, can be attributed to a declinedecrease in the value of the Japanese yeneuro versus the U.S. dollar during the three monthsperiod ended September 30, 2017.
2021.
| 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 | ) | ||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (337,637 | ) | $ | (154,217 | ) | ||
Management fee | 355,451 | 638,218 | ||||||
Non-recurring fees and expenses | — | 2,622 | ||||||
Net realized gain (loss) | 2,249,236 | (8,749,752 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,263,109 | 3,446,359 | ||||||
Net Income (loss) | $ | 5,174,708 | $ | (5,457,610 | ) | |||
ProShares Ultra Bloomberg Crude Oil*
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 | $ | 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 | % | ||||
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, the increase in the Fund’s NAV resulted from an increase from 36,938,933 outstanding Shares at June 30, 2016 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 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.
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, 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 2,350,000 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 of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.
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 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 threenine 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 value2021.
UltraShort Gold
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 | % | ||||
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
| 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 | % | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 20,337,376 | $ | 21,047,560 | ||||
NAV end of period | $ | 27,731,022 | $ | 27,139,981 | ||||
Percentage change in NAV | 36.4 | % | 28.9 | % | ||||
Shares outstanding beginning of period | 646,977 | 396,977 | ||||||
Shares outstanding end of period | 796,977 | 846,977 | ||||||
Percentage change in shares outstanding | 23.2 | % | 113.4 | % | ||||
Shares created | 1,700,000 | 1,100,000 | ||||||
Shares redeemed | 1,550,000 | 650,000 | ||||||
Per share NAV beginning of period | $ | 31.43 | $ | 53.02 | ||||
Per share NAV end of period | $ | 34.80 | $ | 32.04 | ||||
Percentage change in per share NAV | 10.7 | % | (39.6 | )% | ||||
Percentage change in benchmark | (7.9 | )% | 3.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 22.6 | % | ||||
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.
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, 2017,2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000646,977 outstanding Shares at December 31, 20162020 to 11,100,000796,977 outstanding Shares at September 30, 2017.2021. 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 two times the inverse
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.
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, 2017,2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,965,383396,977 outstanding Shares at December 31, 20162019 to 25,927,238846,977 outstanding Shares at September 30, 2017.2020. 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
Bloomberg Gold Subindex
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.
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 2016,2020, 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%10.7% for the nine months ended September 30, 2017,2021, as compared to the Fund’s per Share NAV decrease of 39.9%39.6% for the nine months ended September 30, 2016,2020, was primarily due to an 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 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.
2021.
2021.
| 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 | ) | |||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (208,304 | ) | $ | (73,179 | ) | ||
Management fee | 199,999 | 129,451 | ||||||
Brokerage commission | 9,174 | 5,743 | ||||||
Non-recurring fees and expenses | — | 499 | ||||||
Net realized gain (loss) | (1,767,467 | ) | (12,041,690 | ) | ||||
Change in net unrealized appreciation (depreciation) | 1,727,781 | 2,727,104 | ||||||
Net Income (loss) | $ | (247,990 | ) | $ | (9,387,765 | ) | ||
2021.
UltraShort Silver
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.
| 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
Duringfor the periodnine months ended September 30, 2017,2021 and 2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 28,885,775 | $ | 13,834,163 | ||||
NAV end of period | $ | 40,373,877 | $ | 51,055,675 | ||||
Percentage change in NAV | 39.8 | % | 269.1 | % | ||||
Shares outstanding beginning of period | 1,041,744 | 129,244 | ||||||
Shares outstanding end of period | 1,291,329 | 1,316,744 | ||||||
Percentage change in shares outstanding | 24.0 | % | 918.8 | % | ||||
Shares created | 3,750,000 | 3,025,000 | ||||||
Shares redeemed | 3,500,415 | 1,837,500 | ||||||
Per share NAV beginning of period | $ | 27.73 | $ | 107.04 | ||||
Per share NAV end of period | $ | 31.27 | $ | 38.77 | ||||
Percentage change in per share NAV | 12.8 | % | (63.8 | )% | ||||
Percentage change in benchmark | (17.0 | )% | 27.4 | % | ||||
Benchmark annualized volatility | 33.0 | % | 48.6 | % | ||||
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, 2016,2020, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 224,856129,244 outstanding Shares at December 31, 20152019 to 174,8321,316,744 outstanding Shares at September 30, 2016.2020. 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 2x oftwo times the inverse
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.
