| ☒ | Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
| ☐ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 87-6284802 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
7501
21
Title of | Trading Symbol(s) | Name of each exchange on which registered | ||
| ProShares Short VIX Short-Term Futures ETF | SVXY | Cboe BZX Exchange | ||
| ProShares Ultra Bloomberg Crude Oil | UCO | NYSE Arca | ||
| BOIL | NYSE Arca | |||
| 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 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 | ☐ | |||||||||
PROSHARES TRUST II
| Page | ||||
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. | ||||
Item 3. Quantitative and Qualitative Disclosures About Market Risk. | ||||
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds. | ||||
Statements of Financial Condition, Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable on open futures contracts Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding (Note 1) Net asset value per share (Note 1) Market value per share (Note 1) (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 0.998% due 10/05/17 1.043% due 10/12/17 0.928% due 10/19/17 1.037% due 10/26/17† 1.013% due 11/02/17† 1.023% due 11/09/17† 0.988% due 11/16/17† 0.962% due 11/30/17† 1.033% due 12/07/17† 0.987% due 12/14/17† 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations (cost $186,708,857) VIX Futures—CBOE, expires October 2017 VIX Futures—CBOE, expires November 2017 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 6,125,000 shares (Note 1) Redemption of 2,301,046 shares (Note 1) Net addition (redemption) of 3,823,954 shares (Note 1) Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period ULTRA BLOOMBERG CRUDE OIL Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable from capital shares sold Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) ULTRA BLOOMBERG CRUDE OIL Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 0.992% due 10/26/17 1.013% due 11/02/17 1.023% due 11/09/17 0.977% due 11/16/17 1.001% due 01/11/18 Total short-term U.S. government and agency obligations VIX Futures—CBOE, expires January 2018 VIX Futures—CBOE, expires February 2018 VIX Futures—CBOE, expires March 2018 VIX Futures—CBOE, expires April 2018 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 850,000 shares Redemption of 150,000 shares Net addition (redemption) of 700,000 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding (Note 1) Net asset value per share (Note 1) Market value per share (Note 1) (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.041% due 10/19/17 1.048% due 10/26/17 1.001% due 11/02/17 1.029% due 11/09/17 0.986% due 11/16/17† 0.999% due 11/24/17 1.005% due 11/30/17† 1.023% due 12/07/17† 0.987% due 12/14/17† 1.001% due 01/11/18 Total short-term U.S. government and agency obligations VIX Futures—CBOE, expires October 2017 VIX Futures—CBOE, expires November 2017 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 46,750,000 shares (Note 1) Redemption of 40,650,000 shares (Note 1) Net addition (redemption) of 6,100,000 shares (Note 1) Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable from capital shares sold Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding (Note 1) Net asset value per share (Note 1) Market value per share (Note 1) (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.011% due 10/05/17† 1.067% due 10/12/17† 1.081% due 10/19/17† 1.000% due 10/26/17† 1.013% due 11/02/17† 0.957% due 11/09/17† 0.986% due 11/16/17† 0.999% due 11/30/17† 1.002% due 12/07/17† 1.000% due 12/14/17† 1.001% due 01/11/18† Total short-term U.S. government and agency obligations VIX Futures—CBOE, expires October 2017 VIX Futures—CBOE, expires November 2017 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 51,185,000 shares (Note 1) Redemption of 28,223,145 shares (Note 1) Net addition (redemption) of 22,961,855 shares (Note 1) Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Payable to Sponsor Unrealized depreciation on swap agreements Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.062% due 10/05/17 1.065% due 10/12/17 1.070% due 10/19/17† 1.042% due 10/26/17† 1.013% due 11/02/17† 1.079% due 11/09/17† 0.986% due 11/16/17† 0.962% due 11/30/17† 0.991% due 12/07/17† 0.989% due 12/14/17† 1.002% due 01/04/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations WTI Crude Oil—NYMEX, expires November 2017 Swap agreement with Citibank, N.A. based on Bloomberg Crude OilSub-Index Swap agreement with Goldman Sachs International based on Bloomberg Crude OilSub-Index Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Swap agreements Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Swap agreements Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 10,700,000 shares Redemption of 9,950,000 shares Net addition (redemption) of 750,000 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for swap agreements Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in brokerage commissions and fees payable Increase (Decrease) in payable for investments purchased Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Offering costs (Note 5) Limitation by Sponsor Total assets Liabilities and shareholders’ equity Liabilities Payable on open futures contracts Payable for offering costs Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) ULTRA BLOOMBERG NATURAL GAS WTI Crude Oil—NYMEX, expires November 2017 Investment Income Expenses Brokerage commissions and fees Offering costs Limitation by Sponsor Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at January 13, 2017 (Inception) Addition of 1,050,008 shares Redemption of 150,000 shares Net addition (redemption) of 900,008 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in Limitation by Sponsor Change in offering cost Increase (Decrease) in payable on futures contracts Increase (Decrease) in payable for offering costs Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Brokerage commissions and fees payable Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: Total short-term U.S. government and agency obligations Natural Gas—NYMEX, expires November 2017 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 300,000 shares Redemption of 300,000 shares Net addition (redemption) of 0 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in brokerage commissions and fees payable Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on forward agreements Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.062% due 10/05/17† 0.991% due 11/30/17† 0.972% due 12/07/17† 0.987% due 12/14/17† 1.002% due 01/04/18 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations Gold Futures—COMEX, expires December 2017 Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Forward agreements Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Forward agreements Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 300,000 shares Redemption of 500,000 shares Net addition (redemption) of (200,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for forward agreements Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Segregated cash balances with brokers for forward agreements Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on forward agreements Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.088% due 10/26/17† 0.962% due 11/30/17† 1.012% due 12/07/17† 1.040% due 02/01/18 Total short-term U.S. government and agency obligations Silver Futures—COMEX, expires December 2017 Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Forward agreements Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Forward agreements Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 700,000 shares Redemption of 600,000 shares Net addition (redemption) of 100,000 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for forward agreements Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Total assets Liabilities and shareholders’ equity Liabilities Payable on open futures contracts Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.089% due 10/12/17 Total short-term U.S. government and agency obligations Euro Fx Currency Futures—CME, expires December 2017 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Redemption of 150,000 shares Net addition (redemption) of (150,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable on open futures contracts Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.089% due 10/12/17 Total short-term U.S. government and agency obligations Australian Dollar Fx Currency Futures—CME, expires December 2017 Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Redemption of 100,000 shares Net addition (redemption) of (100,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on foreign currency forward contracts Receivable from capital shares sold Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable to Sponsor Unrealized depreciation on foreign currency forward contracts Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 0.998% due 10/05/17 1.057% due 10/12/17† 1.013% due 10/19/17† 1.015% due 10/26/17† 0.998% due 11/02/17 1.079% due 11/09/17† 0.982% due 11/16/17† 0.962% due 11/30/17† 0.987% due 12/14/17† 1.002% due 01/04/18 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations Contracts to Purchase Euro with Goldman Sachs International Euro with UBS AG Contracts to Sell Euro with Goldman Sachs International Euro with UBS AG Investment Income Interest Expenses Management fee Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Foreign currency forward contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 1,800,000 shares Redemption of 4,250,000 shares Net addition (redemption) of (2,450,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Increase (Decrease) in payable to Sponsor Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on foreign currency forward contracts Total assets Liabilities and shareholders’ equity Liabilities Payable to Sponsor Unrealized depreciation on foreign currency forward contracts Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 0.998% due 10/05/17 1.075% due 10/12/17† 0.992% due 10/26/17 1.079% due 11/09/17† 0.962% due 11/30/17† 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations Contracts to Purchase Yen with Goldman Sachs International Yen with UBS AG Contracts to Sell Yen with Goldman Sachs International Yen with UBS AG Investment Income Interest Expenses Management fee Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Foreign currency forward contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 900,000 shares Redemption of 2,350,000 shares Net addition (redemption) of (1,450,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Increase (Decrease) in payable to Sponsor Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on swap agreements Receivable on open futures contracts Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Brokerage commissions and fees payable Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.053% due 10/05/17 1.089% due 10/12/17 1.077% due 10/19/17† 1.055% due 10/26/17† 1.062% due 11/02/17† 1.077% due 11/09/17† 0.977% due 11/16/17† 0.982% due 11/30/17† 0.970% due 12/07/17† 0.987% due 12/14/17† 1.002% due 01/04/18 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations WTI Crude Oil—NYMEX, expires November 2017 Swap agreement with Citibank, N.A. based on Bloomberg Crude OilSub-Index Swap agreement with Goldman Sachs International based on Bloomberg Crude OilSub-Index Swap agreement with Societe Generale based on Bloomberg Crude OilSub-Index Swap agreement with UBS AG based on Bloomberg Crude OilSub-Index NATURAL GAS Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Swap agreements Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Swap agreements Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 65,600,000 shares Redemption of 70,852,616 shares Net addition (redemption) of (5,252,616) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 NATURAL GAS Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for swap agreements Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Decrease (Increase) in receivable for investments sold Increase (Decrease) in payable to Sponsor Increase (Decrease) in brokerage commissions and fees payable Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Receivable on open futures contracts Offering costs (Note 5) Limitation by Sponsor Total assets Liabilities and shareholders’ equity Liabilities Payable for offering costs Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) ULTRA EURO WTI Crude Oil—NYMEX, expires November 2017 ULTRA EURO Investment Income Expenses Brokerage commissions and fees Offering costs Limitation by Sponsor Reduction in Limitation by Sponsor Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at January 13, 2017 (Inception) Addition of 1,400,008 shares Redemption of 1,100,000 shares Net addition (redemption) of 300,008 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in receivable on futures contracts Decrease (Increase) in Limitation by Sponsor Change in offering cost Increase (Decrease) in payable for offering costs Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period GOLD Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Total assets Liabilities and shareholders’ equity Liabilities Payable on open futures contracts Brokerage commissions and fees payable Payable to Sponsor Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) GOLD Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.108% due 10/12/17 1.013% due 10/19/17 0.992% due 10/26/17 1.013% due 11/02/17 1.023% due 11/09/17 0.987% due 12/14/17 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations Natural Gas—NYMEX, expires November 2017 GOLD Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 6,600,000 shares Redemption of 3,050,000 shares Net addition (redemption) of 3,550,000 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 GOLD Cash flow from operating activities Net income (loss) 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 Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in brokerage commissions and fees payable Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period SILVER Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Payable to Sponsor Unrealized depreciation on forward agreements Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) SILVER Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.018% due 10/05/17 1.046% due 10/12/17† 1.013% due 10/19/17† 1.079% due 11/09/17† 1.023% due 12/07/17† 0.987% due 12/14/17† 1.001% due 01/11/18 Total short-term U.S. government and agency obligations Gold Futures—COMEX, expires December 2017 Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold SILVER Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Forward agreements Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Forward agreements Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 400,000 shares Redemption of 950,000 shares Net addition (redemption) of (550,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 SILVER Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for forward agreements Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period VIX SHORT-TERM FUTURES ETF Assets Cash Segregated cash balances with brokers for futures contracts Short-term U.S. government and agency obligations (Note 3) Total assets Liabilities and shareholders’ equity Liabilities Payable on open futures contracts Payable to Sponsor Unrealized depreciation on forward agreements Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) VIX SHORT-TERM FUTURES ETF Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.015% due 10/05/17 1.056% due 10/12/17† 1.013% due 10/19/17† 1.036% due 10/26/17† 1.076% due 11/02/17† 1.079% due 11/09/17† 0.977% due 11/16/17† 0.962% due 11/30/17† 1.004% due 12/07/17† 0.987% due 12/14/17† 1.002% due 01/04/18 1.001% due 01/11/18 1.040% due 02/01/18 Total short-term U.S. government and agency obligations Silver Futures—COMEX, expires December 2017 Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver ULTRASHORT GOLD Investment Income Interest Expenses Management fee Brokerage commissions and fees Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Forward agreements Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Forward agreements Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 950,000 shares Redemption of 2,000,000 shares Net addition (redemption) of (1,050,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 ULTRASHORT GOLD Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for forward agreements Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable on futures contracts Increase (Decrease) in payable to Sponsor Increase (Decrease) in payable on futures contracts Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period ULTRASHORT SILVER Assets Cash Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on foreign currency forward contracts Total assets Liabilities and shareholders’ equity Liabilities Payable to Sponsor Unrealized depreciation on foreign currency forward contracts Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) ULTRASHORT SILVER Short-term U.S. government and agency obligations U.S. Treasury Bills^^: 1.025% due 10/12/17† 1.070% due 10/19/17† Total short-term U.S. government and agency obligations Contracts to Purchase Euro with Goldman Sachs International Euro with UBS AG Contracts to Sell Euro with Goldman Sachs International Euro with UBS AG ULTRASHORT SILVER Investment Income Interest Expenses Management fee Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Foreign currency forward contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 1,200,000 shares Redemption of 1,250,000 shares Net addition (redemption) of (50,000) shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 ULTRASHORT SILVER Cash flow from operating activities Net income (loss) 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 Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Increase (Decrease) in payable to Sponsor Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on foreign currency forward contracts Total assets Liabilities and shareholders’ equity Liabilities Payable to Sponsor Unrealized depreciation on foreign currency forward contracts Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Net asset value per share Market value per share (Note 2) Short-term U.S. government and agency obligations (80% of shareholders’ equity) U.S. Treasury Bills^^: 1.089% due 10/12/17† 0.962% due 11/30/17 1.040% due 02/01/18 Total short-term U.S. government and agency obligations (cost $4,662,497) Contracts to Purchase Yen with Goldman Sachs International Yen with UBS AG Contracts to Sell Yen with Goldman Sachs International Yen with UBS AG VIX Investment Income Interest Expenses Management fee Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Foreign currency forward contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 VIX Cash flow from operating activities Net income (loss) 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 Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Increase (Decrease) in payable to Sponsor Net cash provided by (used in) operating activities Cash flow from financing activities Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period Assets Cash Segregated cash balances with brokers for futures contracts Segregated cash balances with brokers for forward agreements Short-term U.S. government and agency obligations (Note 3) Unrealized appreciation on swap agreements Unrealized appreciation on forward agreements Unrealized appreciation on foreign currency forward contracts Receivable from capital shares sold Receivable on open futures contracts Offering costs (Note 5) Limitation by Sponsor Total assets Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed Payable on open futures contracts Brokerage commissions and fees payable Payable to Sponsor Payable for offering costs Unrealized depreciation on swap agreements Unrealized depreciation on forward agreements Unrealized depreciation on foreign currency forward contracts Total liabilities Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity Total liabilities and shareholders’ equity Shares outstanding Investment Income Interest Expenses Management fee Brokerage commissions and fees Offering costs Limitation by Sponsor Reduction in Limitation by Sponsor Total expenses Net investment income (loss) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts Swap agreements Forward agreements Foreign currency forward contracts Short-term U.S. government and agency obligations Net realized gain (loss) Change in net unrealized appreciation/depreciation on Futures contracts Swap agreements Forward agreements Foreign currency forward contracts Short-term U.S. government and agency obligations Change in net unrealized appreciation/depreciation Net realized and unrealized gain (loss) Net income (loss) Shareholders’ equity, at December 31, 2016 Addition of 196,810,016 shares Redemption of 168,876,807 shares Net addition (redemption) of 27,933,209 shares Net investment income (loss) Net realized gain (loss) Change in net unrealized appreciation/depreciation Net income (loss) Shareholders’ equity, at September 30, 2017 Cash flow from operating activities Net income (loss) 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 Decrease (Increase) in segregated cash balances with brokers for swap agreements Decrease (Increase) in segregated cash balances with brokers for forward agreements Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts Purchases of short-term U.S. government and agency obligations Proceeds from sales or maturities of short-term U.S government and agency obligations Net amortization and accretion on short-term U.S government and agency obligations Net realized gain (loss) on investments Change in unrealized appreciation/depreciation on investments Decrease (Increase) in receivable from counterparty Decrease (Increase) in receivable on futures contracts Decrease (Increase) in Limitation by Sponsor Change in offering cost Increase (Decrease) in payable to Sponsor Increase (Decrease) in brokerage commissions and fees payable Increase (Decrease) in payable for counterparty Increase (Decrease) in payable on futures contracts Increase (Decrease) in payable for offering costs Net cash provided by (used in) operating activities Cash flow from financing activities Proceeds from addition of shares Payment on shares redeemed Net cash provided by (used in) financing activities Net increase (decrease) in cash Cash, beginning of period Cash, end of period 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. ProShares UltraShort Bloomberg Natural Gas ProShares ProShares UltraShort Bloomberg Crude Oil with the instructions for Form consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form February 25, 2023. Ultra Silver and UltraShort Silver UltraShort UltraShort Bloomberg UltraShort March 31, 2023. 