2021.
2021.
| 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 | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (279,779 | ) | $ | (122,284 | ) | ||
Management fee | 248,539 | 147,262 | ||||||
Brokerage commission | 19,409 | 16,460 | ||||||
Non-recurring fees and expenses | — | 321 | ||||||
Net realized gain (loss) | (2,146,577 | ) | (18,932,319 | ) | ||||
Change in net unrealized appreciation (depreciation) | 10,463,787 | 12,566,119 | ||||||
Net Income (loss) | $ | 8,037,431 | $ | (6,488,484 | ) | |||
2021.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Silver. |
Yen
| 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 | % | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 23,691,070 | $ | 38,132,320 | ||||
NAV end of period | $ | 23,328,922 | $ | 24,780,763 | ||||
Percentage change in NAV | (1.5 | )% | (35.0 | )% | ||||
Shares outstanding beginning of period | 349,290 | 499,290 | ||||||
Shares outstanding end of period | 299,290 | 349,290 | ||||||
Percentage change in shares outstanding | (14.3 | )% | (30.0 | )% | ||||
Shares created | 100,000 | 100,000 | ||||||
Shares redeemed | 150,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 67.83 | $ | 76.37 | ||||
Per share NAV end of period | $ | 77.95 | $ | 70.95 | ||||
Percentage change in per share NAV | 14.9 | % | (7.1 | )% | ||||
Percentage change in benchmark | (7.2 | )% | 3.0 | % | ||||
Benchmark annualized volatility | 5.2 | % | 10.2 | % | ||||
dollar.
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.
2021.
2021.
| 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 | ) | ||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (186,478 | ) | $ | (73,411 | ) | ||
Management fee | 196,036 | 209,105 | ||||||
Non-recurring fees and expenses | — | 717 | ||||||
Net realized gain (loss) | 3,055,103 | (1,847,423 | ) | |||||
Change in net unrealized appreciation (depreciation) | 1,066,333 | (429,087 | ) | |||||
Net Income (loss) | $ | 3,934,958 | $ | (2,349,921 | ) | |||
2021.
VIX
| 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 | % | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 72,075,095 | $ | 45,986,584 | ||||
NAV end of period | $ | 127,673,137 | $ | 101,957,520 | ||||
Percentage change in NAV | 77.1 | % | 121.7 | % | ||||
Shares outstanding beginning of period | 1,962,403 | 2,162,403 | ||||||
Shares outstanding end of period | 3,962,403 | 2,487,403 | ||||||
Percentage change in shares outstanding | 101.9 | % | 15.0 | % | ||||
Shares created | 2,625,000 | 2,250,000 | ||||||
Shares redeemed | 625,000 | 1,925,000 | ||||||
Per share NAV beginning of period | $ | 36.73 | $ | 21.27 | ||||
Per share NAV end of period | $ | 32.22 | $ | 40.99 | ||||
Percentage change in per share NAV | (12.3 | )% | 92.8 | % | ||||
Percentage change in benchmark | (11.4 | )% | 94.3 | % | ||||
Benchmark annualized volatility | 28.3 | % | 63.0 | % | ||||
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 decreasean increase from 350,0001,962,403 outstanding Shares at December 31, 20162020 to 200,0003,962,403 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 | % | ||||
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, 2016.2021. 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 of the inverse of the daily performance of the spot priceS&P 500 VIX
daily performance of the S&P 500 VIX
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.
2021.
2021.
| 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 | ) | ||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (694,100 | ) | $ | (290,253 | ) | ||
Management fee | 586,702 | 391,147 | ||||||
Brokerage commission | 48,211 | 51,973 | ||||||
Net realized gain (loss) | (14,890,359 | ) | 21,708,785 | |||||
Change in net unrealized appreciation (depreciation) | 5,949,460 | 5,421,417 | ||||||
Net Income (loss) | $ | (9,634,999 | ) | $ | 26,839,949 | |||
2021.
VIX Short-Term Futures ETF
| 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 | % | ||||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
NAV beginning of period | $ | 293,390,549 | $ | 279,792,503 | ||||
NAV end of period | $ | 368,777,333 | $ | 279,272,297 | ||||
Percentage change in NAV | 25.7 | % | (0.2 | )% | ||||
Shares outstanding beginning of period | 5,331,579 | 5,687,829 | ||||||
Shares outstanding end of period | 16,257,826 | 3,400,329 | ||||||
Percentage change in shares outstanding | 204.9 | % | (40.2 | )% | ||||
Shares created | 16,556,250 | 4,331,250 | ||||||
Shares redeemed | 5,630,003 | 6,618,750 | ||||||
Per share NAV beginning of period | $ | 55.03 | $ | 49.19 | ||||
Per share NAV end of period | $ | 22.68 | $ | 82.13 | ||||
Percentage change in per share NAV | (58.8 | )% | 67.0 | % | ||||
Percentage change in benchmark | (58.4 | )% | 68.5 | % | ||||
Benchmark annualized volatility | 73.8 | % | 112.9 | % | ||||
S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 3,400,329 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
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.
2021.
2021.
| 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 | |||
2020:
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||
Net investment income (loss) | $ | (3,019,972 | ) | $ | (1,057,822 | ) | ||
Management fee | 2,154,874 | 1,584,861 | ||||||
Brokerage commission | 365,013 | 311,826 | ||||||
Net realized gain (loss) | (304,349,667 | ) | 249,771,936 | |||||
Change in net unrealized appreciation (depreciation) | 27,729,790 | 16,589,740 | ||||||
Net Income (loss) | $ | (279,639,849 | ) | $ | 265,303,854 | |||
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares |
ProShares UltraPro 3x Crude Oil ETF
Fund Performance
Since the Fund commenced investment operations on March 24, 2017, comparisons
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 | ||
ProShares Ultra 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 | $ | 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 | % | ||||
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, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.
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 53.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.0% 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 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.
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) | $ | (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 | ) | ||
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 during the nine months ended September 30, 2017.
ProShares Ultra 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 | $ | 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 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 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 21.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 49.4% for the nine months ended September 30, 2016 was primarily due to a lesser 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 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.
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) | $ | (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 | ||||
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 lesser increase in the price of spot gold in U.S. dollar terms in conjunction with share transactions during the nine months ended September 30, 2017.
ProShares Ultra 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 | $ | 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 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,196,526 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver 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 silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016.
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 increase of 1.7% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 81.1% for the nine months ended September 30, 2016, was primarily due to a lesser 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 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.
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) | $ | (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 | ||||
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 lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.
ProShares Ultra 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 | $ | 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 | % | ||||
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 daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 850,000 outstanding Shares at December 31, 2016 to 800,000 outstanding Shares at September 30, 2017. 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. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.
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 increase of 22.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, was primarily due to a greater 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 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.
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) | $ | (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 | ||||
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 euro versus the U.S. dollar during the nine months ended September 30, 2017.
ProShares Ultra 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 | $ | 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 | % | ||||
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 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, 2016 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.
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 increase of 4.8% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 36.0% for the nine months ended September 30, 2016, 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.
The benchmark’s rise of 3.9% for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen 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) | $ | (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 | ||||
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 lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.