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. VIX Short-Term Futures ETF VIXMid-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 UltraShort Bloomberg Natural Gas UltraShort Gold UltraShort Silver Short Euro UltraShort Australian Dollar UltraShort Euro UltraShort Yen Ultra Bloomberg Crude Oil UltraPro 3X Crude Oil ETF Ultra Bloomberg Natural Gas Ultra Gold Ultra Silver Ultra Euro Ultra Yen Total Trust VIX Short-Term Futures ETF VIXMid-Term Futures ETF Short VIX Short-Term Futures ETF Ultra VIX Short-Term Futures ETF UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas UltraShort Gold UltraShort Silver Short Euro UltraShort Australian Dollar UltraShort Euro UltraShort Yen Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas Ultra Gold Ultra Silver Ultra Euro Ultra Yen Total Trust 3 for the fiscal year end. owes the Fund, subject to certain minimum thresholds. In the event of as of Assets Derivatives Liability Derivatives instruments Location Fund Location Fund VIX Futures Contracts Receivables on open futures contracts ProShares Short VIX Short-Term Futures ETF Payable on open futures contracts ProShares VIX Short-Term Futures ETF ProShares VIXMid-Term Futures ETF ProShares Ultra VIX Short-Term Futures ETF Commodities Contracts Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements ProShares UltraShort Bloomberg Natural Gas Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements ProShares UltraShort Bloomberg Crude Oil ProShares UltraShort Gold ProShares UltraPro 3X Short Crude Oil ETF ProShares UltraShort Silver ProShares UltraShort Gold ProShares Ultra Bloomberg Crude Oil ProShares Ultra Bloomberg Natural Gas ProShares UltraPro 3X Crude Oil ETF ProShares Ultra Gold ProShares Ultra Gold ProShares Ultra Silver Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts ProShares Short Euro Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts ProShares UltraShort Euro ProShares UltraShort Australian Dollar ProShares UltraShort Yen ProShares UltraShort Euro ProShares Ultra Euro ProShares UltraShort Yen ProShares Ultra Yen ProShares Ultra Euro ProShares Ultra Yen as of December 31, Assets Derivatives Liability Derivatives Derivatives not hedging instruments Statements of Financial Condition Location Fund Statements of Financial Condition Location Fund VIX Futures Contracts Receivables on open futures contracts ProShares VIX Short-Term Futures ETF Payable on open futures contracts ProShares VIX Short-Term Futures ETF ProShares VIXMid-Term Futures ETF ProShares VIXMid-Term Futures ETF ProShares Ultra VIX Short-Term Futures ETF ProShares Short VIX Short-Term Futures ETF ProShares Ultra VIX Short-Term Futures ETF Commodities Contracts Receivables on open futures contracts, unrealized appreciation on swaps and/or forward agreements ProShares UltraShort Gold Payable on open futures contracts, unrealized depreciation on swaps and/or forward agreements ProShares UltraShort Bloomberg Crude Oil ProShares UltraShort Silver ProShares UltraShort Bloomberg Natural Gas ProShares Ultra Bloomberg Crude Oil ProShares Ultra Gold ProShares Ultra Bloomberg Natural Gas ProShares Ultra Silver Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts ProShares Short Euro Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts ProShares UltraShort Euro ProShares UltraShort Australian Dollar ProShares UltraShort Yen ProShares UltraShort Euro ProShares Ultra Euro ProShares UltraShort Yen ProShares Ultra Yen ProShares Ultra Euro ProShares Ultra Yen Derivatives not accounted for as Location of Gain (Loss) on Derivatives Recognized in Income Fund VIX Futures Contracts Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts ProShares VIX Short-Term Futures ETF ProShares VIXMid-Term Futures ETF ProShares Short VIX Short-Term Futures ETF ProShares Ultra VIX Short-Term Futures ETF 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 ProShares UltraPro 3X Short Crude Oil ETF ProShares UltraShort Bloomberg Natural Gas ProShares UltraShort Gold ProShares UltraShort Silver ProShares Ultra Bloomberg Crude Oil ProShares UltraPro 3X Crude Oil ETF ProShares Ultra Bloomberg Natural Gas ProShares Ultra Gold ProShares Ultra Silver 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 ProShares UltraShort Australian Dollar ProShares UltraShort Euro ProShares UltraShort Yen ProShares Ultra Euro ProShares Ultra Yen March 31, 2023 Location of Gain (Loss) on Derivatives Realized Gain (Loss) on Derivatives for as hedging instruments Recognized in Income Fund VIX Futures Contracts Net realized gain (loss) on futures contracts/changes in unrealized appreciation/ depreciation on futures contracts ProShares VIX Short-Term Futures ETF ProShares VIXMid-Term Futures ETF ProShares Short VIX Short-Term Futures ETF ProShares Ultra VIX Short-Term Futures ETF 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 ProShares UltraShort Bloomberg Natural Gas ProShares UltraShort Gold ProShares UltraShort Silver ProShares Ultra Bloomberg Crude Oil ProShares Ultra Bloomberg Natural Gas ProShares Ultra Gold ProShares Ultra Silver 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 ProShares UltraShort Australian Dollar ProShares UltraShort Euro ProShares UltraShort Yen ProShares Ultra Euro ProShares Ultra Yen Fair Values of Derivative Instruments as of September 30, 2017 ProShares UltraShort Bloomberg Crude Oil Swap agreements ProShares UltraShort Gold Forward agreements ProShares UltraShort Silver Forward agreements ProShares UltraShort Euro Foreign currency forward contracts ProShares UltraShort Yen Foreign currency forward contracts ProShares Ultra Bloomberg Crude Oil Swap agreements ProShares Ultra Gold Forward agreements ProShares Ultra Silver Forward agreements ProShares Ultra Euro Foreign currency forward contracts ProShares Ultra Yen Foreign currency forward contracts March 31, 2023. 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 liquidation was imminent. VIX Short-Term Futures ETF VIXMid-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 UltraShort Bloomberg Natural Gas UltraShort Gold UltraShort Silver Short Euro UltraShort Australian Dollar UltraShort Euro UltraShort Yen Ultra Bloomberg Crude Oil UltraPro 3X Crude Oil ETF Ultra Bloomberg Natural Gas Ultra Gold Ultra Silver Ultra Euro Ultra Yen Total Trust Three Months Ended March Per Share Operating Performance Net asset value, at June 30, 2017 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at June 30, 2017† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at June 30, 2017 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at June 30, 2017† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at June 30, 2017 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at June 30, 2017† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at June 30, 2017 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at June 30, 2017† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at June 30, 2016 Net investment income (loss) Net realized and unrealized gain Change in net asset value from operations Net asset value, at September 30, 2016 Market value per share, at June 30, 2016† Market value per share, at September 30, 2016† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at June 30, 2016 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2016 Market value per share, at June 30, 2016† Market value per share, at September 30, 2016† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at June 30, 2016 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2016 Market value per share, at June 30, 2016† Market value per share, at September 30, 2016† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Three Months Ended March 31, 2022 Per Share Operating Performance Net asset value, at December 31, 2016 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at December 31, 2016† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at December 31, 2016 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at December 31, 2016† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at December 31, 2016 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at December 31, 2016† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at December 31, 2016 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2017 Market value per share, at December 31, 2016† Market value per share, at September 30, 2017† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at December 31, 2015 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2016 Market value per share, at December 31, 2015† Market value per share, at September 30, 2016† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at December 31, 2015 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2016 Market value per share, at December 31, 2015† Market value per share, at September 30, 2016† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Per Share Operating Performance Net asset value, at December 31, 2015 Net investment income (loss) Net realized and unrealized gain (loss)# Change in net asset value from operations Net asset value, at September 30, 2016 Market value per share, at December 31, 2015† Market value per share, at September 30, 2016† Total Return, at net asset value^ Total Return, at market value^ Ratios to Average Net Assets** Expense ratio Expense ratio, excluding brokerage commissions Net investment income (loss) Fund, subject to applicable law. investment, even over periods as short as a single day. trading limitations.Condensed SchedulesSchedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: 49 14F-2 F-7 F-12 F-17 F-22 F-27 19F-32 F-37 24F-42 29 34F-47 39F-52 44F-57 49F-62 54F-67 59F-72 64F-77 69F-85 747984899499104 108F-86 September 30, 2017
(unaudited) December 31, 2016 $ 4,200,621 $ 4,536,425 4,438,775 17,235,855
(cost $186,708,857 and $147,990,045, respectively) 186,716,429 147,991,233 — 4,484,270 195,355,825 174,247,783 3,913,679 — 77,327 87,637 3,991,006 87,637 191,364,819 174,160,146 $ 195,355,825 $ 174,247,783 5,876,317 2,052,363 $ 32.57 $ 84.86 $ 32.53 $ 85.04
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $144,283,581, respectively) $ 94,860,624 $ 144,307,676 Cash 71,307,875 6,852,395 Segregated cash balances with brokers for futures contracts 94,991,815 127,094,546 Receivable on open futures contracts 43,457,674 67,086,947 Interest receivable 472,061 475,930 Total assets 305,090,049 345,817,494 Payable for capital shares redeemed 9,552,818 5,861,814 Brokerage commissions and futures account fees payable 5,185 21,576 Payable to Sponsor 191,653 342,466 Total liabilities 9,749,656 6,225,856 Commitments and Contingencies (Note 2) Shareholders’ equity 295,340,393 339,591,638 Total liabilities and shareholders’ equity $ 305,090,049 $ 345,817,494 Shares outstanding 4,634,307 5,784,307 Net asset value per share $ 63.73 $ 58.71 Market value per share (Note 2) $ 63.75 $ 58.68 SEPTEMBER 30, 2017 Principal Amount Value
(98% of shareholders’ equity) $ 7,000,000 $ 6,999,568 18,000,000 17,995,300 11,000,000 10,995,222 35,000,000 34,978,185 7,000,000 6,994,243 4,000,000 3,995,947 29,000,000 28,965,383 13,000,000 12,979,014 7,000,000 6,987,359 11,000,000 10,978,586 12,000,000 11,966,165 33,000,000 32,881,457 $ 186,716,429 (32% of shareholders’ equity) 4.401% due 04/04/23 $ 25,000,000 $ 24,996,803 3.874% due 04/11/23 25,000,000 24,973,528 4.156% due 04/18/23 20,000,000 19,960,876 4.205% due 04/25/23 25,000,000 24,929,417 Total short-term U.S. government and agency obligations (cost $94,860,159) $ 94,860,624 Purchased Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 9,373 $ 109,429,775 $ (16,948,916 ) 6,252 81,432,300 (1,380,405 ) $ (18,329,321 )
Contracts
at Value
Appreciation
(Depreciation)/Value VIX Futures – Cboe, expires April 2023 4,007 $ 83,202,149 $ 11,676,653 VIX Futures – Cboe, expires May 2023 2,915 64,504,578 2,594,535 $ 14,271,188 ^^ Rates shown representsrepresent discount rate at the time of purchase.†All or partial amount pledged as collateral for futures contracts. Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 379,082 $ 144,244 $ 786,305 $ 324,819 381,123 474,982 1,004,091 1,210,844 59,243 76,959 138,487 229,993 440,366 551,941 1,142,578 1,440,837 (61,284 ) (407,697 ) (356,273 ) (1,116,018 ) (27,447,205 ) (101,785,229 ) (126,202,705 ) (134,345,928 ) 419 3,946 (943 ) 6,237 (27,446,786 ) (101,781,283 ) (126,203,648 ) (134,339,691 ) (17,219,461 ) 6,786,934 (17,860,669 ) (8,475,358 ) 3,094 24,829 6,384 35,549 (17,216,367 ) 6,811,763 (17,854,285 ) (8,439,809 ) (44,663,153 ) (94,969,520 ) (144,057,933 ) (142,779,500 ) $ (44,724,437 ) $ (95,377,217 ) $ (144,414,206 ) $ (143,895,518 )
March 31, Interest $ 2,109,122 $ 94,343 Management fee 565,777 986,537 Brokerage commissions 126,503 187,698 Futures accounts fees — 217,030 Total expenses 692,280 1,391,265 Net investment income (loss) 1,416,842 (1,296,922 ) Futures contracts 29,604,148 (41,100,614 ) Short-term U.S. government and agency obligations — (10,494 ) Net realized gain (loss) 29,604,148 (41,111,108 ) Futures contracts 3,178,807 4,709,184 Short-term U.S. government and agency obligations (23,630 ) (411,277 ) Change in net unrealized appreciation (depreciation) 3,155,177 4,297,907 Net realized and unrealized gain (loss) 32,759,325 (36,813,201 ) $ 34,176,167 $ (38,110,123 ) STATEMENTFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 174,160,146 274,586,934 (112,968,055 ) 161,618,879 (356,273 ) (126,203,648 ) (17,854,285 ) (144,414,206 ) $ 191,364,819
March 31, $ 339,591,638 $ 423,812,594 Addition of 2,450,000 and 3,000,000 shares, respectively 147,299,334 156,515,471 Redemption of 3,600,000 and 800,000 shares, respectively (225,726,746 ) (46,629,093 ) Net addition (redemption) of (1,150,000) and 2,200,000 shares, respectively (78,427,412 ) 109,886,378 Net investment income (loss) 1,416,842 (1,296,922 ) Net realized gain (loss) 29,604,148 (41,111,108 ) Change in net unrealized appreciation (depreciation) 3,155,177 4,297,907 Net income (loss) 34,176,167 (38,110,123 ) $ 295,340,393 $ 495,588,849 Nine Months Ended
September 30, 2017 2016 $ (144,414,206 ) $ (143,895,518 ) 12,797,080 (2,370,400 ) (634,948,674 ) (742,783,009 ) 597,015,224 622,882,786 (786,305 ) (324,819 ) 943 (6,237 ) (6,384 ) (35,549 ) 4,484,270 1,105,799 (10,310 ) 85,931 3,913,679 — (161,954,683 ) (265,341,016 ) 274,586,934 461,486,395 (112,968,055 ) (195,044,482 ) 161,618,879 266,441,913 (335,804 ) 1,100,897 4,536,425 2,124,103 $ 4,200,621 $ 3,225,000
March 31, Net income (loss) $ 34,176,167 $ (38,110,123 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations (99,763,542 ) (184,846,445 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 150,000,000 151,980,347 Net amortization and accretion on short-term U.S. government and agency obligations (813,036 ) (97,211 ) Net realized (gain) loss on investments — 10,494 Change in unrealized (appreciation) depreciation on investments 23,630 411,277 Decrease (Increase) in receivable on open futures contracts 23,629,273 2,719,889 Decrease (Increase) in interest receivable 3,869 2,868 Increase (Decrease) in payable to Sponsor (150,813 ) 33,446 Increase (Decrease) in brokerage commissions and futures account fees payable (16,391 ) (34,038 ) Increase (Decrease) in payable on open futures contracts — 12,542,043 Net cash provided by (used in) operating activities 107,089,157 (55,387,453 ) Proceeds from addition of shares 147,299,334 156,515,471 Payment on shares redeemed (222,035,742 ) (52,754,223 ) Net cash provided by (used in) financing activities (74,736,408 ) 103,761,248 32,352,749 48,373,795 Cash, beginning of period 133,946,941 183,010,984 Cash, end of period $ 166,299,690 $ 231,384,779 VIXMID-TERM FUTURES ETF September 30, 2017
(unaudited) December 31, 2016 $ 314,842 $ 1,155,115 7,454,800 1,052,615
(cost $35,953,365 and $45,486,489, respectively) 35,955,278 45,486,235 1,890,685 — — 242,541 45,615,605 47,936,506 — 2,085,020 539,598 — 28,584 32,572 568,182 2,117,592 45,047,423 45,818,914 $ 45,615,605 $ 47,936,506 1,787,403 1,087,403 $ 25.20 $ 42.14 $ 25.17 $ 42.34
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $199,701,287 and $313,413,683, respectively) $ 199,701,685 $ 313,465,007 Cash 340,933,444 224,296,858 Segregated cash balances with brokers for futures contracts 65,465,226 76,813,658 Segregated cash balances with brokers for swap agreements 306,075,745 175,489,745 Unrealized appreciation on swap agreements — 74,159,577 Receivable on open futures contracts 14,241,357 8,466,027 Interest receivable 806,649 618,549 Total assets 927,224,106 873,309,421 Payable for capital shares redeemed 47,715,339 13,545,014 Brokerage commissions and futures account fees payable 6,487 7,154 Payable to Sponsor 631,438 662,979 Unrealized depreciation on swap agreements 67,202,386 — Total liabilities 115,555,650 14,215,147 Commitments and Contingencies (Note 2) Shareholders’ equity 811,668,456 859,094,274 Total liabilities and shareholders’ equity $ 927,224,106 $ 873,309,421 Shares outstanding (Note 1) 30,593,096 28,393,096 Net asset value per share (Note 1) $ 26.53 $ 30.26 Market value per share (Note 1) (Note 2) $ 26.47 $ 30.31 VIXMID-TERM FUTURES ETFSEPTEMBER 30, 2017 Principal Amount Value
(80% of shareholders’ equity) $ 13,000,000 $ 12,991,897 5,000,000 4,995,888 2,000,000 1,997,973 9,000,000 8,989,257 7,000,000 6,980,263
(cost $35,953,365) $ 35,955,278 (25% of shareholders’ equity) $ 50,000,000 $ 49,993,605 3.874% due 04/11/23 50,000,000 49,947,055 50,000,000 49,902,190 50,000,000 49,858,835 Total short-term U.S. government and agency obligations (cost $199,701,287) $ 199,701,685 Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 582 $ 8,599,050 $ (697,300 ) 971 14,783,475 (652,385 ) 971 15,341,800 (547,765 ) 388 6,314,700 (44,190 ) $ (1,941,640 ) ^^Rates shown represents discount rate at the time of purchase.See accompanying notes to financial statements.PROSHARES VIXMID-TERM FUTURES ETFSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 71,551 $ 29,706 $ 164,138 $ 63,804 80,574 108,438 235,818 251,163 6,764 10,935 11,815 23,544 87,338 119,373 247,633 274,707 (15,787 ) (89,667 ) (83,495 ) (210,903 ) (3,965,084 ) (4,899,530 ) (19,180,135 ) (5,248,725 ) — 144 (527 ) 132 (3,965,084 ) (4,899,386 ) (19,180,662 ) (5,248,593 ) 364,615 (1,149,750 ) (653,395 ) (1,917,790 ) 1,342 8,365 2,167 9,742 365,957 (1,141,385 ) (651,228 ) (1,908,048 ) (3,599,127 ) (6,040,771 ) (19,831,890 ) (7,156,641 ) $ (3,614,914 ) $ (6,130,438 ) $ (19,915,385 ) $ (7,367,544 ) See accompanying notes to financial statements.PROSHARES VIXMID-TERM FUTURES ETFSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 45,818,914 23,977,024 (4,833,130 ) 19,143,894 (83,495 ) (19,180,662 ) (651,228 ) (19,915,385 ) $ 45,047,423 See accompanying notes to financial statements.PROSHARES VIXMID-TERM FUTURES ETFSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (19,915,385 ) $ (7,367,544 ) (6,402,185 ) (823,975 ) (149,796,234 ) (132,528,541 ) 159,492,969 104,309,090 (164,138 ) (63,804 ) 527 (132 ) (2,167 ) (9,742 ) 242,541 42,188 (3,988 ) 21,005 539,598 258,839 (16,008,462 ) (36,162,616 ) 22,086,339 48,406,580 (6,918,150 ) (9,794,863 ) 15,168,189 38,611,717 (840,273 ) 2,449,101 1,155,115 671,791 $ 314,842 $ 3,120,892 See accompanying notes to financial statements.PROSHARES SHORT VIX SHORT-TERM FUTURES ETFSTATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 4,098,464 $ 1,850,760 316,834,247 55,323,984
(cost $770,073,989 and $170,391,741, respectively) 770,134,521 170,396,436 57,550,026 1,059,418 1,148,617,258 228,630,598 107,724,462 — — 325,000 1,018,886 230,211 108,743,348 555,211 1,039,873,910 228,075,387 $ 1,148,617,258 $ 228,630,598 11,100,000 5,000,000 $ 93.68 $ 45.62 $ 93.75 $ 45.49 See accompanying notes to financial statements.PROSHARES SHORT VIX SHORT-TERM FUTURES ETFSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(74% of shareholders’ equity) $ 47,000,000 $ 46,979,583 78,000,000 77,951,383 115,000,000 114,905,424 199,000,000 198,798,353 160,000,000 159,809,008 10,000,000 9,985,499 73,000,000 72,882,156 30,000,000 29,945,826 50,000,000 49,902,665 9,000,000 8,974,624
(cost $770,073,989) $ 770,134,521 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 51,224 $ 598,040,200 $ 86,369,735 34,126 444,491,150 7,874,300 $ 94,244,035 ^^Rates shown represents discount rate at the time of purchase.†All or partial amount pledged as collateral for futures contracts.See accompanying notes to financial statements.PROSHARES SHORT VIX SHORT-TERM FUTURES ETFSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 2,102,194 $ 248,974 $ 3,484,888 $ 848,132 2,376,444 951,001 4,636,720 3,561,744 1,366,561 469,401 2,761,371 1,522,859 3,743,005 1,420,402 7,398,091 5,084,603 (1,640,811 ) (1,171,428 ) (3,913,203 ) (4,236,471 ) 188,300,727 277,246,086 471,128,319 263,024,643 6,797 (12,510 ) (4,461 ) (34,036 ) 188,307,524 277,233,576 471,123,858 262,990,607 100,033,466 (51,813,012 ) 104,553,646 16,663,427 56,988 33,663 55,837 62,392 100,090,454 (51,779,349 ) 104,609,483 16,725,819 288,397,978 225,454,227 575,733,341 279,716,426 $ 286,757,167 $ 224,282,799 $ 571,820,138 $ 275,479,955 See accompanying notes to financial statements.PROSHARES SHORT VIX SHORT-TERM FUTURES ETFSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 228,075,387 3,330,265,694 (3,090,287,309 ) 239,978,385 (3,913,203 ) 471,123,858 104,609,483 571,820,138 $ 1,039,873,910 See accompanying notes to financial statements.PROSHARES SHORT VIX SHORT-TERM FUTURES ETFSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ 571,820,138 $ 275,479,955 (261,510,263 ) 75,585,025 (3,392,906,218 ) (2,235,163,421 ) 2,796,704,397 2,324,555,238 (3,484,888 ) (848,132 ) 4,461 34,036 (55,837 ) (62,392 ) (56,490,608 ) (4,571,788 ) 788,675 (183,417 ) (325,000 ) (1,420,271 ) (345,455,143 ) 433,404,833 3,330,265,694 2,183,650,607 (2,982,562,847 ) (2,616,476,208 ) 347,702,847 (432,825,601 ) 2,247,704 579,232 1,850,760 5,150,976 $ 4,098,464 $ 5,730,208 See accompanying notes to financial statements.PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFSTATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 2,610,772 $ 10,969,955 17,599,725 71,363,625