Qualitative Disclosures About Market Risk.
and Commodity Price Sensitivity
Short Euro
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 | ||||||||||||||||||
2021
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2021 | 15 | $ | 1.16 | 125,000 | $ | (2,175,000 | ) | |||||||||||
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 | ||||||||||||||||||
2020
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2020 | 15 | $ | 1.17 | 125,000 | $ | (2,200,406 | ) | |||||||||||
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 20162020 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
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | October 2021 | 4,341 | $ | 22.87 | 1,000 | $ | (99,269,120 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2021 | 4,001 | 23.69 | 1,000 | (94,767,286 | ) | |||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Short | October 2020 | 2,972 | $ | 30.38 | 1,000 | $ | (90,274,500 | ) | |||||||||||
VIX Futures (Cboe) | Short | November 2020 | 2,335 | 32.88 | 1,000 | (76,763,125 | ) | |||||||||||||
ProShares Ultra VIX Short-Term Futures ETF:
As of September 30, 2017 and 2016, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX
ProShares Ultra Bloomberg Crude Oil: As of September 30, 2021 and 2020, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM and Bloomberg WTI Crude Oil SubindexSM , respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, 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 | ||||||||||||||||||
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 | ||||||||||||||||||
2021
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 5,657 | $ | 74.70 | 1,000 | $ | 422,577,900 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2022 | 5,843 | 71.15 | 1,000 | 415,729,450 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 6,063 | 67.70 | 1,000 | 410,465,100 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 63.6871 | $ | 143,554,545 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 63.6871 | 203,094,978 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 63.6871 | 248,642,399 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 63.6871 | 135,481,695 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 63.6871 | 201,694,052 | ||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2020 | 19,296 | $ | 40.47 | 1,000 | $ | 780,909,120 | ||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2021 | 18,635 | 42.28 | 1,000 | 787,887,800 | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2021 | 18,385 | 43.12 | 1,000 | 792,761,200 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil Subindex | Societe Generale | Long | $ | 35.2114 | $ | 30,255,607 | ||||||||
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
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2021 | 4,944 | $ | 5.87 | 10,000 | $ | 290,064,480 | ||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | November 2020 | 7,854 | $ | 2.53 | 10,000 | $ | 198,470,580 | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/08/21 | 3,388,921 | 1.1851 | $ | 4,016,217 | |||||||||||||
Euro | UBS AG | Long | 10/08/21 | 2,801,502 | 1.1849 | 3,319,491 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/08/21 | (93,000 | ) | 1.1685 | (108,671 | ) | ||||||||||||
Euro | UBS AG | Short | 10/08/21 | (84,000 | ) | 1.1726 | (98,499 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/09/20 | 3,440,921 | 1.1835 | $ | 4,072,330 | |||||||||||||
Euro | UBS AG | Long | 10/09/20 | 6,830,302 | 1.1845 | 8,090,716 | ||||||||||||||
Euro | UBS AG | Short | 10/09/20 | (2,760,000 | ) | 1.1801 | (3,257,049 | ) | ||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2021 | 856 | $ | 1,757.00 | 100 | $ | 150,399,200 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 193.6583 | $ | 107,235,945 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 193.6583 | 92,669,240 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 193.6583 | 111,553,685 | ||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | December 2020 | 1,114 | $ | 1,895.50 | 100 | $ | 211,158,700 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 211.1862 | $ | 116,941,808 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 211.1862 | 101,056,679 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 211.1862 | 121,650,344 | ||||||||
of September 30, 2021
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2021 | 1,213 | $ | 22.05 | 5,000 | $ | 133,715,055 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 200.3035 | $ | 219,572,067 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 200.3035 | 219,657,055 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 200.3035 | 204,665,509 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 200.3035 | 182,787,599 | ||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | December 2020 | 3,288 | $ | 23.49 | 5,000 | $ | 386,241,359 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 215.9803 | $ | 257,181,535 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 215.9803 | 223,086,085 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 215.9803 | 205,360,117 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 215.9803 | 169,907,857 | ||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2021 | 32,595 | $ | 22.87 | 1,000 | $ | 745,375,941 | ||||||||||||
VIX Futures (Cboe) | Long | November 2021 | 30,104 | 23.69 | 1,000 | 713,040,334 | ||||||||||||||
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 International | Long | $ | 27.8300 | $ | 73,401,625 | ||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2020 | 34,258 | $ | 30.38 | 1,000 | $ | 1,040,586,750 | ||||||||||||
VIX Futures (Cboe) | Long | November 2020 | 26,919 | 32.88 | 1,000 | 884,962,125 | ||||||||||||||
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 | $ | 25.0468 | $ | 38,626,764 | ||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/08/21 | 327,930,517 | 0.009089 | $ | 2,980,604 | |||||||||||||
Yen | UBS AG | Long | 10/08/21 | 253,562,756 | 0.009086 | 2,303,860 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/08/21 | (6,319,000 | ) | 0.008956 | (56,590 | ) | ||||||||||||
Yen | UBS AG | Short | 10/08/21 | (10,090,000 | ) | 0.009078 | (91,593 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/09/20 | 332,532,517 | 0.009418 | $ | 3,131,929 | |||||||||||||
Yen | UBS AG | Long | 10/09/20 | 278,602,756 | 0.009425 | 2,625,726 | ||||||||||||||
Yen | UBS AG | Short | 10/09/20 | (2,680,000 | ) | 0.009488 | (25,429 | ) | ||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | December 2021 | 136 | $ | 72.29 | 1,000 | $ | (9,838,240 | ) | |||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | December 2020 | 145 | $ | 71.63 | 1,000 | $ | (10,386,350 | ) | |||||||||||
| 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 | ) | |||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 848 | $ | 74.70 | 1,000 | $ | (63,345,600 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 876 | 71.15 | 1,000 | (62,327,400 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 909 | 67.70 | 1,000 | (61,539,300 | ) | |||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2020 | 1,314 | $ | 40.47 | 1,000 | $ | (53,177,580 | ) | |||||||||||
WTI Crude Oil (NYMEX) | Short | June 2021 | 1,269 | 42.28 | 1,000 | (53,653,320 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2021 | 1,252 | 43.12 | 1,000 | (53,986,240 | ) | |||||||||||||
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.
third-party custodian.
| 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 | ) | |||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2021 | 4,720 | $ | 5.87 | 10,000 | $ | (276,922,400 | ) | |||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Short | November 2020 | 3,715 | $ | 2.53 | 10,000 | $ | (93,878,050 | ) | |||||||||||
ProShares UltraShort Gold:
As of September 30, 2017 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 InstrumentsWhile 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 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.
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 | ) | |||||||||||||||
Contract Australian Dollar Fx Currency Futures (CME)Futures Positions as of September 30, 2016 Long or
Short Expiration Contracts Valuation
Price Contract
Multiplier Notional
Amount at Value 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 2016,2020, 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, 20172021 and 2016,2020, 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 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 10/08/21 | 5,650,000 | 1.1862 | $ | 6,702,072 | |||||||||||||
Euro | Goldman Sachs International | Short | 10/08/21 | (39,458,263 | ) | 1.1837 | (46,708,330 | ) | ||||||||||||
Euro | UBS AG | Short | 10/08/21 | (49,895,199 | ) | 1.1841 | (59,081,294 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | Goldman Sachs International | Long | 10/09/20 | 3,698,000 | 1.1727 | $ | 4,336,534 | |||||||||||||
Euro | UBS AG | Long | 10/09/20 | 6,700,000 | 1.1787 | 7,897,485 | ||||||||||||||
Euro | Goldman Sachs International | Short | 10/09/20 | (41,689,263 | ) | 1.1835 | (49,339,243 | ) | ||||||||||||
Euro | UBS AG | Short | 10/09/20 | (85,627,199 | ) | 1.1818 | (101,193,803 | ) | ||||||||||||
third-party custodian.