(cost $521,285,333 and $434,676,067, respectively) 521,315,100 434,671,795 14,450,792 — — 35,967,191 555,976,389 552,972,566 — 36,789,539 20,456,567 — 424,090 424,273 20,880,657 37,213,812 535,095,732 515,758,754 $ 555,976,389 $ 552,972,566 25,927,238 2,965,383 $ 20.64 $ 173.93 $ 20.60 $ 175.00 See accompanying notes to financial statements.PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(97% of shareholders’ equity) $ 15,023,000 $ 15,022,073 20,000,000 19,994,778 46,000,000 45,980,017 47,000,000 46,970,705 13,000,000 12,989,309 20,000,000 19,979,734 97,000,000 96,884,211 128,000,000 127,793,370 66,000,000 65,880,817 20,000,000 19,961,066 50,000,000 49,859,020
(cost $521,285,333) $ 521,315,100 Futures Contracts Purchased Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 52,495 $ 612,879,125 $ (93,982,537 ) 35,008 455,979,200 (7,780,494 ) $ (101,763,031 ) ^^Rates shown represents discount rate at the time of purchase.†All or partial amount pledged as collateral for futures contracts.See accompanying notes to financial statements.PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 866,857 $ 400,731 $ 1,833,411 $ 1,227,394 1,040,567 1,625,260 2,880,339 5,006,558 1,150,806 1,102,098 2,819,322 3,228,763 2,191,373 2,727,358 5,699,661 8,235,321 (1,324,516 ) (2,326,627 ) (3,866,250 ) (7,007,927 ) (126,532,816 ) (745,101,700 ) (646,036,987 ) (1,269,233,467 ) (5,866 ) 16,032 (26,617 ) 24,626 (126,538,682 ) (745,085,668 ) (646,063,604 ) (1,269,208,841 ) (95,515,562 ) 138,973,918 (93,790,794 ) (51,163,549 ) 21,523 27,300 34,039 8,737 (95,494,039 ) 139,001,218 (93,756,755 ) (51,154,812 ) (222,032,721 ) (606,084,450 ) (739,820,359 ) (1,320,363,653 ) $ (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 ETFSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 515,758,754 2,109,762,890 (1,346,739,303 ) 763,023,587 (3,866,250 ) (646,063,604 ) (93,756,755 ) (743,686,609 ) $ 535,095,732 See accompanying notes to financial statements.PROSHARES ULTRA VIX SHORT-TERM FUTURES ETFSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (743,686,609 ) $ (1,327,371,580 ) 53,763,900 14,767,485 (2,355,267,451 ) (3,719,826,671 ) 2,270,464,979 3,505,716,134 (1,833,411 ) (1,221,489 ) 26,617 (24,626 ) (34,039 ) (8,737 ) 35,967,191 17,995,478 (183 ) 51,617 20,456,567 31,416,387 (720,142,439 ) (1,478,506,002 ) 2,095,312,098 3,689,719,713 (1,383,528,842 ) (2,208,691,466 ) 711,783,256 1,481,028,247 (8,359,183 ) 2,522,245 10,969,955 9,081,964 $ 2,610,772 $ 11,604,209 See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG CRUDE OILSTATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 3,636,946 $ 2,715,772 5,000,160 4,931,520
(cost $246,653,071 and $205,694,828, respectively) 246,666,306 205,694,385 123,680 — 255,427,092 213,341,677 3,359,173 — — 13,602 162,517 162,891 13,678,377 12,206,881 17,200,067 12,383,374 238,227,025 200,958,303 $ 255,427,092 $ 213,341,677 7,089,884 6,339,884 $ 33.60 $ 31.70 $ 33.73 $ 31.65 See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG CRUDE OILSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(104% of shareholders’ equity) $ 16,000,000 $ 15,999,013 19,000,000 18,995,039 53,000,000 52,976,977 20,000,000 19,987,534 6,000,000 5,995,066 11,000,000 10,988,854 11,000,000 10,986,869 22,000,000 21,964,485 13,000,000 12,976,525 34,000,000 33,933,812 14,000,000 13,962,714 28,000,000 27,899,418
(cost $246,653,071) $ 246,666,306 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 1,894 $ 97,862,980 $ (5,367,489 )
Contracts
at Value
Appreciation
(Depreciation)/Value WTI Crude Oil – NYMEX, expires June 2023 2,112 $ 160,089,600 $ 12,570,821 WTI Crude Oil – NYMEX, expires December 2023 2,182 160,486,100 10,055,416 WTI Crude Oil – NYMEX, expires June 2024 2,261 161,051,030 6,867,926 $ 29,494,163 Agreements^ Rate Paid
(Received)* Termination Date Notional Amount
at Value** Unrealized
Appreciation
(Depreciation) (0.18 )% 10/05/17 $ (149,040,494 ) $ (6,092,070 ) (0.25 ) 10/05/17 (109,832,549 ) (3,900,635 ) (0.25 ) 10/05/17 (12,927,229 ) (514,835 ) (0.25 ) 10/05/17 (106,765,884 ) (3,170,837 ) $ (13,678,377 )
(Received)
Date
at Value
Appreciation
(Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 04/06/23 $ 180,552,235 $ (10,629,759 ) Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/06/23 224,484,374 (13,216,202 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/06/23 312,723,926 (18,411,182 ) Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 04/06/23 170,398,805 (10,019,635 ) Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 04/06/23 253,675,785 (14,925,608 ) Total Unrealized
Depreciation
$ (67,202,386 ) † All or partial amount pledged as collateral for swap agreements and/or futures contracts.agreements.^ The positions and counterparties herein are as of September 30, 2017.March 31, 2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ Rates shown representsrepresent discount rate at the time of purchase.* Reflects the floating financing rate, as of September 30, 2017,March 31, 2023, 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. ULTRASHORTULTRA BLOOMBERG CRUDE OIL Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 458,896 $ 112,015 $ 998,438 $ 345,514 456,582 405,879 1,374,438 1,291,075 17,992 27,568 50,772 125,327 474,574 433,447 1,425,210 1,416,402 (15,678 ) (321,432 ) (426,772 ) (1,070,888 ) (6,020,543 ) 7,108,871 12,625,049 (1,439,525 ) (3,398,264 ) 43,172,623 37,182,481 (35,456,689 ) (107 ) 3,798 (1,590 ) (4,796 ) (9,418,914 ) 50,285,292 49,805,940 (36,901,010 ) (4,525,726 ) (4,602,457 ) (3,940,674 ) (6,846,490 ) (25,931,072 ) (28,373,775 ) (1,471,496 ) (22,977,481 ) 10,122 12,429 13,678 26,286 (30,446,676 ) (32,963,803 ) (5,398,492 ) (29,797,685 ) (39,865,590 ) 17,321,489 44,407,448 (66,698,695 ) $ (39,881,268 ) $ 17,000,057 $ 43,980,676 $ (67,769,583 )
March 31, Interest $ 6,007,908 $ 308,880 Management fee 1,874,618 3,084,812 Brokerage commissions 94,344 195,541 Futures accounts fees — 252,687 Total expenses 1,968,962 3,533,040 Net investment income (loss) 4,038,946 (3,224,160 ) Futures contracts 10,834,024 266,409,832 Swap agreements 74,946,403 533,013,238 Short-term U.S. government and agency obligations — (3,136 ) Net realized gain (loss) 85,780,427 799,419,934 Futures contracts 3,202,447 98,135,638 Swap agreements (141,361,963 ) (192,213,567 ) Short-term U.S. government and agency obligations (50,926 ) (586,058 ) Change in net unrealized appreciation (depreciation) (138,210,442 ) (94,663,987 ) Net realized and unrealized gain (loss) (52,430,015 ) 704,755,947 $ (48,391,069 ) $ 701,531,787 ULTRASHORTULTRA BLOOMBERG CRUDE OILSTATEMENTFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 200,958,303 398,064,737 (404,776,691 ) (6,711,954 ) (426,772 ) 49,805,940 (5,398,492 ) 43,980,676 $ 238,227,025
March 31, $ 859,094,274 $ 1,103,783,570 Addition of 19,100,000 and 8,600,000 shares, respectively (Note 1) 459,350,575 330,317,033 Redemption of 16,900,000 and 24,600,000 shares, respectively (Note 1) (458,385,324 ) (798,651,705 ) Net addition (redemption) of 2,200,000 and (16,000,000) shares, respectively (Note 1) 965,251 (468,334,672 ) Net investment income (loss) 4,038,946 (3,224,160 ) Net realized gain (loss) 85,780,427 799,419,934 Change in net unrealized appreciation (depreciation) (138,210,442 ) (94,663,987 ) Net income (loss) (48,391,069 ) 701,531,787 $ 811,668,456 $ 1,336,980,685 ULTRASHORTULTRA BLOOMBERG CRUDE OIL Nine Months Ended
September 30, 2017 2016 $ 43,980,676 $ (67,769,583 ) (68,640 ) 3,477,760 — (1,128,000 ) (866,640,949 ) (831,968,058 ) 826,679,554 768,766,626 (998,438 ) (345,514 ) 1,590 4,796 1,457,818 22,951,195 (123,680 ) — (374 ) 34,948 — (6,947 ) — 1,736,880 (13,602 ) (34,842 ) 4,273,955 (104,280,739 ) 398,064,737 752,995,105 (401,417,518 ) (648,311,713 ) (3,352,781 ) 104,683,392 921,174 402,653 2,715,772 598,645 $ 3,636,946 $ 1,001,298
March 31, Net income (loss) $ (48,391,069 ) $ 701,531,787 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 (7,526,215,542 ) (1,394,562,680 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 7,644,000,000 1,226,992,801 Net amortization and accretion on short-term U.S. government and agency obligations (4,072,062 ) (312,402 ) Net realized (gain) loss on investments — 3,136 Change in unrealized (appreciation) depreciation on investments 141,412,889 192,799,625 Decrease (Increase) in receivable on open futures contracts (5,775,330 ) (187,616 ) Decrease (Increase) in interest receivable (188,100 ) 3,522 Increase (Decrease) in payable to Sponsor (31,541 ) 375,565 Increase (Decrease) in brokerage commissions and futures account fees payable (667 ) 74,671 Increase (Decrease) in payable on open futures contracts — 12,321,787 Net cash provided by (used in) operating activities 200,738,578 739,040,196 Proceeds from addition of shares 459,350,575 330,317,033 Payment on shares redeemed (424,214,999 ) (783,468,195 ) Net cash provided by (used in) financing activities 35,135,576 (453,151,162 ) 235,874,154 285,889,034 Cash, beginning of period 476,600,261 217,287,389 Cash, end of period $ 712,474,415 $ 503,176,423 ULTRAPRO 3X SHORT CRUDE OIL ETF*STATEMENTULTRA BLOOMBERG NATURAL GAS September 30, 2017
(unaudited) $ 13,475,988 2,418,240 71,150 34,903 16,000,281 83,153 148,400 231,553 15,768,728 $ 16,000,281 900,008 $ 17.52 $ 17.63 *Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $299,678,924 and $263,209,299, respectively) $ 299,709,730 $ 263,260,158 Cash 132,433,633 13,689,494 Segregated cash balances with brokers for futures contracts 531,082,000 163,045,170 Receivable from capital shares sold 9,220,442 — Receivable on open futures contracts 231,758,209 149,650,221 Interest receivable 1,903,275 653,922 Total assets 1,206,107,289 590,298,965 Payable for capital shares redeemed 26,001,646 1,826,653 Payable on open futures contracts — 1,835,443 Brokerage commissions and futures account fees payable 73,674 35,242 Payable to Sponsor 959,877 450,514 Unrealized depreciation on swap agreements 39,088,319 — Total liabilities 66,123,516 4,147,852 Commitments and Contingencies (Note 2) Shareholders’ equity 1,139,983,773 586,151,113 Total liabilities and shareholders’ equity $ 1,206,107,289 $ 590,298,965 Shares outstanding 309,087,527 32,287,527 Net asset value per share $ 3.69 $ 18.15 Market value per share (Note 2) $ 3.61 $ 17.78 ULTRAPRO 3X SHORT CRUDE OIL ETFSEPTEMBER 30, 2017 (26% of shareholders’ equity) $ 125,000,000 $ 124,984,013 100,000,000 99,894,110 50,000,000 49,902,190 25,000,000 24,929,417 Total short-term U.S. government and agency obligations (cost $299,678,924) $ 299,709,730 Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 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 $ 9,395 $ 17,296 37,405 77,250 (12,787 ) (34,903 ) 34,013 59,643 (34,013 ) (59,643 ) (1,540,337 ) 232,006 (1,540,337 ) 232,006 (2,178,096 ) (2,423,370 ) (2,178,096 ) (2,423,370 ) (3,718,433 ) (2,191,364 ) $ (3,752,446 ) $ (2,251,007 ) *Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.See accompanying notes to financial statements.PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETFSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017(unaudited) $ — 22,510,278 (4,490,543 ) 18,019,735 (59,643 ) 232,006 (2,423,370 ) (2,251,007 ) $ 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 $ (2,251,007 ) (2,418,240 ) (34,903 ) (71,150 ) 83,153 148,400 (4,543,747 ) 22,510,278 (4,490,543 ) 18,019,735 13,475,988 — $ 13,475,988 *Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 30, 2016 has not been provided. See Note 1.See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG NATURAL GASSTATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 2,116,845 $ 326,631 780,120 710,655
(cost $2,998,485 and $2,899,188, respectively) 2,998,697 2,899,151 31,017 105,872 5,926,679 4,042,309 — 144 5,245 3,371 5,245 3,515 5,921,434 4,038,794 $ 5,926,679 $ 4,042,309 174,832 174,832 $ 33.87 $ 23.10 $ 33.64 $ 23.05 See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG NATURAL GASSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(51% of shareholders’ equity)
1.013% due 10/19/17 $ 3,000,000 $ 2,998,697
(cost $2,998,485) $ 2,998,697 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 394 $ 11,847,580 $ 348,521 ^^Rates shown represents discount rate at the time of purchase.See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG NATURAL GASSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 11,436 $ 2,395 $ 25,909 $ 16,513 18,019 13,043 51,110 70,066 7,316 8,608 19,673 53,910 25,335 21,651 70,783 123,976 (13,899 ) (19,256 ) (44,874 ) (107,463 ) (151,368 ) (101,997 ) 1,756,252 455,516 (75 ) 434 (334 ) 3,438 (151,443 ) (101,563 ) 1,755,918 458,954 615,201 712,984 830,552 2,803,566 555 (161 ) 249 (75 ) 615,756 712,823 830,801 2,803,491 464,313 611,260 2,586,719 3,262,445 $ 450,414 $ 592,004 $ 2,541,845 $ 3,154,982 See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG NATURAL GASSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 4,038,794 9,317,576 (9,976,781 ) (659,205 ) (44,874 ) 1,755,918 830,801 2,541,845 $ 5,921,434 See accompanying notes to financial statements.PROSHARES ULTRASHORT BLOOMBERG NATURAL GASSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ 2,541,845 $ 3,154,982 (69,465 ) 917,015 (17,971,116 ) (42,200,053 ) 17,897,394 45,636,490 (25,909 ) (16,513 ) 334 (3,438 ) (249 ) 75 74,855 (159,924 ) 1,874 (6,510 ) (144 ) (1,499 ) — (785,170 ) 2,449,419 6,535,455 9,317,576 37,311,510 (9,976,781 ) (44,580,216 ) (659,205 ) (7,268,706 ) 1,790,214 (733,251 ) 326,631 1,099,140 $ 2,116,845 $ 365,889 See accompanying notes to financial statements.STATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 1,104,112 $ 120,840 10,780 13,200
(cost $34,939,314 and $60,540,275, respectively) 34,940,087 60,540,555 2,961,605 3,033,566 600 1,280 39,017,184 63,709,441 3,563,259 — 27,142 55,794 3,590,401 55,794 35,426,783 63,653,647 $ 39,017,184 $ 63,709,441 496,978 696,978 $ 71.28 $ 91.33 $ 71.55 $ 90.54 See accompanying notes to financial statements.PROSHARES ULTRASHORT GOLDSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(99% of shareholders’ equity) $ 11,000,000 $ 10,999,321 2,000,000 1,996,771 3,000,000 2,994,583 5,000,000 4,990,267 6,000,000 5,984,020 5,000,000 4,985,902 3,000,000 2,989,223
(cost $34,939,314) $ 34,940,087 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 2 $ 256,960 $ (9,540 ) Forward Agreements^ Rate Paid
(Received)* Settlement Date Commitment to
(Deliver)/Receive Notional Amount
at Value** Unrealized
Appreciation
(Depreciation) (1.30 )% 10/05/17 $ (16,100 ) $ (20,663,223 ) $ 1,045,390 (1.06 ) 10/05/17 (16,898 ) (21,687,062 ) 835,086 (1.01 ) 10/05/17 (4,800 ) (6,160,368 ) 267,146 (1.05 ) 10/05/17 (17,250 ) (22,138,823 ) 813,983 $ 2,961,605
Contracts
at Value
Appreciation
(Depreciation)/Value Natural Gas – NYMEX, expires May 2023 95,284 $ 2,111,493,440 $ (324,515,287 )
(Received)
Date
at Value
Appreciation
(Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex 0.50 % 04/06/23 $ 67,247,193 $ (15,605,398 ) Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex 0.50 04/06/23 100,389,846 (23,296,489 ) Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex 0.35 04/06/23 803,815 (186,432 ) Total Unrealized
Depreciation
$ (39,088,319 ) † All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.^ The positions and counterparties herein are as of September 30, 2017.March 31, 2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ Rates shown representsrepresent discount rate at the time of purchase.* Reflects the floating financing rate, as of September 30, 2017, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.**For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.See accompanying notes to financial statements.PROSHARES ULTRASHORT GOLDSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 85,802 $ 44,515 $ 202,149 $ 118,780 86,766 163,622 268,125 469,612 10 8 39 33 86,776 163,630 268,164 469,645 (974 ) (119,115 ) (66,015 ) (350,865 ) (640 ) (7,340 ) 5,119 (45,820 ) (2,643,515 ) (10,289,193 ) (10,944,071 ) (29,919,349 ) (96 ) 164 (1,168 ) (779 ) (2,644,251 ) (10,296,369 ) (10,940,120 ) (29,965,948 ) (6,520 ) 9,400 (28,520 ) (3,420 ) 305,626 9,761,395 (71,961 ) (228,387 ) 1,228 2,460 493 6,758 300,334 9,773,255 (99,988 ) (225,049 ) (2,343,917 ) (523,114 ) (11,040,108 ) (30,190,997 ) $ (2,344,891 ) $ (642,229 ) $ (11,106,123 ) $ (30,541,862 ) See accompanying notes to financial statements.PROSHARES ULTRASHORT GOLDSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 63,653,647 22,375,636 (39,496,377 ) (17,120,741 ) (66,015 ) (10,940,120 ) (99,988 ) (11,106,123 ) $ 35,426,783 See accompanying notes to financial statements.PROSHARES ULTRASHORT GOLDSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (11,106,123 ) $ (30,541,862 ) 2,420 79,370 — (7,835,000 ) (136,758,217 ) (205,754,520 ) 162,560,129 212,008,993 (202,119 ) (118,780 ) 1,168 779 71,468 221,629 680 (1,320 ) (28,652 ) (625 ) — (80 ) 14,540,754 (31,941,416 ) 22,375,636 79,236,729 (35,933,118 ) (47,301,845 ) (13,557,482 ) 31,934,884 983,272 (6,532 ) 120,840 151,638 $ 1,104,112 $ 145,106 See accompanying notes to financial statements.STATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 2,077,196 $ 86,051 12,980 14,300 738,500 —
(cost $17,965,709 and $21,549,766, respectively) 17,966,229 21,550,319 2,152,433 1,384,246 1,510 2,290 22,948,848 23,037,206 15,171 19,550 15,171 19,550 22,933,677 23,017,656 $ 22,948,848 $ 23,037,206 716,976 616,976 $ 31.99 $ 37.31 $ 32.78 $ 38.76 See accompanying notes to financial statements.PROSHARES ULTRASHORT SILVERSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(78% of shareholders’ equity) $ 4,000,000 $ 3,997,507 6,000,000 5,990,314 4,000,000 3,992,777 4,000,000 3,985,631
(cost $17,965,709) $ 17,966,229 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 2 $ 166,760 $ 4,940 Forward Agreements^ Rate Paid
(Received)* Settlement Date Commitment to
(Deliver)/Receive Notional Amount
at Value** Unrealized
Appreciation
(Depreciation) (1.40 )% 10/05/17 $ (953,000 ) $ (16,071,964 ) $ 775,445 (1.18 ) 10/05/17 (786,500 ) (13,263,851 ) 671,956 (1.14 ) 10/05/17 (156,000 ) (2,630,862 ) 143,987 (1.13 ) 10/05/17 (814,000 ) (13,727,622 ) 561,045 $2,152,433 †All or partial amount pledged as collateral for forward agreements and/or futures contracts.^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^Rates shown represents discount rate at the time of purchase.*Reflects the floating financing rate, as of September 30, 2017, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.**For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.See accompanying notes to financial statements.PROSHARES ULTRASHORT SILVERSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 44,411 $ 22,794 $ 103,317 $ 71,536 46,737 86,864 143,542 281,605 10 8 39 33 46,747 86,872 143,581 281,638 (2,336 ) (64,078 ) (40,264 ) (210,102 ) (2,193 ) (15,410 ) 18,357 (44,810 ) (464,978 ) (14,850,460 ) (2,711,677 ) (26,610,382 ) (46 ) 65 (190 ) (2,307 ) (467,217 ) (14,865,805 ) (2,693,510 ) (26,657,499 ) 2,560 10,700 (22,370 ) (7,450 ) (396,316 ) 9,496,558 768,187 (4,259,746 ) 29 2,046 (33 ) 3,511 (393,727 ) 9,509,304 745,784 (4,263,685 ) (860,944 ) (5,356,501 ) (1,947,726 ) (30,921,184 ) $ (863,280 ) $ (5,420,579 ) $ (1,987,990 ) $ (31,131,286 ) See accompanying notes to financial statements.PROSHARES ULTRASHORT SILVERSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 23,017,656 22,025,198 (20,121,187 ) 1,904,011 (40,264 ) (2,693,510 ) 745,784 (1,987,990 ) $ 22,933,677 See accompanying notes to financial statements.PROSHARES ULTRASHORT SILVERSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (1,987,990 ) $ (31,131,286 ) 1,320 (110 ) (738,500 ) (1,544,000 ) (91,865,007 ) (126,343,449 ) 95,552,158 138,366,905 (103,284 ) (71,536 ) 190 2,307 (768,154 ) 4,256,235 780 390 (4,379 ) (14,530 ) — 930 87,134 (16,478,144 ) 22,025,198 67,362,064 (20,121,187 ) (51,232,577 ) 1,904,011 16,129,487 1,991,145 (348,657 ) 86,051 514,784 $ 2,077,196 $ 166,127 See accompanying notes to financial statements.STATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 1,990,375 $ 2,292,012 127,050 402,600
(cost $5,998,008 and $13,164,807, respectively) 5,998,433 13,164,828 8,115,858 15,859,440 16,156 76,666 6,264 12,686 22,420 89,352 8,093,438 15,770,088 $ 8,115,858 $ 15,859,440 200,000 350,000 $ 40.47 $ 45.06 $ 40.56 $ 45.12 See accompanying notes to financial statements.PROSHARES SHORT EUROSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(74% of shareholders’ equity) $ 6,000,000 $ 5,998,433
(cost $5,998,008) $ 5,998,433 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 55 $ 8,156,844 $ 106,206 ^^Rates shown represents discount rate at the time of purchase.See accompanying notes to financial statements.PROSHARES SHORT EUROSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 18,865 $ 8,177 $ 57,345 $ 22,846 21,606 36,752 92,259 116,244 330 580 1,433 2,009 21,936 37,332 93,692 118,253 (3,071 ) (29,155 ) (36,347 ) (95,407 ) (599,482 ) 327,212 (1,334,988 ) (199,588 ) (107 ) (2 ) (384 ) 31 (599,589 ) 327,210 (1,335,372 ) (199,557 ) 291,787 (488,475 ) (26,694 ) (270,444 ) 326 1,265 404 1,652 292,113 (487,210 ) (26,290 ) (268,792 ) (307,476 ) (160,000 ) (1,361,662 ) (468,349 ) $ (310,547 ) $ (189,155 ) $ (1,398,009 ) $ (563,756 ) See accompanying notes to financial statements.PROSHARES SHORT EUROSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 15,770,088 (6,278,641 ) (6,278,641 ) (36,347 ) (1,335,372 ) (26,290 ) (1,398,009 ) $ 8,093,438 See accompanying notes to financial statements.PROSHARES SHORT EUROSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (1,398,009 ) $ (563,756 ) 275,550 116,820 (45,940,009 ) (42,155,511 ) 53,163,769 44,640,933 (57,345 ) (22,846 ) 384 (31 ) (404 ) (1,652 ) — 84,235 (6,422 ) (2,556 ) (60,510 ) 32,813 5,977,004 2,128,449 — 2,109,382 (6,278,641 ) (4,280,745 ) (6,278,641 ) (2,171,363 ) (301,637 ) (42,914 ) 2,292,012 1,783,802 $ 1,990,375 $ 1,740,888 See accompanying notes to financial statements.PROSHARES ULTRASHORT AUSTRALIAN DOLLARSTATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 729,356 $ 2,834,389 370,040 914,760