Gold:
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2021 | 114 | $ | 1,757.00 | 100 | $ | (20,029,800 | ) | |||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 193.6583 | $ | (14,518,233 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 193.6583 | (9,497,933 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 193.6583 | (11,357,509 | ) | |||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Short | December 2020 | 111 | $ | 1,895.50 | 100 | $ | (21,040,050 | ) | |||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 211.1862 | $ | (10,138,690 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 211.1862 | (8,325,763 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 211.1862 | (14,773,987 | ) | |||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2021 | 380 | $ | 22.05 | 5,000 | $ | (41,889,300 | ) | |||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 200.3035 | $ | (7,432,206 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 200.3035 | (9,839,512 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 200.3035 | (7,779,988 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 200.3035 | (13,786,912 | ) | |||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | December 2020 | 296 | $ | 23.49 | 5,000 | $ | (34,771,120 | ) | |||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 215.9803 | $ | (26,820,589 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 215.9803 | (22,073,190 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 215.9803 | (4,366,690 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 215.9803 | (14,081,291 | ) | |||||||
| 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 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/08/21 | 32,600,000 | 0.009147 | $ | 298,181 | |||||||||||||
Yen | UBS AG | Long | 10/08/21 | 373,110,000 | 0.009098 | 3,394,710 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/08/21 | (1,558,854,165 | ) | 0.009077 | (14,149,247 | ) | ||||||||||||
Yen | UBS AG | Short | 10/08/21 | (4,049,118,875 | ) | 0.009085 | (36,785,074 | ) | ||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 10/09/20 | 23,643,000 | 0.009483 | $ | 224,207 | |||||||||||||
Yen | UBS AG | Long | 10/09/20 | 223,810,000 | 0.009506 | 2,127,624 | ||||||||||||||
Yen | Goldman Sachs International | Short | 10/09/20 | (2,032,728,165 | ) | 0.009418 | (19,145,073 | ) | ||||||||||||
Yen | UBS AG | Short | 10/09/20 | (3,439,162,875 | ) | 0.009426 | (32,416,476 | ) | ||||||||||||
Commodity Price Sensitivity
Eachthird-party custodian.
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2017 and 2016,2020, the ProShares Ultra Bloomberg Crude OilVIX
| 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 | ||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2022 | 872 | $ | 24.80 | 1,000 | $ | 21,626,210 | ||||||||||||
VIX Futures (Cboe) | Long | February 2022 | 1,677 | 25.23 | 1,000 | 42,304,841 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2022 | 1,677 | 25.66 | 1,000 | 43,023,603 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 804 | 25.83 | 1,000 | 20,765,953 | ||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | January 2021 | 652 | $ | 29.88 | 1,000 | $ | 19,478,500 | ||||||||||||
VIX Futures (Cboe) | Long | February 2021 | 1,165 | 29.40 | 1,000 | 34,251,000 | ||||||||||||||
VIX Futures (Cboe) | Long | March 2021 | 1,165 | 28.93 | 1,000 | 33,697,625 | ||||||||||||||
VIX Futures (Cboe) | Long | April 2021 | 512 | 28.38 | 1,000 | 14,528,000 | ||||||||||||||
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 Formonea single day.