(cost $7,997,344 and $12,909,895, respectively) 7,997,911 12,909,619 34,800 — 9,132,107 16,658,768 — 32,340 6,902 12,955 6,902 45,295 9,125,205 16,613,473 $ 9,132,107 $ 16,658,768 200,000 300,000 $ 45.63 $ 55.38 $ 45.85 $ 55.24 See accompanying notes to financial statements.PROSHARES ULTRASHORT AUSTRALIAN DOLLARSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(88% of shareholders’ equity) $ 8,000,000 $ 7,997,911
(cost $7,997,344) $ 7,997,911 Futures Contracts Sold Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 232 $ 18,179,520 $ 379,490 ^^Rates shown represents discount rate at the time of purchase.See accompanying notes to financial statements.PROSHARES ULTRASHORT AUSTRALIAN DOLLARSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 23,090 $ 12,198 $ 58,614 $ 32,241 24,991 42,820 94,837 136,306 1,555 3,267 6,088 11,011 26,546 46,087 100,925 147,317 (3,456 ) (33,889 ) (42,311 ) (115,076 ) (1,453,355 ) (318,842 ) (1,920,606 ) (2,462,334 ) (22 ) 1 (177 ) 220 (1,453,377 ) (318,841 ) (1,920,783 ) (2,462,114 ) 837,800 (971,687 ) (802,850 ) (495,700 ) (14 ) 561 843 2,074 837,786 (971,126 ) (802,007 ) (493,626 ) (615,591 ) (1,289,967 ) (2,722,790 ) (2,955,740 ) $ (619,047 ) $ (1,323,856 ) $ (2,765,101 ) $ (3,070,816 ) See accompanying notes to financial statements.PROSHARES ULTRASHORT AUSTRALIAN DOLLARSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 16,613,473 (4,723,167 ) (4,723,167 ) (42,311 ) (1,920,783 ) (802,007 ) (2,765,101 ) $ 9,125,205 See accompanying notes to financial statements.PROSHARES ULTRASHORT AUSTRALIAN DOLLARSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (2,765,101 ) $ (3,070,816 ) 544,720 (845,815 ) (57,937,852 ) (36,174,367 ) 62,908,840 39,618,751 (58,614 ) (32,241 ) 177 (220 ) (843 ) (2,074 ) (34,800 ) 52,491 (6,053 ) (2,874 ) (32,340 ) 79,209 2,618,134 (377,956 ) (4,723,167 ) (314 ) (4,723,167 ) (314 ) (2,105,033 ) (378,270 ) 2,834,389 1,958,996 $ 729,356 $ 1,580,726 See accompanying notes to financial statements.STATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 2,120,743 $ 2,916,502
(cost $219,674,153 and $337,373,566, respectively) 219,684,550 337,375,787 4,465,552 16,519,070 1,091,561 — 227,362,406 356,811,359 — 6,771,472 175,643 291,098 565,859 356,139 741,502 7,418,709 226,620,904 349,392,650 $ 227,362,406 $ 356,811,359 10,450,000 12,900,000 $ 21.69 $ 27.08 $ 21.68 $ 27.08 See accompanying notes to financial statements.PROSHARES ULTRASHORT EUROSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(97% of shareholders’ equity) $ 9,000,000 $ 8,999,445 40,000,000 39,989,556 11,000,000 10,995,221 41,000,000 40,974,445 10,000,000 9,991,776 20,000,000 19,979,734 2,000,000 1,997,613 7,000,000 6,988,700 18,000,000 17,964,959 7,000,000 6,981,357 25,000,000 24,929,510 30,000,000 29,892,234
(cost $219,674,153) $ 219,684,550 Foreign Currency Forward Contracts^ Settlement Date Local Currency Notional Amount
at Value (USD) Unrealized
Appreciation
(Depreciation) 10/06/17 3,175,800 $ 3,754,078 $ (42,918 ) 10/06/17 35,067,900 41,453,378 (522,941 ) $(565,859) 10/06/17 (194,781,925 ) $ (230,249,569 ) $ 2,076,933 10/06/17 (226,747,400 ) (268,035,604 ) 2,388,619 $4,465,552 †All or partial amount pledged as collateral for foreign currency forward contracts.^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^Rates shown represents discount rate at the time of purchase.See accompanying notes to financial statements.PROSHARES ULTRASHORT EUROSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 559,862 $ 248,831 $ 1,452,945 $ 765,698 537,193 906,488 1,914,770 2,894,802 537,193 906,488 1,914,770 2,894,802 22,669 (657,657 ) (461,825 ) (2,129,104 ) (24,505,520 ) (5,537,097 ) (45,334,575 ) (60,591,547 ) (1,394 ) 1,655 (3,856 ) 37 (24,506,914 ) (5,535,442 ) (45,338,431 ) (60,591,510 ) 10,103,133 (2,518,631 ) (12,263,238 ) 30,435,313 4,959 2,404 8,176 33,446 10,108,092 (2,516,227 ) (12,255,062 ) 30,468,759 (14,398,822 ) (8,051,669 ) (57,593,493 ) (30,122,751 ) $ (14,376,153 ) $ (8,709,326 ) $ (58,055,318 ) $ (32,251,855 ) See accompanying notes to financial statements.PROSHARES ULTRASHORT EUROSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 349,392,650 41,062,646 (105,779,074 ) (64,716,428 ) (461,825 ) (45,338,431 ) (12,255,062 ) (58,055,318 ) $ 226,620,904 See accompanying notes to financial statements.PROSHARES ULTRASHORT EUROSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (58,055,318 ) $ (32,251,855 ) — (15,803,000 ) (1,194,312,964 ) (1,046,594,054 ) 1,313,461,466 1,240,067,697 (1,452,945 ) (765,698 ) 3,856 (37 ) 12,255,062 (30,468,759 ) (115,455 ) (124,210 ) 71,783,702 114,060,084 39,971,085 15,418,329 (112,550,546 ) (139,665,636 ) (72,579,461 ) (124,247,307 ) (795,759 ) (10,187,223 ) 2,916,502 10,372,583 $ 2,120,743 $ 185,360 See accompanying notes to financial statements.STATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 1,506,225 $ 3,166,988
(cost $137,812,663 and $257,103,135, respectively) 137,818,917 257,102,313 9,817,020 16,870,357 149,142,162 277,139,658 112,920 232,491 570,141 125,420 683,061 357,911 148,459,101 276,781,747 $ 149,142,162 $ 277,139,658 1,999,290 3,449,290 $ 74.26 $ 80.24 $ 74.21 $ 80.25 See accompanying notes to financial statements.PROSHARES ULTRASHORT YENSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(93% of shareholders’ equity) $ 15,000,000 $ 14,999,075 39,000,000 38,989,817 9,000,000 8,994,390 25,000,000 24,974,667 17,000,000 16,972,557 9,000,000 8,974,624 24,000,000 23,913,787
(cost $137,812,663) $ 137,818,917 Foreign Currency Forward Contracts^ Settlement Date Local Currency Notional Amount
at Value (USD) Unrealized
Appreciation
(Depreciation) 10/06/17 571,833,200 $ 5,082,606 $ (229,963 ) 10/06/17 2,539,647,800 22,573,065 (340,178 ) $ (570,141 ) 10/06/17 (17,548,070,400 ) $ (155,971,917 ) $ 4,818,307 10/06/17 (18,981,034,100 ) (168,708,480 ) 4,998,713 $ 9,817,020 †All or partial amount pledged as collateral for foreign currency forward contracts.^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^Rates shown represents discount rate at the time of purchase.See accompanying notes to financial statements.PROSHARES ULTRASHORT YENSTATEMENTS OF OPERATIONS(unaudited) Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 389,160 $ 155,603 $ 1,072,691 $ 328,442 376,339 563,817 1,468,775 1,462,231 376,339 563,817 1,468,775 1,462,231 12,821 (408,214 ) (396,084 ) (1,133,789 ) (1,067,853 ) (33,476,385 ) (17,529,013 ) (86,173,771 ) (1,081 ) (44 ) (3,903 ) (5,838 ) (1,068,934 ) (33,476,429 ) (17,532,916 ) (86,179,609 ) (83,509 ) 23,071,090 (7,498,058 ) 14,006,768 3,577 14,852 7,076 39,443 (79,932 ) 23,085,942 (7,490,982 ) 14,046,211 (1,148,866 ) (10,390,487 ) (25,023,898 ) (72,133,398 ) $ (1,136,045 ) $ (10,798,701 ) $ (25,419,982 ) $ (73,267,187 ) See accompanying notes to financial statements.PROSHARES ULTRASHORT YENSTATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017(unaudited) $ 276,781,747 69,116,080 (172,018,744 ) (102,902,664 ) (396,084 ) (17,532,916 ) (7,490,982 ) (25,419,982 ) $ 148,459,101 See accompanying notes to financial statements.PROSHARES ULTRASHORT YENSTATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016 $ (25,419,982 ) $ (73,267,187 ) — (1,274,000 ) (919,771,798 ) (627,277,970 ) 1,040,131,058 625,696,408 (1,072,691 ) (328,442 ) 3,903 5,838 7,490,982 (14,046,211 ) (119,571 ) (12,929 ) 101,241,901 (90,504,493 ) 69,116,080 136,071,321 (172,018,744 ) (45,072,219 ) (102,902,664 ) 90,999,102 (1,660,763 ) 494,609 3,166,988 276,968 $ 1,506,225 $ 771,577 See accompanying notes to financial statements.PROSHARES ULTRA BLOOMBERG CRUDE OILSTATEMENTS OF FINANCIAL CONDITION September 30, 2017
(unaudited) December 31, 2016 $ 3,555,077 $ 1,401,555 15,457,200 20,609,600
(cost $562,320,399 and $885,046,303, respectively) 562,359,737 885,050,007 40,796,900 55,358,571 503,050 — 622,671,964 962,419,733 — 25,879,004 — 1,993,438 — 2,332 529,199 813,099 529,199 28,687,873 622,142,765 933,731,860 $ 622,671,964 $ 962,419,733 34,761,317 40,013,933 $ 17.90 $ 23.34 $ 17.82 $ 23.36 See accompanying notes to financial statements.PROSHARES ULTRA BLOOMBERG CRUDE OILSCHEDULE OF INVESTMENTSSEPTEMBER 30, 2017(unaudited) Principal Amount Value
(90% of shareholders’ equity) $ 43,000,000 $ 42,997,347 50,000,000 49,986,945 78,000,000 77,966,117 92,000,000 91,942,656 45,000,000 44,962,992 52,000,000 51,947,309 27,000,000 26,967,770 49,000,000 48,920,899 11,000,000 10,980,136 22,000,000 21,957,173 40,000,000 39,893,468 40,000,000 39,887,216 14,000,000 13,949,709
(cost $562,320,399) $ 562,359,737 Futures Contracts Purchased Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 5,855 $ 302,527,850 $ 13,817,653 Swap Agreements^ Rate Paid
(Received)* Termination Date Notional Amount
at Value** Unrealized
Appreciation
(Depreciation) 0.18 % 10/05/17 $ 332,458,695 $ 13,855,515 0.25 10/05/17 242,703,814 11,965,958 0.25 10/05/17 115,090,880 4,548,744 0.25 10/05/17 251,436,908 10,426,683 $ 40,796,900 †All or partial amount pledged as collateral for swap agreements and/or futures contracts.^The positions and counterparties herein are as of September 30, 2017. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^Rates shown represents discount rate at the time of purchase.*Reflects the floating financing rate, as of September 30, 2017,March 31, 2023, 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. CRUDE OIL Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 1,819,809 $ 547,630 $ 4,436,888 $ 1,497,225 1,798,486 2,118,318 5,773,725 6,031,448 40,850 112,742 147,117 443,936 1,839,336 2,231,060 5,920,842 6,475,384 (19,527 ) (1,683,430 ) (1,483,954 ) (4,978,159 ) 21,413,080 (51,064,247 ) (13,550,928 ) (14,115,761 ) 24,084,165 (195,154,381 ) (109,960,912 ) (118,756,695 ) (8,752 ) 2,107 (15,001 ) (13,583 ) 45,488,493 (246,216,521 ) (123,526,841 ) (132,886,039 ) 13,270,788 41,481,937 8,280,488 47,317,605 99,552,339 124,100,958 (14,561,671 ) 142,998,777 6,372 8,186 35,634 34,191 112,829,499 165,591,081 (6,245,549 ) 190,350,573 158,317,992 (80,625,440 ) (129,772,390 ) 57,464,534 $ 158,298,465 $ (82,308,870 ) $ (131,256,344 ) $ 52,486,375
March 31, Interest $ 8,958,523 $ 39,581 Management fee 2,328,410 396,610 Brokerage commissions 952,779 88,452 Futures accounts fees 187,693 71,117 Total expenses 3,468,882 556,179 Net investment income (loss) 5,489,641 (516,598 ) Futures contracts (1,100,791,083 ) 76,220,688 Swap agreements 39,159,789 — Short-term U.S. government and agency obligations (3,570 ) (3,452 ) Net realized gain (loss) (1,061,634,864 ) 76,217,236 Futures contracts (13,901,318 ) 85,030,764 Swap agreements (39,088,319 ) — Short-term U.S. government and agency obligations (20,053 ) (163,020 ) Change in net unrealized appreciation (depreciation) (53,009,690 ) 84,867,744 Net realized and unrealized gain (loss) (1,114,644,554 ) 161,084,980 $ (1,109,154,913 ) $ 160,568,382 CRUDE OILSTATEMENTNATURAL GASFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 933,731,860 1,105,174,037 (1,285,506,788 ) (180,332,751 ) (1,483,954 ) (123,526,841 ) (6,245,549 ) (131,256,344 ) $ 622,142,765
March 31, $ 586,151,113 $ 193,892,178 Addition of 379,450,000 and 2,600,000 shares, respectively 2,345,948,834 87,880,355 Redemption of 102,650,000 and 7,600,000 shares, respectively (682,961,261 ) (297,271,429 ) Net addition (redemption) of 276,800,000 and (5,000,000) shares, respectively 1,662,987,573 (209,391,074 ) Net investment income (loss) 5,489,641 (516,598 ) Net realized gain (loss) (1,061,634,864 ) 76,217,236 Change in net unrealized appreciation (depreciation) (53,009,690 ) 84,867,744 Net income (loss) (1,109,154,913 ) 160,568,382 $ 1,139,983,773 $ 145,069,486 CRUDE OIL Nine Months Ended
September 30, 2017 2016 $ (131,256,344 ) $ 52,486,375 5,152,400 20,951,260 — (26,365,000 ) (3,682,731,284 ) (2,817,353,950 ) 4,009,879,074 2,735,827,019 (4,436,887 ) (1,497,225 ) 15,001 13,583 14,526,037 (143,032,968 ) (503,050 ) 1,997,369 — (17,625,333 ) (283,900 ) 59,439 (2,332 ) (14,848 ) (1,993,438 ) — 208,365,277 (194,554,279 ) 1,105,174,037 879,143,549 (1,311,385,792 ) (683,302,233 ) (206,211,755 ) 195,841,316 2,153,522 1,287,037 1,401,555 4,008,379 $ 3,555,077 $ 5,295,416
March 31, Net income (loss) $ (1,109,154,913 ) $ 160,568,382 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 (7,560,364,945 ) (135,944,242 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 7,527,849,267 130,991,301 Net amortization and accretion on short-term U.S. government and agency obligations (3,957,517 ) (40,710 ) Net realized (gain) loss on investments 3,570 3,452 Change in unrealized (appreciation) depreciation on investments 39,108,372 163,020 Decrease (Increase) in receivable on open futures contracts (82,107,988 ) 20,996,970 Decrease (Increase) in interest receivable (1,249,353 ) 1,130 Increase (Decrease) in payable to Sponsor 509,363 (11,937 ) Increase (Decrease) in brokerage commissions and futures account fees payable 38,432 (40,216 ) Increase (Decrease) in payable on open futures contracts (1,835,443 ) (5,403,658 ) Net cash provided by (used in) operating activities (1,191,161,155 ) 171,283,492 Proceeds from addition of shares 2,336,728,392 108,329,096 Payment on shares redeemed (658,786,268 ) (288,851,227 ) Net cash provided by (used in) financing activities 1,677,942,124 (180,522,131 ) 486,780,969 (9,238,639 ) Cash, beginning of period 176,734,664 54,135,725 Cash, end of period $ 663,515,633 $ 44,897,086 ULTRAPRO 3X CRUDE OIL ETF*STATEMENTULTRA EURO September 30, 2017
(unaudited) $ 6,451,760 1,161,600 42,870 71,150 2,484 7,729,864 148,400 148,400 7,581,464 $ 7,729,864 300,008 $ 25.27 $ 25.09 *Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.
(unaudited) Cash $ 7,171,419 $ 9,156,418 Segregated cash balances with brokers for foreign currency forward contracts 1,103,000 1,103,000 Unrealized appreciation on foreign currency forward contracts 319,670 514,115 Interest receivable 30,947 40,421 Total assets 8,625,036 10,813,954 Payable to Sponsor 7,644 10,833 Unrealized depreciation on foreign currency forward contracts 959 98,459 Total liabilities 8,603 109,292 Commitments and Contingencies (Note 2) Shareholders’ equity 8,616,433 10,704,662 Total liabilities and shareholders’ equity $ 8,625,036 $ 10,813,954 Shares outstanding 750,000 950,000 Net asset value per share $ 11.49 $ 11.27 Market value per share (Note 2) $ 11.49 $ 11.26 ULTRAPRO 3X CRUDE OIL ETFSEPTEMBER 30, 2017Futures Purchased Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 440 $ 22,734,800 $ 1,272,779
in Local Currency
in U.S. Dollars
Appreciation
(Depreciation)/
Value Euro with Goldman Sachs International 04/14/23 8,826,921 $ 9,580,310 $ 152,785 Euro with UBS AG 04/14/23 9,821,502 10,659,779 166,885 Total Unrealized
Appreciation
$ 319,670 Euro with Goldman Sachs International 04/14/23 (308,000 ) $ (334,288 ) $ (6,791 ) Euro with UBS AG 04/14/23 (2,461,000 ) (2,671,050 ) 5,832 Total Unrealized
Depreciation
$ (959 ) ^ The positions and counterparties herein are as of March 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ULTRAPRO 3X CRUDE OIL ETF* Three Months Ended
September 30, 2017 January 13, 2017
(Inception) through
September 30, 2017 $ 13,100 $ 24,374 37,405 77,250 — (2,484 ) 5,818 — 56,323 99,140 (56,323 ) (99,140 ) 4,971,742 3,137,907 4,971,742 3,137,907 694,326 1,272,779 694,326 1,272,779 5,666,068 4,410,686 $ 5,609,745 $ 4,311,546 *Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.
March 31, Interest $ 97,237 $ 4,587 Management fee 24,246 20,278 Total expenses 24,246 20,278 Net investment income (loss) 72,991 (15,691 ) Foreign currency forward contracts 280,279 (441,030 ) Short-term U.S. government and agency obligations — (5,949 ) Net realized gain (loss) 280,279 (446,979 ) Foreign currency forward contracts (96,945 ) (132,970 ) Short-term U.S. government and agency obligations — (5,455 ) Change in net unrealized appreciation (depreciation) (96,945 ) (138,425 ) Net realized and unrealized gain (loss) 183,334 (585,404 ) $ 256,325 $ (601,095 ) ULTRAPRO 3X CRUDE OIL ETFSTATEMENTULTRA EUROFOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017 $ — 29,606,619 (26,336,701 ) 3,269,918 (99,140 ) 3,137,907 1,272,779 4,311,546 $ 7,581,464
March 31, $ 10,704,662 $ 8,659,095 Addition of 200,000 and 100,000 shares, respectively 2,296,437 1,316,267 Redemption of 400,000 and 250,000 shares, respectively (4,640,991 ) (3,137,285 ) Net addition (redemption) of (200,000) and (150,000) shares, respectively (2,344,554 ) (1,821,018 ) Net investment income (loss) 72,991 (15,691 ) Net realized gain (loss) 280,279 (446,979 ) Change in net unrealized appreciation (depreciation) (96,945 ) (138,425 ) Net income (loss) 256,325 (601,095 ) $ 8,616,433 $ 6,236,982 ULTRAPRO 3X CRUDE OIL ETF*STATEMENTULTRA EURO January 13, 2017
(Inception) through
September 30, 2017 $ 4,311,546 (1,161,600 ) (42,870 ) (2,484 ) (71,150 ) 148,400 3,181,842 29,606,619 (26,336,701 ) 3,269,918 6,451,760 — $ 6,451,760 *Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 30, 2016 has not been provided. See Note 1.
March 31, Net income (loss) $ 256,325 $ (601,095 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations — (5,984,289 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations — 2,290,249 Net amortization and accretion on short-term U.S. government and agency obligations — (4,740 ) Net realized (gain) loss on investments — 5,949 Change in unrealized (appreciation) depreciation on investments 96,945 138,425 Decrease (Increase) in interest receivable 9,474 153 Increase (Decrease) in payable to Sponsor (3,189 ) 2,160 Net cash provided by (used in) operating activities 359,555 (4,153,188 ) Proceeds from addition of shares 2,296,437 1,316,267 Payment on shares redeemed (4,640,991 ) (3,137,285 ) Net cash provided by (used in) financing activities (2,344,554 ) (1,821,018 ) (1,984,999 ) (5,974,206 ) Cash, beginning of period 10,259,418 7,582,458 Cash, end of period $ 8,274,419 $ 1,608,252 BLOOMBERG NATURAL GAS September 30, 2017
(unaudited) December 31, 2016 $ 1,771,889 $ 971,442 6,724,079 7,612,770
(cost $42,918,384 and $36,183,384, respectively) 42,919,932 36,183,648 51,415,900 44,767,860 319,094 1,528,005 — 433 37,189 36,036 356,283 1,564,474 51,059,617 43,203,386 $ 51,415,900 $ 44,767,860 5,842,169 2,292,169 $ 8.74 $ 18.85 $ 8.80 $ 18.96
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $94,860,159 and $129,100,287, respectively) $ 94,860,624 $ 129,123,489 Cash 53,885,007 16,568,417 Segregated cash balances with brokers for futures contracts 5,396,000 2,611,350 Segregated cash balances with brokers for swap agreements 32,250,000 18,730,000 Unrealized appreciation on swap agreements 15,353,259 6,496,466 Receivable on open futures contracts — 8,169 Interest receivable 246,513 126,595 Total assets 201,991,403 173,664,486 Payable on open futures contracts 684,839 — Payable to Sponsor 145,035 140,350 Total liabilities 829,874 140,350 Commitments and Contingencies (Note 2) Shareholders’ equity 201,161,529 173,524,136 Total liabilities and shareholders’ equity $ 201,991,403 $ 173,664,486 Shares outstanding 3,200,000 3,150,000 Net asset value per share $ 62.86 $ 55.09 Market value per share (Note 2) $ 63.02 $ 55.27 BLOOMBERG NATURAL GASSEPTEMBER 30, 2017 Principal Amount Value
(84% of shareholders’ equity) $ 2,000,000 $ 1,999,478 3,000,000 2,998,697 7,000,000 6,995,637 5,000,000 4,995,888 2,000,000 1,997,973 7,000,000 6,986,373 9,000,000 8,974,624 8,000,000 7,971,262
(cost $42,918,384) $ 42,919,932 (46% of shareholders’ equity) $ 25,000,000 $ 24,996,803 3.874% due 04/11/23 25,000,000 24,973,528 4.156% due 04/18/23 20,000,000 19,960,876 4.205% due 04/25/23 25,000,000 24,929,417 Total short-term U.S. government and agency obligations (cost $94,860,159) $ 94,860,624 Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 3,396 $ 102,117,720 $ (971,690 )
Contracts
at Value
Appreciation
(Depreciation)/Value Gold Futures – COMEX, expires June 2023 667 $ 132,479,540 $ 5,096,411
(Received)
Date
at Value
Appreciation
(Depreciation)/Value 0.25 % 04/06/23 $ 115,835,052 $ 6,674,065 0.25 04/06/23 55,017,986 3,169,970 0.25 04/06/23 98,916,314 5,509,224 Total Unrealized
Appreciation
$ 15,353,259 † ^ ^^ representsrepresent discount rate at the time of the purchase.* ** BLOOMBERG NATURAL GAS Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 93,039 $ 18,114 $ 199,874 $ 45,257 110,894 85,894 318,839 229,760 24,919 25,652 71,984 98,016 135,813 111,546 390,823 327,776 (42,774 ) (93,432 ) (190,949 ) (282,519 ) (2,014,548 ) 1,964,411 (21,040,313 ) 6,591,697 (454 ) 264 (1,126 ) (405 ) (2,015,002 ) 1,964,675 (21,041,439 ) 6,591,292 (1,078,511 ) (8,409,834 ) (3,508,410 ) (7,752,693 ) 1,692 2,064 1,284 1,913 (1,076,819 ) (8,407,770 ) (3,507,126 ) (7,750,780 ) (3,091,821 ) (6,443,095 ) (24,548,565 ) (1,159,488 ) $ (3,134,595 ) $ (6,536,527 ) $ (24,739,514 ) $ (1,442,007 )
March 31, Interest $ 1,649,014 $ 95,113 Management fee 427,114 671,415 Brokerage commissions 8,615 21,659 Futures accounts fees — 19,505 Total expenses 435,729 712,579 Net investment income (loss) 1,213,285 (617,466 ) Futures contracts 2,760,579 20,190,020 Swap agreements 8,039,317 37,628,576 Net realized gain (loss) 10,799,896 57,818,596 Futures contracts 1,854,323 (7,899,907 ) Swap agreements 8,856,793 (16,749,744 ) Short-term U.S. government and agency obligations (22,737 ) (170,860 ) Change in net unrealized appreciation (depreciation) 10,688,379 (24,820,511 ) Net realized and unrealized gain (loss) 21,488,275 32,998,085 $ 22,701,560 $ 32,380,619 BLOOMBERG NATURAL GASSTATEMENTGOLDFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 43,203,386 66,608,730 (34,012,985 ) 32,595,745 (190,949 ) (21,041,439 ) (3,507,126 ) (24,739,514 ) $ 51,059,617
March 31, $ 173,524,136 $ 232,780,534 Addition of 400,000 and 1,500,000 shares, respectively 24,973,354 95,684,676 Redemption of 350,000 and 100,000 shares, respectively (20,037,521 ) (5,816,007 ) Net addition (redemption) of 50,000 and 1,400,000 shares, respectively 4,935,833 89,868,669 Net investment income (loss) 1,213,285 (617,466 ) Net realized gain (loss) 10,799,896 57,818,596 Change in net unrealized appreciation (depreciation) 10,688,379 (24,820,511 ) Net income (loss) 22,701,560 32,380,619 $ 201,161,529 $ 355,029,822 BLOOMBERG NATURAL GAS Nine Months Ended
September 30, 2017 2016 $ (24,739,514 ) $ (1,442,007 ) 888,691 1,947,056 (172,712,634 ) (89,354,690 ) 166,176,382 90,362,175 (199,874 ) (45,257 ) 1,126 405 (1,284 ) (1,913 ) — 3,065,769 1,153 3,356 (433 ) (1,236 ) (1,208,911 ) 1,073,868 (31,795,298 ) 5,607,526 66,608,730 24,550,026 (34,012,985 ) (30,208,996 ) 32,595,745 (5,658,970 ) 800,447 (51,444 ) 971,442 1,411,137 $ 1,771,889 $ 1,359,693