VIX Short-Term Futures ETF
| 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 | ||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2021 | 8,245 | $ | 22.87 | 1,000 | $ | 188,545,011 | ||||||||||||
VIX Futures (Cboe) | Long | November 2021 | 7,617 | 23.69 | 1,000 | 180,415,500 | ||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | October 2020 | 4,979 | $ | 30.38 | 1,000 | $ | 151,237,125 | ||||||||||||
VIX Futures (Cboe) | Long | November 2020 | 3,912 | 32.88 | 1,000 | 128,607,000 | ||||||||||||||
ProShares Ultra Gold:
| 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,
There has
and April 2020, the U.S. federal government passed various legislation in response to the
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 sale
Title of Securities Registered | Amount Registered as of September 30, 2021 | Shares Sold For the Three Months Ended September 30, 2021 | Sale Price of Shares Sold For the Three Months Ended September 30, 2021 | Shares Sold For the Nine Months Ended September 30, 2021 | Sale Price of Shares Sold For the Nine Months Ended September 30, 2021 | |||||||||||||||
ProShares Short Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 35,191,282 | — | $ | — | — | $ | — | ||||||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,389,373,514 | 550,000 | $ | 30,777,084 | 3,400,000 | $ | 150,390,026 | ||||||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,385,606,139 | 950,000 | $ | 62,865,806 | 4,350,000 | $ | 240,118,659 | ||||||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 548,831,164 | 1,150,000 | $ | 79,122,213 | 5,200,000 | $ | 169,309,627 | ||||||||||||
ProShares Ultra Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 12,965,765 | — | $ | — | 100,000 | $ | 1,488,793 | ||||||||||||
ProShares Ultra Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 437,056,102 | 250,000 | $ | 14,836,141 | 1,250,000 | $ | 75,112,671 | ||||||||||||
ProShares Ultra Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 382,208,757 | 1,050,000 | $ | 38,538,861 | 4,450,000 | $ | 205,312,655 | ||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 6,664,421,573 | 37,800,000 | $ | 923,628,398 | 70,385,000 | $ | 3,297,406,475 | ||||||||||||
ProShares Ultra Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 21,407,176 | — | $ | — | — | $ | — | ||||||||||||
ProShares UltraShort Australian Dollar | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 51,054,751 | 50,000 | $ | 2,373,262 | 50,000 | $ | 2,373,262 | ||||||||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 447,139,262 | 3,350,000 | $ | 56,590,239 | 7,237,500 | $ | 164,074,678 | ||||||||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,546,810,909 | 20,500,000 | $ | 210,189,776 | 28,050,000 | $ | 446,153,207 | ||||||||||||
ProShares UltraShort Euro | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 115,002,443 | 100,000 | $ | 2,387,142 | 300,000 | $ | 7,000,386 | ||||||||||||
ProShares UltraShort Gold | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 75,106,370 | 650,000 | $ | 21,916,482 | 1,700,000 | $ | 59,279,388 | ||||||||||||
Title of Securities Registered | Amount Registered as of September 30, 2021 | Shares Sold For the Three Months Ended September 30, 2021 | Sale Price of Shares Sold For the Three Months Ended September 30, 2021 | Shares Sold For the Nine Months Ended September 30, 2021 | Sale Price of Shares Sold For the Nine Months Ended September 30, 2021 | |||||||||||||||
ProShares UltraShort Silver | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 316,715,689 | 1,000,000 | $ | 26,169,229 | 3,750,000 | $ | 91,351,542 | ||||||||||||
ProShares UltraShort Yen | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 114,882,391 | — | $ | — | 100,000 | $ | 7,132,412 | ||||||||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 269,455,873 | 1,200,000 | $ | 37,425,551 | 2,625,000 | $ | 87,035,790 | ||||||||||||
ProShares VIX Short-Term Futures ETF | ||||||||||||||||||||
Common Units of Beneficial Interest | $ | 1,884,359,393 | 6,300,000 | $ | 142,476,815 | 16,556,250 | $ | 593,853,539 | ||||||||||||
Total Trust: | $ | 15,697,588,553 | 74,900,000 | $ | 1,649,296,999 | 149,503,750 | $ | 5,597,393,110 | ||||||||||||
| (1) | Filed herewith. |
SIGNATURES
| * | These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing. |
PROSHARES TRUST II |
/s/ Todd Johnson |
| By: Todd Johnson |
| Principal Executive Officer |
| Date: November |
/s/ Edward Karpowicz |
| By: Edward Karpowicz |
| Principal Financial and Accounting Officer |
| Date: November |
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