March 31, Net income (loss) $ 22,701,560 $ 32,380,619 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 (264,664,939 ) (439,592,586 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 300,000,000 349,000,000 Net amortization and accretion on short-term U.S. government and agency obligations (1,094,933 ) (95,803 ) Change in unrealized (appreciation) depreciation on investments (8,834,056 ) 16,920,604 Decrease (Increase) in receivable on open futures contracts 8,169 (1,618,170 ) Decrease (Increase) in interest receivable (119,918 ) 690 Increase (Decrease) in payable to Sponsor 4,685 99,065 Increase (Decrease) in brokerage commissions and futures account fees payable — 6,496 Increase (Decrease) in payable on open futures contracts 684,839 — Net cash provided by (used in) operating activities 48,685,407 (42,899,085 ) Proceeds from addition of shares 24,973,354 95,684,676 Payment on shares redeemed (20,037,521 ) (5,816,007 ) Net cash provided by (used in) financing activities 4,935,833 89,868,669 53,621,240 46,969,584 Cash, beginning of period 37,909,767 15,422,082 Cash, end of period $ 91,531,007 $ 62,391,666 GOLD September 30, 2017
(unaudited) December 31, 2016 $ 188,166 $ 1,262,351 10,780 13,200
(cost $101,893,747 and $95,356,703, respectively) 101,900,580 95,356,621 102,099,526 96,632,172 3,980,452 — 780 1,280 76,924 72,585 8,453,427 4,431,107 12,511,583 4,504,972 89,587,943 92,127,200 $ 102,099,526 $ 96,632,172 2,250,000 2,800,000 $ 39.82 $ 32.90 $ 39.60 $ 33.20
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $149,794,065 and $228,617,421, respectively) $ 149,798,740 $ 228,657,634 Cash 126,500,008 74,136,821 Segregated cash balances with brokers for futures contracts 27,421,750 19,452,250 Segregated cash balances with brokers for swap agreements 61,009,000 56,423,000 Unrealized appreciation on swap agreements 62,363,833 39,224,212 Receivable on open futures contracts 1,907,867 — Interest receivable 401,200 300,712 Total assets 429,402,398 418,194,629 Payable for capital shares redeemed — 1,615,382 Payable on open futures contracts — 1,948,902 Payable to Sponsor 287,064 344,467 Total liabilities 287,064 3,908,751 Commitments and Contingencies (Note 2) Shareholders’ equity 429,115,334 414,285,878 Total liabilities and shareholders’ equity $ 429,402,398 $ 418,194,629 Shares outstanding 13,796,526 13,046,526 Net asset value per share $ 31.10 $ 31.75 Market value per share (Note 2) $ 31.23 $ 32.00 GOLDSEPTEMBER 30, 2017 Principal Amount Value
(114% of shareholders’ equity) $ 16,000,000 $ 15,999,013 30,000,000 29,992,167 12,000,000 11,994,787 10,000,000 9,989,867 10,000,000 9,981,942 12,000,000 11,976,639 12,000,000 11,966,165
(cost $101,893,747) $ 101,900,580 (35% of shareholders’ equity) $ 50,000,000 $ 49,993,605 4.329% due 04/11/23 25,000,000 24,973,527 4.156% due 04/18/23 50,000,000 49,902,190 25,000,000 24,929,418 Total short-term U.S. government and agency obligations (cost $149,794,065) $ 149,798,740 Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 2 $ 256,960 $ 9,520 Forward Agreements^ Rate Paid
(Received)* Settlement
Date Commitment to
(Deliver)/Receive Notional Amount
at Value** Unrealized
Appreciation
(Depreciation) 1.80 % 10/05/17 $ 44,400 $ 56,984,292 $ (2,994,458 ) 1.91 10/05/17 38,120 48,923,589 (2,118,074 ) 1.91 10/05/17 18,000 23,101,380 (1,015,643 ) 1.85 10/05/17 38,900 49,924,649 (2,325,252 ) $ (8,453,427 )
Contracts
at Value
Appreciation
(Depreciation)/Value Silver Futures – COMEX, expires May 2023 2,879 $ 347,725,620 $ 28,674,611
(Received)
Date
at Value
Appreciation
(Depreciation)/Value Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 % 04/06/23 $ 159,299,488 $ 18,503,019 Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 04/06/23 177,727,745 22,200,338 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 04/06/23 23,479,523 2,932,172 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/06/23 149,931,926 18,728,304 Total Unrealized
Appreciation
$ 62,363,833 † All or partial amount pledged as collateral for forward agreements and/or futures contracts.swap agreements.^ The positions and counterparties herein are as of September 30, 2017.March 31, 2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^ Rates shown representsrepresent discount rate at the time of purchase.* Reflects the floating financing rate, as of September 30, 2017March 31, 2023, on the notional amount of the forwardswap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For forwardswap agreements, a positive amount represents “long” exposure to the underlying commodity.benchmark index. A negative amount represents “short” exposure to the underlying commodity.benchmark index.GOLD Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 231,647 $ 72,710 $ 531,782 $ 178,730 224,583 245,192 692,340 665,265 10 8 39 33 224,593 245,200 692,379 665,298 7,054 (172,490 ) (160,597 ) (486,568 ) 600 7,280 (5,221 ) 45,880 5,462,318 12,622,611 23,367,970 33,658,090 (61 ) 193 487 296 5,462,857 12,630,084 23,363,236 33,704,266 6,520 (9,380 ) 28,480 3,400 (555,941 ) (13,407,534 ) (4,022,320 ) (207,534 ) 3,100 (6,051 ) 6,915 (4,093 ) (546,321 ) (13,422,965 ) (3,986,925 ) (208,227 ) 4,916,536 (792,881 ) 19,376,311 33,496,039 $ 4,923,590 $ (965,371 ) $ 19,215,714 $ 33,009,471
March 31, Interest $ 3,374,396 $ 140,449 Management fee 871,559 1,217,599 Brokerage commissions 26,562 30,551 Futures accounts fees — 20,505 Total expenses 898,121 1,268,655 Net investment income (loss) 2,476,275 (1,128,206 ) Futures contracts 3,641,746 (5,744,962 ) Swap agreements (32,385,610 ) 122,381,989 Short-term U.S. government and agency obligations — 10 Net realized gain (loss) (28,743,864 ) 116,637,037 Futures contracts (751,963 ) 6,685,833 Swap agreements 23,139,621 (64,442,429 ) Short-term U.S. government and agency obligations (35,538 ) (279,649 ) Change in net unrealized appreciation (depreciation) 22,352,120 (58,036,245 ) Net realized and unrealized gain (loss) (6,391,744 ) 58,600,792 $ (3,915,469 ) $ 57,472,586 GOLDSTATEMENTSILVERFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 92,127,200 14,435,007 (36,189,978 ) (21,754,971 ) (160,597 ) 23,363,236 (3,986,925 ) 19,215,714 $ 89,587,943
March 31, $ 414,285,878 $ 515,453,594 Addition of 1,900,000 and 1,000,000 shares, respectively 51,232,279 39,033,941 Redemption of 1,150,000 and 1,500,000 shares, respectively (32,487,354 ) (53,584,280 ) Net addition (redemption) of 750,000 and (500,000) shares, respectively 18,744,925 (14,550,339 ) Net investment income (loss) 2,476,275 (1,128,206 ) Net realized gain (loss) (28,743,864 ) 116,637,037 Change in net unrealized appreciation (depreciation) 22,352,120 (58,036,245 ) Net income (loss) (3,915,469 ) 57,472,586 $ 429,115,334 $ 558,375,841 GOLD Nine Months Ended
September 30, 2017 2016 $ 19,215,714 $ 33,009,471 2,420 (3,630 ) — (394,000 ) (364,397,565 ) (268,415,817 ) 358,392,755 238,529,754 (531,747 ) (178,730 ) (487 ) (296 ) 4,015,405 211,627 — 80 4,339 21,293 (500 ) 1,780 16,700,334 2,781,532 14,435,007 6,445,287 (32,209,526 ) (9,370,304 ) (17,774,519 ) (2,925,017 ) (1,074,185 ) (143,485 ) 1,262,351 251,524 $ 188,166 $ 108,039
March 31, Net income (loss) $ (3,915,469 ) $ 57,472,586 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 (1,776,762,620 ) (555,554,828 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,858,000,000 541,999,742 Net amortization and accretion on short-term U.S. government and agency obligations (2,414,024 ) (142,031 ) Net realized (gain) loss on investments — (10 ) Change in unrealized (appreciation) depreciation on investments (23,104,083 ) 64,722,078 Decrease (Increase) in receivable on open futures contracts (1,907,867 ) 1,210,319 Decrease (Increase) in interest receivable (100,488 ) 1,582 Increase (Decrease) in payable to Sponsor (57,403 ) 69,683 Increase (Decrease) in brokerage commissions and futures account fees payable — 60 Increase (Decrease) in payable on open futures contracts (1,948,902 ) — Net cash provided by (used in) operating activities 47,789,144 109,779,181 Proceeds from addition of shares 51,232,279 39,033,941 Payment on shares redeemed (34,102,736 ) (57,068,050 ) Net cash provided by (used in) financing activities 17,129,543 (18,034,109 ) 64,918,687 �� 91,745,072 Cash, beginning of period 150,012,071 25,488,503 Cash, end of period $ 214,930,758 $ 117,233,575 SILVER September 30, 2017
(unaudited) December 31, 2016 $ 2,616,377 $ 1,664,601 12,980 14,300
(cost $270,613,725 and $295,296,440, respectively) 270,629,525 295,300,799 273,258,882 296,979,700 2,070 2,290 207,828 221,281 28,243,802 20,976,189 28,453,700 21,199,760 244,805,182 275,779,940 $ 273,258,882 $ 296,979,700 7,196,526 8,246,526 $ 34.02 $ 33.44 $ 33.15 $ 32.09
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $69,869,161 and $34,728,989, respectively) $ 69,863,821 $ 34,732,372 Cash 93,765,363 71,086,482 Segregated cash balances with brokers for futures contracts 258,517,916 323,761,025 Receivable from capital shares sold 13,423,891 — Receivable on open futures contracts 100,274,772 209,470,270 Interest receivable 1,354,316 1,246,402 Total assets 537,200,079 640,296,551 Payable on open futures contracts 720,028 348,988 Brokerage commissions and futures account fees payable 41,938 58,772 Payable to Sponsor 457,877 570,429 Total liabilities 1,219,843 978,189 Commitments and Contingencies (Note 2) Shareholders’ equity 535,980,236 639,318,362 Total liabilities and shareholders’ equity $ 537,200,079 $ 640,296,551 Shares outstanding 115,878,420 93,078,420 Net asset value per share $ 4.63 $ 6.87 Market value per share (Note 2) $ 4.65 $ 6.86 SILVERSEPTEMBER 30, 2017 Principal Amount Value
(111% of shareholders’ equity) $ 23,000,000 $ 22,998,581 31,000,000 30,991,906 20,000,000 19,991,312 26,000,000 25,983,794 11,000,000 10,990,954 13,000,000 12,986,827 7,000,000 6,991,644 12,000,000 11,980,629 40,000,000 39,927,768 50,000,000 49,902,665 9,000,000 8,976,030 15,000,000 14,957,706 14,000,000 13,949,709
(cost $270,613,725) $ 270,629,525 (13% of shareholders’ equity) 3.874% due 04/11/23 $ 25,000,000 $ 24,973,527 4.156% due 04/18/23 20,000,000 19,960,876 4.205% due 04/25/23 25,000,000 24,929,418 Total short-term U.S. government and agency obligations (cost $69,869,161) $ 69,863,821 Number of
Contracts Notional Amount
at Value Unrealized
Appreciation
(Depreciation) 2 $ 166,760 $ (4,940 ) Forward Agreements^ Rate Paid
(Received)* Settlement Date Commitment to
(Deliver)/Receive Notional Amount
at Value** Unrealized
Appreciation
(Depreciation) 1.90 % 10/05/17 $ 9,604,000 $ 161,967,618 $ (9,405,158 ) 2.03 10/05/17 7,795,800 131,471,490 (7,478,422 ) 2.04 10/05/17 3,784,000 63,815,268 (3,531,263 ) 2.03 10/05/17 7,836,000 132,149,438 (7,828,959 ) $(28,243,802)
Contracts
at Value
Appreciation
(Depreciation)/Value VIX Futures – Cboe, expires April 2023 21,811 $ 452,887,966 $ (19,782,862 ) VIX Futures – Cboe, expires May 2023 15,863 351,024,396 (14,726,341 ) $ (34,509,203 ) †^^All or partial amount pledged as collateral for forward agreements and/or futures contracts.Rates shown represent discount rate at the time of purchase.
March 31, Interest $ 4,416,655 $ 95,261 Management fee 1,373,770 1,961,177 Brokerage commissions 777,701 936,758 Futures accounts fees 123,361 782,688 Total expenses 2,274,832 3,680,623 Net investment income (loss) 2,141,823 (3,585,362 ) Futures contracts (182,233,430 ) 258,438,098 Swap agreements — 22,556,586 Short-term U.S. government and agency obligations (7,778 ) (15,153 ) Net realized gain (loss) (182,241,208 ) 280,979,531 Futures contracts 2,046,250 (34,855,903 ) Swap agreements — 477,437 Short-term U.S. government and agency obligations (8,723 ) (622,418 ) Change in net unrealized appreciation (depreciation) 2,037,527 (35,000,884 ) Net realized and unrealized gain (loss) (180,203,681 ) 245,978,647 $ (178,061,858 ) $ 242,393,285
March 31, $ 639,318,362 $ 816,679,636 Addition of 83,700,000 and 83,100,000 shares, respectively 436,460,449 1,171,715,867 Redemption of 60,900,000 and 65,400,000 shares, respectively (361,736,717 ) (1,103,180,147 ) Net addition (redemption) of 22,800,000 and 17,700,000 shares, respectively 74,723,732 68,535,720 Net investment income (loss) 2,141,823 (3,585,362 ) Net realized gain (loss) (182,241,208 ) 280,979,531 Change in net unrealized appreciation (depreciation) 2,037,527 (35,000,884 ) Net income (loss) (178,061,858 ) 242,393,285 $ 535,980,236 $ 1,127,608,641
March 31, Net income (loss) $ (178,061,858 ) $ 242,393,285 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 (664,522,118 ) (396,948,446 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 629,900,478 424,952,914 Net amortization and accretion on short-term U.S. government and agency obligations (526,310 ) (100,321 ) Net realized (gain) loss on investments 7,778 15,153 Change in unrealized (appreciation) depreciation on investments 8,723 144,981 Decrease (Increase) in securities sold receivable — (6,195,418 ) Decrease (Increase) in receivable on open futures contracts 109,195,498 (318,669,084 ) Decrease (Increase) in interest receivable (107,914 ) 5,060 Increase (Decrease) in payable to Sponsor (112,552 ) 98,097 Increase (Decrease) in brokerage commissions and futures account fees payable (16,834 ) 66,511 Increase (Decrease) in payable on open futures contracts 371,040 (9,447,456 ) Net cash provided by (used in) operating activities (103,864,069 ) (63,684,724 ) Proceeds from addition of shares 423,036,558 1,156,170,922 Payment on shares redeemed (361,736,717 ) (1,103,180,147 ) Net cash provided by (used in) financing activities 61,299,841 52,990,775 (42,564,228 ) (10,693,949 ) Cash, beginning of period 394,847,507 572,120,879 Cash, end of period $ 352,283,279 $ 561,426,930
(unaudited) Cash $ 9,915,279 $ 11,444,958 Segregated cash balances with brokers for foreign currency forward contracts 1,137,000 1,357,000 Unrealized appreciation on foreign currency forward contracts 502,639 1,152,834 Interest receivable 34,903 39,204 Total assets 11,589,821 13,993,996 Payable for capital shares redeemed 1,653,365 — Payable to Sponsor 9,216 10,915 Unrealized depreciation on foreign currency forward contracts 12,157 168,285 Total liabilities 1,674,738 179,200 Commitments and Contingencies (Note 2) Shareholders’ equity 9,915,083 13,814,796 Total liabilities and shareholders’ equity $ 11,589,821 $ 13,993,996 Shares outstanding 299,970 399,970 Net asset value per share $ 33.05 $ 34.54 Market value per share (Note 2) $ 33.02 $ 34.56
in Local Currency
in U.S. Dollars
Appreciation
(Depreciation)/
Value Yen with Goldman Sachs International 04/14/23 1,492,519,517 $ 11,266,763 $ 221,961 Yen with UBS AG 04/14/23 1,730,435,856 13,062,750 280,678 Total Unrealized
Appreciation
$ 502,639 Yen with Goldman Sachs International 04/14/23 (16,977,000 ) $ (128,156 ) $ (2,749 ) Yen with UBS AG 04/14/23 (577,337,000 ) (4,358,214 ) (9,408 ) Total Unrealized
Depreciation
$ (12,157 ) ^ The positions and counterparties herein are as of September 30, 2017.March 31, 2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
March 31, Interest $ 120,118 $ 873 Management fee 30,560 5,429 Total expenses 30,560 5,429 Net investment income (loss) 89,558 (4,556 ) Foreign currency forward contracts (298,808 ) (118,771 ) Short-term U.S. government and agency obligations — 1,548 Net realized gain (loss) (298,808 ) (117,223 ) Foreign currency forward contracts (494,067 ) (138,539 ) Short-term U.S. government and agency obligations — (2,826 ) Change in net unrealized appreciation (depreciation) (494,067 ) (141,365 ) Net realized and unrealized gain (loss) (792,875 ) (258,588 ) $ (703,317 ) $ (263,144 )
March 31, $ 13,814,796 $ 2,362,849 Addition of 50,000 and – shares, respectively 1,812,626 — Redemption of 150,000 and – shares, respectively (5,009,022 ) — Net addition (redemption) of (100,000) and – shares, respectively (3,196,396 ) — Net investment income (loss) 89,558 (4,556 ) Net realized gain (loss) (298,808 ) (117,223 ) Change in net unrealized appreciation (depreciation) (494,067 ) (141,365 ) Net income (loss) (703,317 ) (263,144 ) $ 9,915,083 $ 2,099,705
March 31, Net income (loss) $ (703,317 ) $ (263,144 ) 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 — (995,769 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations — 1,548 Net amortization and accretion on short-term U.S. government and agency obligations — (967 ) Net realized (gain) loss on investments — (1,548 ) Change in unrealized (appreciation) depreciation on investments 494,067 141,365 Decrease (Increase) in interest receivable 4,301 95 Increase (Decrease) in payable to Sponsor (1,699 ) (154 ) Net cash provided by (used in) operating activities (206,648 ) (1,118,574 ) Proceeds from addition of shares 1,812,626 — Payment on shares redeemed (3,355,657 ) — Net cash provided by (used in) financing activities (1,543,031 ) — (1,749,679 ) (1,118,574 ) Cash, beginning of period 12,801,958 2,457,820 Cash, end of period $ 11,052,279 $ 1,339,246
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $44,952,937 and $89,407,308, respectively) $ 44,957,679 $ 89,426,935 Cash 43,870,581 74,627,051 Segregated cash balances with brokers for futures contracts 44,519,487 65,184,460 Receivable from capital shares sold 18,906,418 41,694 Receivable on open futures contracts — 1,604,847 Interest receivable 281,264 384,856 Total assets 152,535,429 231,269,843 Payable for capital shares redeemed — 1,257,090 Payable on open futures contracts 7,629,422 7,102,680 Brokerage commissions and futures account fees payable 3,407 4,134 Payable to Sponsor 140,037 208,602 Total liabilities 7,772,866 8,572,506 Commitments and Contingencies (Note 2) Shareholders’ equity 144,762,563 222,697,337 Total liabilities and shareholders’ equity $ 152,535,429 $ 231,269,843 Shares outstanding (Note 1) 5,755,220 9,305,220 Net asset value per share (Note 1) $ 25.15 $ 23.93 Market value per share (Note 1) (Note 2) $ 25.22 $ 23.85 (31% of shareholders’ equity) 4.401% due 04/04/23 $ 25,000,000 $ 24,996,803 4.156% due 04/18/23 20,000,000 19,960,876 Total short-term U.S. government and agency obligations (cost $44,952,937) $ 44,957,679
Contracts
at Value
Appreciation
(Depreciation)/Value WTI Crude Oil – NYMEX, expires June 2023 1,269 $ 96,190,200 $ 13,187,668 WTI Crude Oil – NYMEX, expires December 2023 1,312 96,497,600 5,095,651 WTI Crude Oil – NYMEX, expires June 2024 1,359 96,801,570 2,932,689 $ 21,216,008 ^^ Rates shown represent discount rate at the time of purchase.
March 31, Interest $ 2,003,209 $ 53,907 Management fee 484,880 492,647 Brokerage commissions 65,757 77,056 Futures accounts fees — 70,177 Total expenses 550,637 639,880 Net investment income (loss) 1,452,572 (585,973 ) Futures contracts 27,614,279 (106,482,101 ) Short-term U.S. government and agency obligations 488 — Net realized gain (loss) 27,614,767 (106,482,101 ) Futures contracts 10,971,115 2,115,992 Short-term U.S. government and agency obligations (14,885 ) (186,950 ) Change in net unrealized appreciation (depreciation) 10,956,230 1,929,042 Net realized and unrealized gain (loss) 38,570,997 (104,553,059 ) $ 40,023,569 $ (105,139,032 )
March 31, $ 222,697,337 $ 114,167,602 Addition of 5,300,000 and 15,570,000 shares, respectively (Note 1) 127,905,875 510,028,879 Redemption of 8,850,000 and 3,060,000 shares, respectively (Note 1) (245,864,218 ) (102,258,218 ) Net addition (redemption) of (3,550,000) and 12,510,000 shares, respectively (Note 1) (117,958,343 ) 407,770,661 Net investment income (loss) 1,452,572 (585,973 ) Net realized gain (loss) 27,614,767 (106,482,101 ) Change in net unrealized appreciation (depreciation) 10,956,230 1,929,042 Net income (loss) 40,023,569 (105,139,032 ) $ 144,762,563 $ 416,799,231
March 31, Net income (loss) $ 40,023,569 $ (105,139,032 ) 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 (239,587,448 ) (203,890,683 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 284,998,708 87,000,000 Net amortization and accretion on short-term U.S. government and agency obligations (956,401 ) (55,266 ) Net realized (gain) loss on investments (488 ) — Change in unrealized (appreciation) depreciation on investments 14,885 186,950 Decrease (Increase) in receivable on open futures contracts 1,604,847 (20,653,809 ) Decrease (Increase) in interest receivable 103,592 1,359 Increase (Decrease) in payable to Sponsor (68,565 ) 196,247 Increase (Decrease) in brokerage commissions and futures account fees payable (727 ) 34,348 Increase (Decrease) in payable on open futures contracts 526,742 3,806,529 Net cash provided by (used in) operating activities 86,658,714 (238,513,357 ) Proceeds from addition of shares 109,041,151 507,693,464 Payment on shares redeemed (247,121,308 ) (102,258,218 ) Net cash provided by (used in) financing activities (138,080,157 ) 405,435,246 (51,421,443 ) 166,921,889 Cash, beginning of period 139,811,511 54,443,553 Cash, end of period $ 88,390,068 $ 221,365,442
(unaudited) Short-term U.S. government and agency obligations (Note 3) (cost $24,990,998 and $61,469,726, respectively) $ 24,996,803 $ 61,482,526 Cash 33,253,799 5,724,380 Segregated cash balances with brokers for futures contracts 52,300,800 38,758,160 Receivable from capital shares sold 28,445,000 — Receivable on open futures contracts 19,197,683 33,637,888 Interest receivable 214,834 293,818 Total assets 158,408,919 139,896,772 Payable for capital shares redeemed — 5,365,196 Payable on open futures contracts 11,323,200 282,362 Brokerage commissions and futures account fees payable 9,059 7,497 Payable to Sponsor 94,900 132,197 Total liabilities 11,427,159 5,787,252 Commitments and Contingencies (Note 2) Shareholders’ equity 146,981,760 134,109,520 Total liabilities and shareholders’ equity $ 158,408,919 $ 139,896,772 Shares outstanding (Note 1) 2,066,856 4,966,856 Net asset value per share (Note 1) $ 71.11 $ 27.00 Market value per share (Note 1) (Note 2) $ 72.42 $ 27.56 (17% of shareholders’ equity) 4.401% due 04/04/23 $ 25,000,000 $ 24,996,803 Total short-term U.S. government and agency obligations (cost $24,990,998) $ 24,996,803
Contracts
at Value
Appreciation
(Depreciation)/Value Natural Gas - NYMEX, expires May 2023 13,265 $ 293,952,400 $ 40,936,595 ^^ Rates shown represent discount rate at the time of purchase.
March 31, Interest $ 1,186,752 $ 55,825 Management fee 296,862 542,364 Brokerage commissions 209,641 220,951 Futures accounts fees 29,609 129,929 Total expenses 536,112 893,244 Net investment income (loss) 650,640 (837,419 ) Futures contracts 183,408,644 (114,665,698 ) Short-term U.S. government and agency obligations (2,678 ) (58,610 ) Net realized gain (loss) 183,405,966 (114,724,308 ) Futures contracts (44,952,803 ) (87,532,158 ) Short-term U.S. government and agency obligations (6,995 ) (254,913 ) Change in net unrealized appreciation (depreciation) (44,959,798 ) (87,787,071 ) Net realized and unrealized gain (loss) 138,446,168 (202,511,379 ) $ 139,096,808 $ (203,348,798 )
March 31, $ 134,109,520 $ 242,145,130 Addition of 7,250,000 and 4,640,000 shares, respectively (Note 1) 376,009,637 454,959,241 Redemption of 10,150,000 and 1,750,123 shares, respectively (Note 1) (502,234,205 ) (243,414,736 ) Net addition (redemption) of (2,900,000) and 2,889,877 shares, respectively (Note 1) (126,224,568 ) 211,544,505 Net investment income (loss) 650,640 (837,419 ) Net realized gain (loss) 183,405,966 (114,724,308 ) Change in net unrealized appreciation (depreciation) (44,959,798 ) (87,787,071 ) Net income (loss) 139,096,808 (203,348,798 ) $ 146,981,760 $ 250,340,837
March 31, Net income (loss) $ 139,096,808 $ (203,348,798 ) 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 (34,903,867 ) (171,922,547 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 71,888,275 185,860,345 Net amortization and accretion on short-term U.S. government and agency obligations (508,358 ) (57,574 ) Net realized (gain) loss on investments 2,678 58,610 Change in unrealized (appreciation) depreciation on investments 6,995 254,913 Decrease (Increase) in receivable on open futures contracts 14,440,205 11,635,357 Decrease (Increase) in interest receivable 78,984 1,749 Increase (Decrease) in payable to Sponsor (37,297 ) (22,809 ) Increase (Decrease) in brokerage commissions and futures account fees payable 1,562 (17,357 ) Increase (Decrease) in payable on open futures contracts 11,040,838 (6,200,338 ) Net cash provided by (used in) operating activities 201,106,823 (183,758,449 ) Proceeds from addition of shares 347,564,637 435,523,078 Payment on shares redeemed (507,599,401 ) (259,400,738 ) Net cash provided by (used in) financing activities (160,034,764 ) 176,122,340 41,072,059 (7,636,109 ) Cash, beginning of period 44,482,540 113,000,927 Cash, end of period $ 85,554,599 $ 105,364,818
(unaudited)
2022 Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively) $ — $ 39,996,624 Cash 54,803,973 30,687,235 Segregated cash balances with brokers for foreign currency forward contracts 8,391,121 6,844,121 Unrealized appreciation on foreign currency forward contracts 332,826 193,192 Interest receivable 144,160 109,830 Total assets 63,672,080 77,831,002 Payable for capital shares redeemed 1,435,389 — Payable to Sponsor 51,362 63,375 Unrealized depreciation on foreign currency forward contracts 2,648,069 2,654,448 Total liabilities 4,134,820 2,717,823 Commitments and Contingencies (Note 2) Shareholders’ equity 59,537,260 75,113,179 Total liabilities and shareholders’ equity $ 63,672,080 $ 77,831,002 Shares outstanding 2,050,000 2,550,000 Net asset value per share $ 29.04 $ 29.46 Market value per share (Note 2) $ 29.04 $ 29.45
in Local Currency
in U.S. Dollars
Appreciation
(Depreciation)/
Value Euro with Goldman Sachs International 04/14/23 13,747,000 $ 14,920,324 $ 177,561 Euro with UBS AG 04/14/23 21,381,000 23,205,896 155,265 Total Unrealized
Appreciation
$ 332,826 Euro with Goldman Sachs International 04/14/23 (71,345,263 ) $ (77,434,672 ) $ (1,288,634 ) Euro with UBS AG 04/14/23 (73,465,199 ) (79,735,547 ) (1,359,435 ) Total Unrealized
Depreciation
$ (2,648,069 ) ^ The positions and counterparties herein are as of March 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
March 31, Interest $ 647,120 $ 15,405 Management fee 161,568 117,456 Total expenses 161,568 117,456 Net investment income (loss) 485,552 (102,051 ) Foreign currency forward contracts (1,407,311 ) 2,542,134 Short-term U.S. government and agency obligations — 210,974 Net realized gain (loss) (1,407,311 ) 2,753,108 Foreign currency forward contracts 146,013 342,076 Short-term U.S. government and agency obligations (4,802 ) (73,335 ) Change in net unrealized appreciation (depreciation) 141,211 268,741 Net realized and unrealized gain (loss) (1,266,100 ) 3,021,849 $ (780,548 ) $ 2,919,798
March 31, $ 75,113,179 $ 54,263,045 Addition of 100,000 and 50,000 shares, respectively 3,051,886 1,371,662 Redemption of 600,000 and 300,000 shares, respectively (17,847,257 ) (8,056,421 ) Net addition (redemption) of (500,000) and (250,000) shares, respectively (14,795,371 ) (6,684,759 ) Net investment income (loss) 485,552 (102,051 ) Net realized gain (loss) (1,407,311 ) 2,753,108 Change in net unrealized appreciation (depreciation) 141,211 268,741 Net income (loss) (780,548 ) 2,919,798 $ 59,537,260 $ 50,498,084
March 31, Net income (loss) $ (780,548 ) $ 2,919,798 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 (54,925,175 ) (29,988,234 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 95,000,000 35,210,974 Net amortization and accretion on short-term U.S. government and agency obligations (83,003 ) (16,008 ) Net realized (gain) loss on investments — (210,974 ) Change in unrealized (appreciation) depreciation on investments (141,211 ) (268,741 ) Decrease (Increase) in interest receivable (34,330 ) 603 Increase (Decrease) in payable to Sponsor (12,013 ) (3,776 ) Net cash provided by (used in) operating activities 39,023,720 7,643,642 Proceeds from addition of shares 3,051,886 1,371,662 Payment on shares redeemed (16,411,868 ) (8,056,421 ) Net cash provided by (used in) financing activities (13,359,982 ) (6,684,759 ) 25,663,738 958,883 Cash, beginning of period 37,531,356 7,554,065 Cash, end of period $ 63,195,094 $ 8,512,948
(unaudited)
2022 Cash $ 13,054,368 $ 12,252,100 Segregated cash balances with brokers for futures contracts 614,000 232,313 Segregated cash balances with brokers for swap agreements 3,476,000 3,536,000 Receivable on open futures contracts 59,952 — Interest receivable 41,782 42,135 Total assets 17,246,102 16,062,548 Payable on open futures contracts — 700 Payable to Sponsor 11,441 12,854 Unrealized depreciation on swap agreements 1,185,388 592,957 Total liabilities 1,196,829 606,511 Commitments and Contingencies (Note 2) Shareholders’ equity 16,049,273 15,456,037 Total liabilities and shareholders’ equity $ 17,246,102 $ 16,062,548 Shares outstanding 596,977 496,977 Net asset value per share $ 26.88 $ 31.10 Market value per share (Note 2) $ 26.84 $ 30.99
Contracts
at Value
Appreciation
(Depreciation)/Value Gold Futures – COMEX, expires June 2023 76 $ 15,095,120 $ (162,157 )
(Received)
Date
at Value
Appreciation
(Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 04/06/23 $ (3,932,159 ) $ (227,829 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 04/06/23 (5,153,543 ) (495,713 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/06/23 (7,971,123 ) (461,846 ) Total Unrealized
Depreciation
$ (1,185,388 ) ^ The positions and counterparties herein are as of March 31, 2023. 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 represents discount rate at the time of purchase.* Reflects the floating financing rate, as of September 30, 2017,March 31, 2023, on the notional amount of the forwardswap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.** For forwardswap agreements, a positive amount represents “long” exposure to the underlying commodity.benchmark index. A negative amount represents “short” exposure to the underlying commodity.benchmark index.ULTRA SILVER Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 612,838 $ 277,478 $ 1,497,007 $ 587,744 612,285 978,671 1,971,071 2,300,935 10 9 49 36 612,295 978,680 1,971,120 2,300,971 543 (701,202 ) (474,113 ) (1,713,227 ) 2,157 15,260 (18,669 ) 50,360 1,062,113 119,357,106 20,345,685 174,820,159 (722 ) 336 (524 ) 2,562 1,063,548 119,372,702 20,326,492 174,873,081 (2,560 ) (10,650 ) 22,420 10,510 7,162,153 (88,229,820 ) (7,267,613 ) 9,815,906 4,781 4,068 11,441 17,811 7,164,374 (88,236,402 ) (7,233,752 ) 9,844,227 8,227,922 31,136,300 13,092,740 184,717,308 $ 8,228,465 $ 30,435,098 $ 12,618,627 $ 183,004,081
March 31, Interest $ 132,562 $ 9,685 Management fee 36,373 66,138 Brokerage commissions 1,361 2,811 Futures accounts fees — 1,866 Total expenses 37,734 70,815 Net investment income (loss) 94,828 (61,130 ) Futures contracts (114,050 ) (1,991,249 ) Swap agreements (916,831 ) (4,317,424 ) Short-term U.S. government and agency obligations — 4 Net realized gain (loss) (1,030,881 ) (6,308,669 ) Futures contracts (63,271 ) 167,908 Swap agreements (592,431 ) 1,901,440 Short-term U.S. government and agency obligations — (40,569 ) Change in net unrealized appreciation (depreciation) (655,702 ) 2,028,779 Net realized and unrealized gain (loss) (1,686,583 ) (4,279,890 ) $ (1,591,755 ) $ (4,341,020 ) ULTRA SILVERSTATEMENTULTRASHORT GOLDFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 275,779,940 31,641,699 (75,235,084 ) (43,593,385 ) (474,113 ) 20,326,492 (7,233,752 ) 12,618,627 $ 244,805,182
March 31, $ 15,456,037 $ 26,859,844 Addition of 300,000 and 450,000 shares, respectively 8,364,270 13,189,949 Redemption of 200,000 and 100,000 shares, respectively (6,179,279 ) (3,110,322 ) Net addition (redemption) of 100,000 and 350,000 shares, respectively 2,184,991 10,079,627 Net investment income (loss) 94,828 (61,130 ) Net realized gain (loss) (1,030,881 ) (6,308,669 ) Change in net unrealized appreciation (depreciation) (655,702 ) 2,028,779 Net income (loss) (1,591,755 ) (4,341,020 ) $ 16,049,273 $ 32,598,451 ULTRA SILVER Nine Months Ended
September 30, 2017 2016 $ 12,618,627 $ 183,004,081 1,320 5,610 — (2,561,000 ) (1,281,165,030 ) (980,153,795 ) 1,307,344,193 837,326,976 (1,496,972 ) (587,744 ) 524 (2,562 ) 7,256,172 (9,833,717 ) — (260 ) (13,453 ) 112,343 (220 ) (1,875 ) 44,545,161 27,308,057 31,641,699 55,483,218 (75,235,084 ) (82,652,813 ) (43,593,385 ) (27,169,595 ) 951,776 138,462 1,664,601 243,900 $ 2,616,377 $ 382,362
March 31, Net income (loss) $ (1,591,755 ) $ (4,341,020 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations — (17,987,492 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations — 21,999,990 Net amortization and accretion on short-term U.S. government and agency obligations — (10,118 ) Net realized (gain) loss on investments — (4 ) Change in unrealized (appreciation) depreciation on investments 592,431 (1,860,871 ) Decrease (Increase) in receivable on open futures contracts (59,952 ) — Decrease (Increase) in interest receivable 353 434 Increase (Decrease) in payable to Sponsor (1,413 ) (1,726 ) Increase (Decrease) in brokerage commissions and futures account fees payable — 239 Increase (Decrease) in payable on open futures contracts (700 ) 62,888 Net cash provided by (used in) operating activities (1,061,036 ) (2,137,680 ) Proceeds from addition of shares 8,364,270 13,189,949 Payment on shares redeemed (6,179,279 ) (3,110,322 ) Net cash provided by (used in) financing activities 2,184,991 10,079,627 1,123,955 7,941,947 Cash, beginning of period 16,020,413 1,990,354 Cash, end of period $ 17,144,368 $ 9,932,301 ULTRA EURO September 30, 2017
(unaudited) December 31, 2016 $ 2,929,230 $ 606,393
(cost $10,995,458 and $11,891,729, respectively) 10,995,765 11,891,831 82,079 2,548 14,007,074 12,500,772 10,027 9,629 291,439 576,558 301,466 586,187 13,705,608 11,914,585 $ 14,007,074 $ 12,500,772 800,000 850,000 $ 17.13 $ 14.02 $ 17.10 $ 14.09
(unaudited)
2022 Cash $ 13,761,074 $ 21,887,346 Segregated cash balances with brokers for futures contracts 1,319,312 2,820,937 Segregated cash balances with brokers for swap agreements 7,502,000 7,875,000 Receivable from capital shares sold 931,710 972,789 Receivable on open futures contracts — 59,575 Interest receivable 53,223 60,480 Total assets 23,567,319 33,676,127 Payable on open futures contracts 192,643 — Payable to Sponsor 16,663 20,705 Unrealized depreciation on swap agreements 3,022,322 1,722,623 Total liabilities 3,231,628 1,743,328 Commitments and Contingencies (Note 2) Shareholders’ equity 20,335,691 31,932,799 Total liabilities and shareholders’ equity $ 23,567,319 $ 33,676,127 Shares outstanding 1,091,329 1,641,329 Net asset value per share $ 18.63 $ 19.46 Market value per share (Note 2) $ 18.56 $ 19.30 ULTRA EUROSEPTEMBER 30, 2017 Principal Amount Value
(80% of shareholders’ equity) $ 6,000,000 $ 5,998,434 5,000,000 4,997,331
(cost $10,995,458) $ 10,995,765 Foreign Currency Forward Contracts^ Settlement Date Local Currency Notional Amount
at Value (USD) Unrealized
Appreciation
(Depreciation) 10/06/17 11,961,025 $ 14,138,996 $ (136,124 ) 10/06/17 17,574,000 20,774,032 (155,315 ) $ (291,439 ) 10/06/17 (1,663,500 ) $ (1,966,405 ) $ 33,031 10/06/17 (4,680,700 ) (5,533,004 ) 49,048 $ 82,079 †All or partial amount pledged as collateral for foreign currency forward contracts.
Contracts
at Value
Appreciation
(Depreciation)/Value Silver Futures – COMEX, expires May 2023 137 $ 16,546,860 $ (824,037 )
(Received)
Date
at Value
Appreciation
(Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 04/06/23 $ (2,858,231 ) $ (357,884 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 04/06/23 (10,412,145 ) (1,303,722 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/06/23 (8,232,766 ) (1,031,085 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/06/23 (2,632,575 ) (329,631 ) Total Unrealized
Depreciation
$ (3,022,322 ) ^ The positions and counterparties herein are as of September 30, 2017.March 31, 2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.^^*Rates shown represents discountReflects the floating financing rate, as of March 31, 2023, 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 the time of purchase.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 EURO Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 30,171 $ 6,257 $ 69,923 $ 18,054 31,427 22,916 95,974 71,859 31,427 22,916 95,974 71,859 (1,256 ) (16,659 ) (26,051 ) (53,805 ) 1,259,663 46,252 2,666,172 1,155,961 (13 ) 6 134 153 1,259,650 46,258 2,666,306 1,156,114 (519,273 ) 118,030 364,650 (654,504 ) (331 ) (1,819 ) 205 (452 ) (519,604 ) 116,211 364,855 (654,956 ) 740,046 162,469 3,031,161 501,158 $ 738,790 $ 145,810 $ 3,005,110 $ 447,353
March 31, Interest $ 200,078 $ 8,920 Management fee 60,168 60,953 Brokerage commissions 5,703 5,301 Futures accounts fees — 3,274 Total expenses 65,871 69,528 Net investment income (loss) 134,207 (60,608 ) Futures contracts 1,331,998 (1,293,770 ) Swap agreements 1,381,625 (6,079,976 ) Short-term U.S. government and agency obligations — (190 ) Net realized gain (loss) 2,713,623 (7,373,936 ) Futures contracts 116,463 (385,346 ) Swap agreements (1,299,699 ) 2,194,508 Short-term U.S. government and agency obligations — (19,510 ) Change in net unrealized appreciation (depreciation) (1,183,236 ) 1,789,652 Net realized and unrealized gain (loss) 1,530,387 (5,584,284 ) $ 1,664,594 $ (5,644,892 ) ULTRA EUROSTATEMENTULTRASHORT SILVERFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 11,914,585 18,469,355 (19,683,442 ) (1,214,087 ) (26,051 ) 2,666,306 364,855 3,005,110 $ 13,705,608
March 31, $ 31,932,799 $ 26,537,000 Addition of 650,000 and 1,100,000 shares, respectively 13,789,540 25,560,144 Redemption of 1,200,000 and 1,000,000 shares, respectively (27,051,242 ) (23,045,736 ) Net addition (redemption) of (550,000) and 100,000 shares, respectively (13,261,702 ) 2,514,408 Net investment income (loss) 134,207 (60,608 ) Net realized gain (loss) 2,713,623 (7,373,936 ) Change in net unrealized appreciation (depreciation) (1,183,236 ) 1,789,652 Net income (loss) 1,664,594 (5,644,892 ) $ 20,335,691 $ 23,406,516 ULTRA EURO Nine Months Ended
September 30, 2017 2016 $ 3,005,110 $ 447,353 (40,818,978 ) (36,177,928 ) 41,785,306 38,263,779 (69,923 ) (18,054 ) (134 ) (153 ) (364,855 ) 654,956 398 (2,532 ) 3,536,924 3,167,421 18,469,355 831,691 (19,683,442 ) (4,027,778 ) (1,214,087 ) (3,196,087 ) 2,322,837 (28,666 ) 606,393 227,310 $ 2,929,230 $ 198,644
March 31, Net income (loss) $ 1,664,594 $ (5,644,892 ) 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 — (20,979,052 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations — 30,052,082 Net amortization and accretion on short-term U.S. government and agency obligations — (9,298 ) Net realized (gain) loss on investments — 190 Change in unrealized (appreciation) depreciation on investments 1,299,699 (2,174,998 ) Decrease (Increase) in receivable on open futures contracts 59,575 15,446 Decrease (Increase) in interest receivable 7,257 378 Increase (Decrease) in payable to Sponsor (4,042 ) (8,791 ) Increase (Decrease) in brokerage commissions and futures account fees payable — (14 ) Increase (Decrease) in payable on open futures contracts 192,643 1,523 Net cash provided by (used in) operating activities 3,219,726 1,252,574 Proceeds from addition of shares 13,830,619 25,560,144 Payment on shares redeemed (27,051,242 ) (23,045,736 ) Net cash provided by (used in) financing activities (13,220,623 ) 2,514,408 (10,000,897 ) 3,766,982 Cash, beginning of period 32,583,283 5,483,476 Cash, end of period $ 22,582,386 $ 9,250,458 ULTRAULTRASHORT YEN September 30, 2017
(unaudited) December 31, 2016 $ 1,542,516 $ 604,691
(cost $4,662,497 and $5,283,104, respectively) 4,662,411 5,282,879 12,351 379 6,217,278 5,887,949 4,698 4,537 407,660 342,455 412,358 346,992 5,804,920 5,540,957 $ 6,217,278 $ 5,887,949 99,970 99,970 $ 58.07 $ 55.43 $ 58.17 $ 55.52
(unaudited)
2022 Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively) $ — $ 22,998,059 Cash 19,852,266 451,616 Segregated cash balances with brokers for foreign currency forward contracts 3,562,511 3,652,511 Unrealized appreciation on foreign currency forward contracts 102,137 963,369 Receivable from capital shares sold 2,799,847 — Interest receivable 81,452 36,071 Total assets 26,398,213 28,101,626 Payable for capital shares redeemed — 2,683,455 Payable to Sponsor 19,087 29,633 Unrealized depreciation on foreign currency forward contracts 1,267,308 3,990,802 Total liabilities 1,286,395 6,703,890 Commitments and Contingencies (Note 2) Shareholders’ equity 25,111,818 21,397,736 Total liabilities and shareholders’ equity $ 26,398,213 $ 28,101,626 Shares outstanding (Note 1) 448,580 398,580 Net asset value per share (Note 1) $ 55.98 $ 53.68 Market value per share (Note 1) (Note 2) $ 56.00 $ 53.57 ULTRAULTRASHORT YENSEPTEMBER 30, 2017 Principal Amount Value $ 673,000 $ 672,824 2,000,000 1,996,771 2,000,000 1,992,816 $ 4,662,411 Contracts^ Settlement Date Local Currency Notional Amount
at Value (USD) Unrealized
Appreciation
(Depreciation) 10/06/17 735,730,100 $ 6,539,365 $ (218,377 ) 10/06/17 652,357,100 5,798,323 (189,283 ) $ (407,660 ) 10/06/17 (23,286,700 ) $ (206,978 ) $ 1,919 10/06/17 (57,172,300 ) (508,163 ) 10,432 $ 12,351
Contracts†All or partial amount pledged as collateral for foreign currency forward contracts.
in Local Currency
in U.S. Dollars
Appreciation
(Depreciation)/
Value Yen with Goldman Sachs International 04/14/23 1,438,381,000 $ 10,858,080 $ (40,031 ) Yen with UBS AG 04/14/23 1,461,674,000 11,033,916 142,168 Total Unrealized
Appreciation
$ 102,137 Yen with Goldman Sachs International 04/14/23 (4,075,246,165 ) $ (30,763,304 ) $ (565,997 ) Yen with UBS AG 04/14/23 (5,475,162,574 ) (41,331,023 ) (701,311 ) Total Unrealized
Depreciation
$ (1,267,308 ) ^ The positions and counterparties herein are as of September 30, 2017.March 31, 2023. The FundsFund continually evaluateevaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
March 31, Interest $ 204,200 $ 9,399 Management fee 50,812 59,820 Total expenses 50,812 59,820 Net investment income (loss) 153,388 (50,421 ) Foreign currency forward contracts (1,027,976 ) 1,080,173 Short-term U.S. government and agency obligations — 102,971 Net realized gain (loss) (1,027,976 ) 1,183,144 Foreign currency forward contracts 1,862,262 1,466,402 Short-term U.S. government and agency obligations (2,761 ) (27,938 ) Change in net unrealized appreciation (depreciation) 1,859,501 1,438,464 Net realized and unrealized gain (loss) 831,525 2,621,608 $ 984,913 $ 2,571,187
March 31, $ 21,397,736 $ 24,840,784 Addition of 200,000 and 200,000 shares, respectively (Note 1) 11,156,537 9,605,322 Redemption of 150,000 and 200,000 shares, respectively (Note 1) (8,427,368 ) (9,290,592 ) Net addition (redemption) of 50,000 and – shares, respectively (Note 1) 2,729,169 314,730 Net investment income (loss) 153,388 (50,421 ) Net realized gain (loss) (1,027,976 ) 1,183,144 Change in net unrealized appreciation (depreciation) 1,859,501 1,438,464 Net income (loss) 984,913 2,571,187 $ 25,111,818 $ 27,726,701
March 31, Net income (loss) $ 984,913 $ 2,571,187 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations — (17,984,733 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 23,000,000 18,102,971 Net amortization and accretion on short-term U.S. government and agency obligations (4,702 ) (9,737 ) Net realized (gain) loss on investments — (102,971 ) Change in unrealized (appreciation) depreciation on investments (1,859,501 ) (1,438,464 ) Decrease (Increase) in interest receivable (45,381 ) 339 Increase (Decrease) in payable to Sponsor (10,546 ) 1,513 Net cash provided by (used in) operating activities 22,064,783 1,140,105 Proceeds from addition of shares 8,356,690 9,605,322 Payment on shares redeemed (11,110,823 ) — Net cash provided by (used in) financing activities (2,754,133 ) 9,605,322 19,310,650 10,745,427 Cash, beginning of period 4,104,127 3,003,251 Cash, end of period $ 23,414,777 $ 13,748,678
(unaudited)
2022 Short-term U.S. government and agency obligations (Note 3) (cost $44,936,828 and $49,876,697, respectively) $ 44,934,404 $ 49,882,348 Cash 13,499,926 19,575,939 Segregated cash balances with brokers for futures contracts 9,985,700 14,384,050 Receivable on open futures contracts 168,815 142,794 Interest receivable 116,972 88,180 Total assets 68,705,817 84,073,311 Payable for capital shares redeemed 1,339,113 — Payable on open futures contracts 14,074 — Brokerage commissions and futures account fees payable 2,677 3,688 Payable to Sponsor 43,866 54,664 Total liabilities 1,399,730 58,352 Commitments and Contingencies (Note 2) Shareholders’ equity 67,306,087 84,014,959 Total liabilities and shareholders’ equity $ 68,705,817 $ 84,073,311 Shares outstanding 2,512,403 2,762,403 Net asset value per share $ 26.79 $ 30.41 Market value per share (Note 2) $ 26.82 $ 30.36 (67% of shareholders’ equity) 3.874% due 04/11/23 $ 25,000,000 $ 24,973,528 4.156% due 04/18/23 20,000,000 19,960,876 Total short-term U.S. government and agency obligations (cost $44,936,828) $ 44,934,404
Contracts
at Value
Appreciation
(Depreciation)/Value VIX Futures – Cboe, expires July 2023 545 $ 12,858,785 $ (709,434 ) VIX Futures – Cboe, expires August 2023 942 22,324,458 510,275 VIX Futures – Cboe, expires September 2023 942 22,599,428 130,594 VIX Futures – Cboe, expires October 2023 396 9,523,800 (132,123 ) $ (200,688 ) ^^ Rates shown representsrepresent discount rate at the time of purchase.ULTRA YEN Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016 2017 2016 $ 10,221 $ 4,659 $ 21,407 $ 11,808 14,387 17,545 42,356 47,356 14,387 17,545 42,356 47,356 (4,166 ) (12,886 ) (20,949 ) (35,548 ) (4,492 ) 955,047 338,091 2,273,130 (53 ) 72 (85 ) 72 (4,545 ) 955,119 338,006 2,273,202 (52,440 ) (764,447 ) (53,233 ) (268,290 ) (332 ) 679 139 716 (52,772 ) (763,768 ) (53,094 ) (267,574 ) (57,317 ) 191,351 284,912 2,005,628 $ (61,483 ) $ 178,465 $ 263,963 $ 1,970,080
March 31, Interest $ 647,920 $ 23,923 Management fee 150,123 215,663 Brokerage commissions 9,169 24,869 Futures accounts fees 11,440 35,488 Total expenses 170,732 276,020 Net investment income (loss) 477,188 (252,097 ) Futures contracts (15,820,720 ) 4,791,833 Short-term U.S. government and agency obligations — (336 ) Net realized gain (loss) (15,820,720 ) 4,791,497 Futures contracts 4,590,535 (335,175 ) Short-term U.S. government and agency obligations (8,075 ) (138,660 ) Change in net unrealized appreciation (depreciation) 4,582,460 (473,835 ) Net realized and unrealized gain (loss) (11,238,260 ) 4,317,662 $ (10,761,072 ) $ 4,065,565 ULTRA YENSTATEMENTVIXFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 5,540,957 (20,949 ) 338,006 (53,094 ) 263,963 $ 5,804,920
March 31, $ 84,014,959 $ 112,875,680 Addition of 275,000 and 700,000 shares, respectively 7,751,336 22,135,602 Redemption of 525,000 and 1,275,000 shares, respectively (13,699,136 ) (41,206,933 ) Net addition (redemption) of (250,000) and (575,000) shares, respectively (5,947,800 ) (19,071,331 ) Net investment income (loss) 477,188 (252,097 ) Net realized gain (loss) (15,820,720 ) 4,791,497 Change in net unrealized appreciation (depreciation) 4,582,460 (473,835 ) Net income (loss) (10,761,072 ) 4,065,565 $ 67,306,087 $ 97,869,914 ULTRA YEN Nine Months Ended
September 30, 2017 2016 $ 263,963 $ 1,970,080 (16,968,160 ) (19,949,134 ) 17,610,089 17,932,716 (21,407 ) (11,808 ) 85 (72 ) 53,094 267,574 161 1,405 937,825 210,761 — (199 ) — (199 ) 937,825 210,562 604,691 147,371 $ 1,542,516 $ 357,933
March 31, Net income (loss) $ (10,761,072 ) $ 4,065,565 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 (214,823,214 ) (51,992,010 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 220,000,000 73,998,548 Net amortization and accretion on short-term U.S. government and agency obligations (236,917 ) (25,020 ) Net realized (gain) loss on investments — 336 Change in unrealized (appreciation) depreciation on investments 8,075 138,660 Decrease (Increase) in receivable on open futures contracts (26,021 ) (1,523,098 ) Decrease (Increase) in interest receivable (28,792 ) 1,097 Increase (Decrease) in payable to Sponsor (10,798 ) (10,387 ) Increase (Decrease) in brokerage commissions and futures account fees payable (1,011 ) 2,998 Increase (Decrease) in payable on open futures contracts 14,074 (94,495 ) Net cash provided by (used in) operating activities (5,865,676 ) 24,562,194 Proceeds from addition of shares 7,751,336 22,135,602 Payment on shares redeemed (12,360,023 ) (41,206,933 ) Net cash provided by (used in) financing activities (4,608,687 ) (19,071,331 ) (10,474,363 ) 5,490,863 Cash, beginning of period 33,959,989 27,071,819 Cash, end of period $ 23,485,626 $ 32,562,682 TRUST IICOMBINED VIX SHORT-TERM FUTURES ETF September 30, 2017
(unaudited) December 31, 2016 $ 59,037,500 $ 39,482,473 378,413,556 180,212,984 738,500 —
(cost $3,181,464,501 and $3,038,837,465, respectively) 3,181,660,408 3,038,848,441 40,796,900 55,358,571 5,114,038 4,417,812 14,377,002 33,392,354 17,433,038 — 58,287,553 41,862,862 142,300 — 37,387 — 3,756,038,182 3,393,575,497 118,627,346 71,525,035 25,331,097 3,972,621 — 2,909 2,926,556 2,722,696 296,800 — 13,678,377 12,206,881 36,697,229 25,407,296 1,835,099 1,400,572 199,392,504 117,238,010 3,556,645,678 3,276,337,487 $ 3,756,038,182 $ 3,393,575,497 118,168,916 90,235,707
(unaudited)
2022 Short-term U.S. government and agency obligations (Note 3) (cost $104,841,128 and $89,329,814, respectively) $ 104,841,062 $ 89,347,714 Cash 19,325,280 33,526,868 Segregated cash balances with brokers for futures contracts 71,032,224 91,634,942 Receivable from capital shares sold 5,421,620 — Receivable on open futures contracts 26,161,690 52,643,553 Interest receivable 512,515 403,667 Total assets 227,294,391 267,556,744 Payable for capital shares redeemed — 570,473 Payable on open futures contracts 353,115 223,719 Brokerage commissions and futures account fees payable 14,043 27,102 Payable to Sponsor 162,029 155,130 Total liabilities 529,187 976,424 Commitments and Contingencies (Note 2) Shareholders’ equity 226,765,204 266,580,320 Total liabilities and shareholders’ equity $ 227,294,391 $ 267,556,744 Shares outstanding 25,107,826 23,382,826 Net asset value per share $ 9.03 $ 11.40 Market value per share (Note 2) $ 9.05 $ 11.38 (46% of shareholders’ equity) �� 4.401% due 04/04/23 $ 25,000,000 $ 24,996,803 3.874% due 04/11/23 25,000,000 24,973,528 4.156% due 04/18/23 30,000,000 29,941,314 4.205% due 04/25/23 25,000,000 24,929,417 Total short-term U.S. government and agency obligations (cost $104,841,128) $ 104,841,062
Contracts
at Value
Appreciation
(Depreciation)/Value VIX Futures – Cboe, expires April 2023 6,151 $ 127,720,594 $ (4,825,023 ) VIX Futures – Cboe, expires May 2023 4,474 99,002,909 (3,823,808 ) $ (8,648,831 ) ^^ Rates shown represent discount rate at the time of purchase.
March 31, Interest $ 2,120,561 $ 70,709 Management fee 517,488 705,691 Brokerage commissions 96,497 116,474 Futures accounts fees 50,659 200,657 Total expenses 664,644 1,022,822 Net investment income (loss) 1,455,917 (952,113 ) Futures contracts (46,096,702 ) 53,734,127 Short-term U.S. government and agency obligations 8 97 Net realized gain (loss) (46,096,694 ) 53,734,224 Futures contracts 1,147,992 (13,174,318 ) Short-term U.S. government and agency obligations (17,966 ) (274,063 ) Change in net unrealized appreciation (depreciation) 1,130,026 (13,448,381 ) Net realized and unrealized gain (loss) (44,966,668 ) 40,285,843 $ (43,510,751 ) $ 39,333,730
March 31, $ 266,580,320 $ 269,703,164 Addition of 11,500,000 and 9,950,000 shares, respectively 108,467,352 161,172,915 Redemption of 9,775,000 and 3,400,000 shares, respectively (104,771,717 ) (65,259,409 ) Net addition (redemption) of 1,725,000 and 6,550,000 shares, respectively 3,695,635 95,913,506 Net investment income (loss) 1,455,917 (952,113 ) Net realized gain (loss) (46,096,694 ) 53,734,224 Change in net unrealized appreciation (depreciation) 1,130,026 (13,448,381 ) Net income (loss) (43,510,751 ) 39,333,730 $ 226,765,204 $ 404,950,400
March 31, Net income (loss) $ (43,510,751 ) $ 39,333,730 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 (124,671,570 ) (167,928,504 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 109,979,608 148,999,840 Net amortization and accretion on short-term U.S. government and agency obligations (819,344 ) (72,483 ) Net realized (gain) loss on investments (8 ) (97 ) Change in unrealized (appreciation) depreciation on investments 17,966 274,063 Decrease (Increase) in receivable on open futures contracts 26,481,863 (72,620,028 ) Decrease (Increase) in interest receivable (108,848 ) 1,774 Increase (Decrease) in payable to Sponsor 6,899 59,476 Increase (Decrease) in brokerage commissions and futures account fees payable (13,059 ) 19,047 Increase (Decrease) in payable on open futures contracts 129,396 (2,037,376 ) Net cash provided by (used in) operating activities (32,507,848 ) (53,970,558 ) Proceeds from addition of shares 103,045,732 155,054,067 Payment on shares redeemed (105,342,190 ) (65,259,409 ) Net cash provided by (used in) financing activities (2,296,458 ) 89,794,658 (34,804,306 ) 35,824,100 Cash, beginning of period 125,161,810 115,960,816 Cash, end of period $ 90,357,504 $ 151,784,916
(unaudited)
2022 Short-term U.S. government and agency obligations (Note 3) (cost $1,128,485,646 and $1,466,423,925, respectively) $ 1,128,525,172 $ 1,466,680,542 Cash 1,047,333,295 625,964,378 Segregated cash balances with brokers for futures contracts 1,162,646,230 925,792,861 Segregated cash balances with brokers for foreign currency forward contracts 14,193,632 12,956,632 Segregated cash balances with brokers for swap agreements 410,312,745 262,053,745 Unrealized appreciation on swap agreements 77,717,092 119,880,255 Unrealized appreciation on foreign currency forward contracts 1,257,272 2,823,510 Receivable from capital shares sold 79,148,928 1,014,483 Receivable on open futures contracts 437,228,019 522,770,291 Interest receivable 6,696,066 4,920,772 Total assets 4,365,058,451 3,944,857,469 Payable for capital shares redeemed 87,697,670 32,725,077 Payable on open futures contracts 20,917,321 11,742,794 Brokerage commissions and futures account fees payable 156,470 165,165 Payable to Sponsor 3,229,189 3,210,113 Unrealized depreciation on swap agreements 110,498,415 2,315,580 Unrealized depreciation on foreign currency forward contracts 3,928,493 6,911,994 Total liabilities 226,427,558 57,070,723 Commitments and Contingencies (Note 2) Shareholders’ equity 4,138,630,893 3,887,786,746 Total liabilities and shareholders’ equity $ 4,365,058,451 $ 3,944,857,469 Shares outstanding (Note 1) 517,869,037 222,594,037 Three Months Ended
September 30, Nine Months Ended
September 30, 2017 2016* 2017 2016* $ 7,808,931 $ 2,361,927 $ 16,997,031 $ 6,523,319 8,239,003 8,874,154 23,059,129 26,210,756 2,698,871 1,837,843 6,069,898 5,741,230 74,810 — 154,500 — (12,787 ) — (37,387 ) — 5,818 — — — 11,005,715 10,711,997 29,246,140 31,951,986 (3,196,784 ) (8,350,070 ) (12,249,109 ) (25,428,667 ) 44,960,735 (616,625,175 ) (340,387,543 ) (1,157,016,680 ) 20,685,901 (152,532,535 ) (72,778,431 ) (154,872,473 ) 3,415,938 106,840,064 30,057,907 151,948,518 (24,318,202 ) (38,012,183 ) (59,859,325 ) (143,336,227 ) (11,633 ) 16,487 (60,265 ) (24,164 ) 44,732,739 (700,313,342 ) (443,027,657 ) (1,303,301,026 ) (4,409,373 ) 120,520,628 (8,069,381 ) (10,191,565 ) 73,621,267 95,697,940 (16,033,167 ) 120,033,888 6,515,522 (82,379,401 ) (10,593,707 ) 5,120,239 9,447,911 19,906,042 (19,449,879 ) 43,519,287 119,011 136,969 184,931 279,499 85,294,338 153,882,178 (53,961,203 ) 158,761,348 130,027,077 (546,431,164 ) (496,988,860 ) (1,144,539,678 ) $ 126,830,293 $ (554,781,234 ) $ (509,237,969 ) $ (1,169,968,345 ) Interest $ 33,875,375 $ 1,026,882 Management fee 9,254,328 10,616,957 Brokerage commissions 2,374,632 1,908,765 Futures account fees 402,762 1,804,923 Total expenses 12,031,722 14,330,645 Net investment income (loss) 21,843,653 (13,303,763 ) Futures contracts (1,085,860,567 ) 408,448,775 Swap agreements 90,224,693 705,182,989 Foreign currency forward contracts (2,453,816 ) 3,062,506 Short-term U.S. government and agency obligations (13,530 ) 227,575 Net realized gain (loss) (998,103,220 ) 1,116,921,845 Futures contracts (32,561,423 ) 52,639,066 Swap agreements (150,345,998 ) (268,832,355 ) Foreign currency forward contracts 1,417,263 1,536,969 Short-term U.S. government and agency obligations (217,091 ) (3,257,507 ) Change in net unrealized appreciation (depreciation) (181,707,249 ) (217,913,827 ) Net realized and unrealized gain (loss) (1,179,810,469 ) 899,008,018 $ (1,157,966,816 ) $ 885,704,255 * The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity FundShort Euro ETF and ProShares UltraShort Commodity FundAustralian Dollar ETF through September 1, 2016 (datesMay 12, 2022, the date of liquidation). See Note 1.liquidation.STATEMENTSTATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITYFOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017 $ 3,276,337,487 7,589,000,140 (6,799,453,980 ) 789,546,160 (12,249,109 ) (443,027,657 ) (53,961,203 ) (509,237,969 ) $ 3,556,645,678 See accompanying notes to financial statements.PROSHARES TRUST IICOMBINED STATEMENTS OF CASH FLOWS(unaudited) Nine Months Ended
September 30, 2017 2016* $ (509,237,969 ) $ (1,169,968,345 ) (198,200,572 ) 114,083,793 — (27,493,000 ) (738,500 ) (12,334,000 ) — (17,077,000 ) (15,422,910,140 ) (14,039,604,848 ) 15,297,219,736 13,684,559,003 (16,996,897 ) (6,517,397 ) 60,265 24,164 45,891,822 (168,952,913 ) — (17,625,333 ) (16,424,691 ) 19,610,507 (37,387 ) — (142,300 ) — 203,860 24,225 (2,909 ) (24,694 ) — 1,736,880 21,358,476 30,601,598 296,800 — (799,660,406 ) (1,608,957,360 ) 7,571,567,102 8,446,268,126 (6,752,351,669 ) (6,848,020,624 ) 819,215,433 1,598,247,502 19,555,027 (10,709,858 ) 39,482,599 48,049,225 $ 59,037,626 $ 37,339,367
March 31, $ 3,887,786,746 $ 4,173,474,343 Addition of 512,825,000 and 132,610,000 shares, respectively (Note 1) 4,125,870,321 3,082,800,285 Redemption of 217,550,000 and 111,335,123 shares, respectively (Note 1) (2,717,059,358 ) (2,803,912,313 ) Net addition (redemption) of 295,275,000 and 21,274,877 shares, respectively (Note 1) 1,408,810,963 278,887,972 Net investment income (loss) 21,843,653 (13,303,763 ) Net realized gain (loss) (998,103,220 ) 1,116,921,845 Change in net unrealized appreciation (depreciation) (181,707,249 ) (217,913,827 ) Net income (loss) (1,157,966,816 ) 885,704,255 $ 4,138,630,893 $ 5,338,066,570 * The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity FundShort Euro ETF and ProShares UltraShort Commodity FundAustralian Dollar ETF through September 1, 2016 (datesMay 12, 2022, the date of liquidation). See Note 1.liquidation.
March 31, Net income (loss) $ (1,157,966,816 ) $ 885,704,255 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations (18,561,204,980 ) (3,797,102,540 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 18,914,616,336 3,431,442,943 Net amortization and accretion on short-term U.S. government and agency obligations (15,486,607 ) (1,049,820 ) Net realized (gain) loss on investments 13,530 (227,575 ) Change in unrealized (appreciation) depreciation on investments 149,145,826 270,552,893 Decrease (Increase) in securities sold receivable — (6,195,418 ) Decrease (Increase) in receivable on futures contracts 85,542,272 (378,744,093 ) Decrease (Increase) in interest receivable (1,775,294 ) 22,942 Increase (Decrease) in payable to Sponsor 19,076 876,923 Increase (Decrease) in brokerage commissions and futures account fees payable (8,695 ) 112,745 Increase (Decrease) in payable on futures contracts 9,174,527 5,526,212 Net cash provided by (used in) operating activities (577,930,825 ) 410,919,467 Proceeds from addition of shares 4,047,735,876 3,059,813,655 Payment on shares redeemed (2,662,086,765 ) (2,796,612,911 ) Net cash provided by (used in) financing activities 1,385,649,111 263,200,744 807,718,286 674,120,211 Cash, beginning of period 1,826,767,616 1,408,701,238 Cash, end of period $ 2,634,485,902 $ 2,082,821,449 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. September 30, 2017 (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2017,March 31, 2023, the following twentysixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF , ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the New York Stock Exchange ArchipelagoNYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.Each(beforebefore fees and expenses)expenses, that correspond to(-1x)(beforebefore fees and expenses)expenses, that correspond to two times the inverse(beforebefore fees and expenses)expenses, that correspond to either one and(beforebefore fees and expenses),expenses, both overfor a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAVeach Fund’s net asset value (“NAV”) to the next.objectiveobjectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g.,-1x,Each Share splits and reverse Share splits for the Funds during the three months March 31, 2023, and during the year ended December 31, 2016 and duringnine months ended September 30, 2017.2022. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.
Resumed at Post-
Split Price July 20, 2016 3-for-1 July 25, 2016VIX Short-Term Futures ETF JulyMay 25, 2016 1-for-5May 26, 2022 ProShares Ultra Bloomberg Crude Oil May 25, 2022 May 26, 2022 ProShares UltraShort Bloomberg Natural Gas May 25, 2022 July 25, 2016ProShares Ultra VIX Short-Term Futures ETFJuly 25, 20161-for-5 reverse Share splitJuly 25, 2016 January 11, 2017 2-for-1 January 12, 2017ProShares Ultra Bloomberg Crude OilJanuary 11, 20171-for-2 reverse Share splitJanuary 12, 2017ProShares Ultra VIX Short-Term Futures ETFJanuary 11, 20171-for-5 reverse Share splitJanuary 12, 2017ProShares Short VIX Short-Term Futures ETFJuly 12, 20172-for-1 Share splitJuly 17, 2017ProShares VIX Short-Term Futures ETFJuly 14, 20171-for-4 reverse Share splitJuly 17, 2017ProShares Ultra VIX Short-Term Futures ETFJuly 14, 20171-for-4 reverse Share splitJuly 17, 2017SEC.U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments,2016,2022, as filed with the SEC on March 1, 2017.U.S. Securities and Exchange Commission (“SEC”),SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of oneeach Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.Statementamountamounts shown in the Statements of Cash Flows isare the amountamounts reported as cash in the StatementStatements of Financial Condition dated September 30, 2017,March 31, 2023 and 2022, and representsnon-segregated cash, segregated cash balances with brokers for futures contracts, segregated cash with the custodianbrokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.ninethree months ended September 30, 2017March 31, 2023 were typically as follows. All times are Eastern Standard Time:
Calculation Date Ultra Silver 1:00 p.m. 6:1:25 p.m. March 31, 2023 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 a.m.p.m.March 31, 2023 Ultra Bloomberg Crude Oil, 7:00 a.m.Ultra Bloomberg Natural Gas, September 30, 2017 Gold, Ultra Gold9:30 a.m.Bloomberg Crude Oil and 10:00 a.m. September 30, 2017Crude Oil,Ultra Bloomberg Crude OilNatural Gas 2:00 p.m. 2:30 p.m. 2:30 p.m.March 31, 2023Ultra Euro, September 30, 2017 UltraPro 3x Short Crude Oil ETF UltraPro 3x Crude Oil ETF Bloomberg Natural Gas,Ultra Bloomberg Natural Gas 3:00 p.m. 4:00 p.m. March 31, 2023 Short VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, VIX Short-Term Futures ETF 2:00 p.m. 2:30 p.m.September 30, 2017UltraShort Australian Dollar3:00 p.m.4:00 p.m. September 30, 2017Short Euro3:00 p.m.4:00 p.m.September 30, 2017UltraShort Euro,Ultra EuroUltraShort Yen,Ultra Yen3:00 p.m.4:00 p.m.September 30, 2017VIX Short-Term Futures ETF,Ultra VIX Short-Term Futures ETF,Short VIX Short-Term Futures ETF2:00 p.m.4:15 p.m.September 30, 2017VIXMid-Term Futures ETF2:00 p.m.4:15 p.m.September 30, 2017March 31, 2023 * 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 ninethree months ended September 30, 2017.March 31, 2023.NYSE Arcaapplicable primary listing exchange and may be later thanfrom when the Funds’ NAV per Share is calculated.ninethree months ended September 30, 2017.(e.g.(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver Australian Dollar and ShortUltraShort Euro Funds,Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver Australian Dollar and ShortUltraShort Euro FundsFund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and fornon-exchange-traded derivatives, theThe Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day.position. Such fair value prices would generally be determined based on available inputs about the currentWhen 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.September 30, 2017March 31, 2023 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 $ 186,716,429 $ (18,329,321 ) $ — $ — $ — $ 168,387,108 35,955,278 (1,941,640 ) — — — 34,013,638 770,134,521 94,244,035 — — — 864,378,556 521,315,100 (101,763,031 ) — — — 419,552,069 246,666,306 (5,367,489 ) — — (13,678,377 ) 227,620,440 — (2,423,370 ) — — — (2,423,370 ) 2,998,697 348,521 — — — 3,347,218 34,940,087 (9,540 ) 2,961,605 — — 37,892,152 17,966,229 4,940 2,152,433 — — 20,123,602 5,998,433 106,206 — — — 6,104,639 7,997,911 379,490 — — — 8,377,401 219,684,550 — — 3,899,693 — 223,584,243 137,818,917 — — 9,246,879 — 147,065,796 562,359,737 13,817,653 — — 40,796,900 616,974,290 — 1,272,779 — — — 1,272,779 42,919,932 (971,690 ) — — — 41,948,242 101,900,580 9,520 (8,453,427 ) — — 93,456,673 270,629,525 (4,940 ) (28,243,802 ) — — 242,380,783 10,995,765 — — (209,360 ) — 10,786,405 4,662,411 — — (395,309 ) — 4,267,102 $ 3,181,660,408 $ (20,627,877 ) $ (31,583,191 ) $ 12,541,903 $ 27,118,523 $ 3,169,109,766
Observable Inputs
Government and
Agencies
Contracts
Currency
Forward
Contracts
Agreements ProShares Short VIX Short-Term Futures ETF $ 94,860,624 $ 14,271,188 $ — $ — $ 109,131,812 ProShares Ultra Bloomberg Crude Oil 199,701,685 29,494,163 — (67,202,386 ) 161,993,462 ProShares Ultra Bloomberg Natural Gas 299,709,730 (324,515,287 ) — (39,088,319 ) (63,893,876 ) ProShares Ultra Euro — — 318,711 — 318,711 ProShares Ultra Gold 94,860,624 5,096,411 — 15,353,259 115,310,294 ProShares Ultra Silver 149,798,740 28,674,611 — 62,363,833 240,837,184 ProShares Ultra VIX Short-Term Futures ETF 69,863,821 (34,509,203 ) — — 35,354,618 ProShares Ultra Yen — — 490,482 — 490,482 ProShares UltraShort Bloomberg Crude Oil 44,957,679 21,216,008 — — 66,173,687 ProShares UltraShort Bloomberg Natural Gas 24,996,803 40,936,595 — — 65,933,398 ProShares UltraShort Euro — — (2,315,243 ) — (2,315,243 ) ProShares UltraShort Gold — (162,157 ) — (1,185,388 ) (1,347,545 ) ProShares UltraShort Silver — (824,037 ) — (3,022,322 ) (3,846,359 ) ProShares UltraShort Yen — — (1,165,171 ) — (1,165,171 ) 44,934,404 (200,688 ) — — 44,733,716 ProShares VIX Short-Term Futures ETF 104,841,062 (8,648,831 ) — — 96,192,231 * Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.At September 30, 2017, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.At September 30, 2017, there were no significant transfers in or out of Level I and Level II fair value measurements.20162022 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 $ 147,991,233 $ (468,652 ) $ — $ — $ — $ 147,522,581 45,486,235 (1,288,245 ) — — — 44,197,990 170,396,436 (10,309,611 ) — — — 160,086,825 434,671,795 (7,972,237 ) — — — 426,699,558 205,694,385 (1,426,815 ) — — (12,206,881 ) 192,060,689 2,899,151 (482,031 ) — — — 2,417,120 60,540,555 18,980 3,033,566 — — 63,593,101 21,550,319 27,310 1,384,246 — — 22,961,875 13,164,828 132,900 — — — 13,297,728 12,909,619 1,182,340 — — — 14,091,959 337,375,787 — — 16,162,931 — 353,538,718 257,102,313 — — 16,744,937 — 273,847,250 885,050,007 5,537,165 — — 55,358,571 945,945,743 36,183,648 2,536,720 — — — 38,720,368 95,356,621 (18,960 ) (4,431,107 ) — — 90,906,554 295,300,799 (27,360 ) (20,976,189 ) — — 274,297,250 11,891,831 — — (574,010 ) — 11,317,821 5,282,879 — — (342,076 ) — 4,940,803 $ 3,038,848,441 $ (12,558,496 ) $ (20,989,484 ) $ 31,991,782 $ 43,151,690 $ 3,080,443,933
Observable Inputs
Government and
Agencies
Contracts
Currency
Forward
Contracts
Agreements ProShares Short VIX Short-Term Futures ETF $ 144,307,676 $ 11,092,381 $ — $ — $ 155,400,057 ProShares Ultra Bloomberg Crude Oil 313,465,007 26,291,716 — 74,159,577 413,916,300 ProShares Ultra Bloomberg Natural Gas 263,260,158 (310,613,969 ) — — (47,353,811 ) ProShares Ultra Euro — — 415,656 — 415,656 ProShares Ultra Gold 129,123,489 3,242,088 — 6,496,466 138,862,043 ProShares Ultra Silver 228,657,634 29,426,574 — 39,224,212 297,308,420 ProShares Ultra VIX Short-Term Futures ETF 34,732,372 (36,555,453 ) — — (1,823,081 ) ProShares Ultra Yen — — 984,549 — 984,549 ProShares UltraShort Bloomberg Crude Oil 89,426,935 10,244,893 — — 99,671,828 ProShares UltraShort Bloomberg Natural Gas 61,482,526 85,889,398 — — 147,371,924 ProShares UltraShort Euro 39,996,624 — (2,461,256 ) — 37,535,368 ProShares UltraShort Gold — (98,886 ) — (592,957 ) (691,843 ) ProShares UltraShort Silver — (940,500 ) — (1,722,623 ) (2,663,123 ) ProShares UltraShort Yen 22,998,059 — (3,027,433 ) — 19,970,626 49,882,348 (4,791,223 ) — — 45,091,125 ProShares VIX Short-Term Futures ETF 89,347,714 (9,796,823 ) — — 79,550,891 * Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.At December 31, 2016, thereLevel 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 ininto or out of Level I and Level II fair value measurements.appreciation/depreciationappreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciationappreciation (depreciation) between periods are reflected in the Statements of Operations. Discountsshort-term securities purchased are amortizedan accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the StatementsStatement of Operations.closed.closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.(i.e.(i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitormonitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,New Accounting PronouncementsIn November 2016, the FASB issued Accounting Standards UpdateNo. 2016-18, “Statementused as collateral for a Fund’s trading in futures and forward contracts.objectiveobjectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.index,Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.indexIndex or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’scredit risk resides with the Funds’ clearing broker or clearinghouse as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.index,Index, currency or commodity, or to create an economic hedge against a position. Swap agreements areindexIndex in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. an Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.unclearedOTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each unclearedOTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s Custodian.a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. TheseindexIndex and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2017 March 31, 2023daily.at any time. Upon termination, the Fund is entitledobligated to pay or receive the “unrealized appreciation or depreciation” amount.unclearedOTC derivative transactions is held for the benefit of the counterparty in a segregatedunclearedOTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterpartythea 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,March 31, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from dailypurposesthe purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contractcontracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.burdensomeincreased reporting requirements.unclearedOTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregatedthe Custodiana third party custodian to protect the counterparty againstSeptember 30, 2017,March 31, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from dailyStatementStatements of Financial Condition as well as the effect of derivative instruments on the StatementStatements of Operations during the reporting period.September 30, 2017 Derivatives not Statements of Statements of accounted for Financial Financial as hedging Condition Unrealized Condition Unrealized Appreciation Depreciation $ 94,244,035* $ 18,329,321* 1,941,640* 101,763,031* 348,521* 19,045,866* 2,961,605 2,423,370* 2,157,373* 9,540* 54,614,553* 971,690* 1,272,779* 8,453,427 9,520* 28,248,742* 106,206* 565,859 379,490* 570,141 4,465,552 291,439 9,817,020 407,660 82,079 12,351 Total Trust $ 170,471,084* Total Trust $ 183,021,726*
Accounted for as
Hedging Instruments
Financial Condition
Location
Appreciation
Financial Condition
Location
Depreciation VIX Futures Contracts Receivable on open
futures contracts,
unrealized
appreciation on swap
agreements
Payable on open futures
contracts, unrealized
depreciation on swap
agreements
ProShares Short VIX $ 14,271,188 * $ — ProShares Ultra VIX
Short-Term Futures ETF — 34,509,203 *
Futures ETF 640,869 * 841,557 * ProShares VIX Short-
Term Futures ETF — 8,648,831 * 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 29,494,163 * 67,202,386 * ProShares Ultra
Bloomberg Natural Gas — 363,603,606 * ProShares Ultra Gold 20,449,670 * — ProShares Ultra Silver 91,038,444 * — ProShares UltraShort
Bloomberg Crude Oil 21,216,008 * — ProShares UltraShort
Bloomberg Natural Gas 40,936,595 * — ProShares UltraShort
Gold — 1,347,545 * ProShares UltraShort
Silver — 3,846,359 * 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 Ultra Euro 319,670 959 ProShares Ultra Yen 502,639 12,157 ProShares UltraShort
Euro
332,826 2,648,069 ProShares UltraShort Yen 102,137 1,267,308 * Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.futures.2016
accounted for as Unrealized
Appreciation Unrealized
Depreciation $ 2,273,874 * $ 2,742,526 * 68,375 * 1,356,620 * 13,594,875 * 10,309,611 * 21,567,112 * 3,052,546 * 13,633,696 * 1,411,556 * 482,031 * 60,895,736 * 4,450,067 * 2,536,720 * 21,003,549 * 132,900 * 356,139 1,182,340 * 125,420 16,519,070 576,558 16,870,357 342,455 2,548 379 Total Trust $ 118,541,276 * Total Trust $ 76,945,784 *
Accounted for as Hedging
Instruments
Financial Condition
Location
Appreciation
Financial Condition
Location
Depreciation VIX Futures Contracts Receivable on open
futures contracts,
unrealized
appreciation on swap
agreements
Payable on open futures
contracts, unrealized
depreciation on swap
agreements
ProShares Short VIX $ 11,092,381 * $ — ProShares Ultra VIX
Short-Term Futures ETF — 36,555,453 *
Futures ETF — 4,791,223 * ProShares VIX Short-
Term Futures ETF — 9,796,823 * 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 100,451,293 * — ProShares Ultra
Bloomberg Natural Gas — 310,613,969 * ProShares Ultra Gold 9,738,554 * — ProShares Ultra Silver 68,650,786 * — ProShares UltraShort
Bloomberg Crude Oil 13,202,924 * 2,958,031 * ProShares UltraShort
Bloomberg Natural Gas 85,889,398 * — ProShares UltraShort
Gold — 691,843 * ProShares UltraShort
Silver — 2,663,123 * 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 Ultra Euro 514,115 98,459 ProShares Ultra Yen 1,152,834 168,285 ProShares UltraShort
Euro
193,192 2,654,448 ProShares UltraShort Yen 963,369 3,990,802 * Includes cumulative appreciation/depreciationappreciation (depreciation) of futures contracts as reported in the SchedulesSchedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.futures.StatementsStatement of OperationsSeptember 30, 2017
hedging instruments Realized Gain
(Loss) on Derivatives
Recognized in Income Change in
Unrealized
Appreciation/
Depreciation on
Derivatives
Recognized in Income $ (27,447,205 ) $ (17,219,461 ) (3,965,084 ) 364,615 188,300,727 100,033,466 (126,532,816 ) (95,515,562 ) (9,418,807 ) (30,456,798 ) (1,540,337 ) (2,178,096 ) (151,368 ) 615,201 (2,644,155 ) 299,106 (467,171 ) (393,756 ) 45,497,245 112,823,127 4,971,742 694,326 (2,014,548 ) (1,078,511 ) 5,462,918 (549,421 ) 1,064,270 7,159,593 (599,482 ) 291,787 (1,453,355 ) 837,800 (24,505,520 ) 10,103,133 (1,067,853 ) (83,509 ) 1,259,663 (519,273 ) (4,492 ) (52,440 ) Total Trust $ 44,744,372 $ 85,175,327
for as Hedging Instruments
(Loss) on Derivatives
Recognized in Income
(Loss) on
Derivatives
Recognized in
Income
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 $ 29,604,148 $ 3,178,807 ProShares Ultra VIX Short-Term Futures ETF (182,233,430 ) 2,046,250 (15,820,720 ) 4,590,535 ProShares VIX Short-Term Futures ETF (46,096,702 ) 1,147,992 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 85,780,427 (138,159,516 ) ProShares Ultra Bloomberg Natural Gas (1,061,631,294 ) (52,989,637 ) ProShares Ultra Gold 10,799,896 10,711,116 ProShares Ultra Silver (28,743,864 ) 22,387,658 ProShares UltraShort Bloomberg Crude Oil 27,614,279 10,971,115 ProShares UltraShort Bloomberg Natural Gas 183,408,644 (44,952,803 ) ProShares UltraShort Gold (1,030,881 ) (655,702 ) ProShares UltraShort Silver 2,713,623 (1,183,236 ) 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 Ultra Euro 280,279 (96,945 ) ProShares Ultra Yen (298,808 ) (494,067 ) ProShares UltraShort Euro (1,407,311 ) 146,013 ProShares UltraShort Yen (1,027,976 ) 1,862,262 StatementsStatement of OperationsSeptember 30, 2016 Change in Unrealized
Appreciation/ Derivatives not accounted Depreciation on
Derivatives Recognized in Income Recognized in Income $ (101,785,229 ) $ 6,786,934 (4,899,530 ) (1,149,750 ) 277,246,086 (51,813,012 ) (745,101,700 ) 138,973,918 50,281,494 (32,976,232 ) (101,997 ) 712,984 (10,296,533 ) 9,770,795 (14,865,870 ) 9,507,258 (246,218,628 ) 165,582,895 1,964,411 (8,409,834 ) 12,629,891 (13,416,914 ) 119,372,366 (88,240,470 ) 327,212 (488,475 ) (318,842 ) (971,687 ) (5,537,097 ) (2,518,631 ) (33,476,385 ) 23,071,090 46,252 118,030 955,047 (764,447 ) Total Trust $ (699,779,052 ) $ 153,774,452 The EffectMarch 31, 2022
for as Hedging Instruments
(Loss) on Derivatives
Recognized in Income
(Loss) on
Derivatives
Recognized in
Income
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 $ (41,100,614 ) $ 4,709,184 ProShares Ultra VIX Short-Term Futures ETF 280,994,684 (34,378,466 ) 4,791,833 (335,175 ) ProShares VIX Short-Term Futures ETF 53,734,127 (13,174,318 ) Commodities Contracts ProShares Ultra Bloomberg Crude Oil 799,423,070 (94,077,929 ) ProShares Ultra Bloomberg Natural Gas 76,220,688 85,030,764 ProShares Ultra Gold 57,818,596 (24,649,651 ) ProShares Ultra Silver 116,637,027 (57,756,596 ) ProShares UltraShort Bloomberg Crude Oil (106,482,101 ) 2,115,992 ProShares UltraShort Bloomberg Natural Gas (114,665,698 ) (87,532,158 ) ProShares UltraShort Gold (6,308,673 ) 2,069,348 ProShares UltraShort Silver (7,373,746 ) 1,809,162 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 59,419 8,056 ProShares Ultra Euro (441,030 ) (132,970 ) ProShares Ultra Yen (118,771 ) (138,539 ) ProShares UltraShort Australian Dollar (116,848 ) (31,502 ) ProShares UltraShort Euro 2,542,134 342,076 ProShares UltraShort Yen 1,080,173 1,466,402 arrangementsarrangSeptember 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 $ — $ — $ — $ 13,678,377 $ — $ 13,678,377 2,961,605 — 2,961,605 — — — 2,152,433 — 2,152,433 — — — 4,465,552 — 4,465,552 565,859 — 565,859 9,817,020 — 9,817,020 570,141 — 570,141 40,796,900 — 40,796,900 — — — — — — 8,453,427 — 8,453,427 — — — 28,243,802 — 28,243,802 82,079 — 82,079 291,439 — 291,439 12,351 — 12,351 407,660 — 407,660
of Recognized
Assets presented
in the
Statements of
Financial
Condition
Offset in the
Statements of
Financial
Condition
Assets presented
in the
Statements of
Financial
Condition
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
Offset in the
Statements of
Financial
Condition
Liabilities
presented in the
Statements of
Financial
Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ — $ — $ — $ 67,202,386 $ — $ 67,202,386 ProShares Ultra Bloomberg Natural Gas Swap agreements — — — 39,088,319 — 39,088,319 ProShares Ultra Euro Foreign currency forward contracts 319,670 — 319,670 959 — 959 ProShares Ultra Gold Swap agreements 15,353,259 — 15,353,259 — — — ProShares Ultra Silver Swap agreements 62,363,833 — 62,363,833 — — — ProShares Ultra Yen Foreign currency forward contracts 502,639 — 502,639 12,157 — 12,157 ProShares UltraShort Euro Foreign currency forward contracts 332,826 — 332,826 2,648,069 — 2,648,069 ProShares UltraShort Gold Swap agreements — — — 1,185,388 — 1,185,388 ProShares UltraShort Silver Swap agreements — — — 3,022,322 — 3,022,322 ProShares UltraShort Yen Foreign currency forward contracts 102,137 — 102,137 1,267,308 — 1,267,308 September 30, 2017.March 31, 2023. These amounts may be collat
(Liabilities) presented in the
Statements of Financial Condition
Benefit of (the Funds) / the
Counterparties
Benefit of (the Funds) / the
Counterparties ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ (10,629,759 ) $ — $ 10,629,759 $ — Goldman Sachs International (13,216,202 ) — 13,216,202 — Morgan Stanley & Co. International PLC (18,411,182 ) — 18,411,182 — Societe Generale (10,019,635 ) — 10,019,635 — UBS AG (14,925,608 ) — 14,925,608 — ProShares Ultra Bloomberg
Natural GasProShares Ultra Euro Goldman Sachs International 145,994 — — 145,994 UBS AG 172,717 — — 172,717 ProShares Ultra Gold Citibank, N.A. 6,674,065 (6,674,065 ) — — Goldman Sachs International 3,169,970 (3,169,970 ) — — UBS AG 5,509,224 (5,509,224 ) — — ProShares Ultra Silver Citibank, N.A. 22,200,338 (21,755,480 ) — 444,858 Goldman Sachs International 2,932,172 (2,905,625 ) — 26,547 Morgan Stanley & Co. International PLC 18,503,019 — (17,394,000 ) 1,109,019 UBS AG 18,728,304 (17,967,788 ) (9,608 ) 750,908 ProShares Ultra Yen Goldman Sachs International 219,212 (219,212 ) — — UBS AG 271,270 (263,083 ) — 8,187 ProShares UltraShort Euro Goldman Sachs International (1,111,073 ) — 1,111,073 — UBS AG (1,204,170 ) — 1,204,170 — ProShares UltraShort Gold Citibank, N.A. (227,829 ) — 227,829 — Goldman Sachs International (495,713 ) — 495,713 — UBS AG (461,846 ) — 461,846 — ProShares UltraShort Silver Citibank, N.A. (357,884 ) — 357,884 — Goldman Sachs International (1,303,722 ) — 1,303,722 — Morgan Stanley & Co. International PLC (1,031,085 ) — 1,031,085 — UBS AG (329,631 ) — 320,000 (9,631 ) ProShares UltraShort Yen Goldman Sachs International (606,028 ) — 606,028 — UBS AG (559,143 ) — 559,143 —
of Recognized
Assets presented
in the
Statements of
Financial
Condition
Offset in the
Statements of
Financial
Condition
Assets presented
in the
Statements of
Financial
Condition
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
Offset in the
Statements of
Financial
Condition
Liabilities
presented in the
Statements of
Financial
Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 74,159,577 $ — $ 74,159,577 $ — $ — $ — ProShares Ultra Euro Foreign currency forward contracts 514,115 — 514,115 98,459 — 98,459 ProShares Ultra Gold Swap agreements 6,496,466 — 6,496,466 — — — ProShares Ultra Silver Swap agreements 39,224,212 — 39,224,212 — — — ProShares Ultra Yen Foreign currency forward contracts 1,152,834 — 1,152,834 168,285 — 168,285 ProShares UltraShort Euro Foreign currency forward contracts 193,192 — 193,192 2,654,448 — 2,654,448 ProShares UltraShort Gold Swap agreements — — — 592,957 — 592,957 ProShares UltraShort Silver Swap agreements — — — 1,722,623 — 1,722,623 ProShares UltraShort Yen Foreign currency forward contracts 963,369 — 963,369 3,990,802 — 3,990,802 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 ) The following table presents each Fund’s derivatives by investment type and by counterparty net
Assets / (Liabilities)
presented in the Statements
of Financial Condition
the Benefit of (the Funds) /
the Counterparties
Benefit of (the Funds) / the
Counterparties ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ 11,723,388 $ — $ — $ 11,723,388 Goldman Sachs International 14,575,933 (9,281,322 ) — 5,294,611 Morgan Stanley & Co. International PLC 20,305,392 — — 20,305,392 Societe Generale 11,075,235 (7,038,055 ) — 4,037,180 UBS AG 16,479,629 (10,808,424 ) (41,993 ) 5,629,212 ProShares Ultra Euro Goldman Sachs International 217,491 — — 217,491 UBS AG 198,165 (198,165 ) — — ProShares Ultra Gold Citibank, N.A. 2,582,849 — — 2,582,849 Goldman Sachs International 1,226,772 (1,193,425 ) — 33,347 UBS AG 2,686,845 (2,682,652 ) (4,193 ) — ProShares Ultra Silver Citibank, N.A. 12,628,472 — — 12,628,472 Goldman Sachs International 1,667,621 (1,667,621 ) — — Morgan Stanley & Co. International PLC 13,862,180 — — 13,862,180 UBS AG 11,065,939 (11,065,939 ) — — ProShares Ultra Yen Goldman Sachs International 683,120 (308,636 ) — 374,484 UBS AG 301,429 — — 301,429 ProShares UltraShort Euro Goldman Sachs International (1,121,150 ) — 1,121,150 — UBS AG (1,340,106 ) — 1.340,106 — ProShares UltraShort Gold Citibank, N.A. (181,291 ) — 181,291 — Goldman Sachs International (231,533 ) — 231,533 — UBS AG (180,133 ) — 180,133 — ProShares UltraShort Silver Citibank, N.A. (203,969 ) — 203,969 — Goldman Sachs International (743,029 ) — 743,029 — Morgan Stanley & Co. International PLC (587,758 ) — 587,758 — UBS AG (187,867 ) — 187,867 — ProShares UltraShort Yen Goldman Sachs International (936,322 ) — 936,322 — UBS AG (2,091,111 ) — 1,690,000 (401,111 ) Fund, the Short Euro Fund, and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.did not and will not chargestopped charging the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed ProShares UltraShort Australian Dollar ETF will reimburse each Fund, toextentdate it was determined that its offering costs exceed the Management Fee, for the first year of operations.as commodity pool operator, and for managing the business and affairs ofother services provided to the Funds.Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent,indexIndex licensors for the Funds,Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations including, but not limited to,may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual ScheduleSponsor and the Trust, for itself and on behalfBank of each Fund, has appointed Brown Brothers Harriman & Co.New York Mellon (“BBH&Co.”BNY Mellon”), serves as the Administrator of the Funds and the Sponsor, and the(the “Administrator”). The Trust, on its own behalf and on behalf of each Fund, and BBH&Co.BNY Mellon have entered into an Administrative Agency Agreementadministration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co.BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BBH&Co.BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co.BNY Mellon from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.BBH&Co.and the(the “Custodian”). The Trust, on its own behalf and on behalf of each Fund, and BBH&Co.BNY Mellon have entered into a Custodian Agreementcustody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the CustodianCustody Agreement, BBH&Co.BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co.BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor., serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds. – OFFERING COSTSOffering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITSredemptions—redemptions is not relevant to retail investors.dictatedgoverned by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.of up to $500(typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co.,BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.and nine months ended September 30, 2017March 31, 2023 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:Fund Three Months Ended
September 30, 2017 Nine Months Ended
September 30, 2017 $ 49,381 $ 115,876 5,298 8,510 337,623 763,477 385,071 837,558 54,276 172,684 4,627 7,826 1,138 1,903 1,537 13,526 — — — — — — — — — — 135,612 531,483 9,352 18,464 3,499 10,369 1,755 11,130 6,058 23,746 — — — — $ 995,227 $ 2,516,552
March 31, 2023 ProShares Short VIX Short-Term Futures ETF $ 112,214 ProShares Ultra Bloomberg Crude Oil — ProShares Ultra Bloomberg Natural Gas — ProShares Ultra Euro — ProShares Ultra Gold — ProShares Ultra Silver — ProShares Ultra VIX Short-Term Futures ETF 431,018 ProShares Ultra Yen — ProShares UltraShort Bloomberg Crude Oil — ProShares UltraShort Bloomberg Natural Gas — ProShares UltraShort Euro — ProShares UltraShort Gold — ProShares UltraShort Silver — ProShares UltraShort Yen — ProShares VIX Mid-Term Futures ETF 6,465 ProShares VIX Short-Term Futures ETF 84,321 $ 634,018 76 – FINANCIAL HIGHLIGHTSSelected dataoutstanding throughoutOutstanding Throughout the three months ended September 30, 2017:September 30, 2017March 31, 2023 (unaudited) 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 $ 42.69 $ 27.46 $ 80.11 $ 39.32 $ 43.43 $ 26.46 (0.01 ) (0.01 ) (0.13 ) (0.09 ) 0.00 (1) (0.07 ) (10.11 ) (2.25 ) 13.70 (18.59 ) (9.83 ) (8.87 ) (10.12 ) (2.26 ) 13.57 (18.68 ) (9.83 ) (8.94 ) $ 32.57 $ 25.20 $ 93.68 $ 20.64 $ 33.60 $ 17.52 $ 42.52 $ 27.43 $ 80.64 $ 38.96 $ 43.21 $ 26.24 $ 32.53 $ 25.17 $ 93.75 $ 20.60 $ 33.73 $ 17.63 (23.7 )% (8.2 )% 16.9 % (47.5 )% (22.6 )% (33.8 )% (23.5 )% (8.2 )% 16.3 % (47.1 )% (21.9 )% (32.8 )% 0.98 % 0.92 % 1.50 % 2.00 % 0.99 % 1.31 % 0.85 % 0.85 % 0.95 % 0.95 % 0.95 % 0.95 % (0.14 )% (0.17 )% (0.66 )% (1.21 )% (0.03 )% (1.31 )%
Performance
Futures
ETF
Bloomberg
Crude Oil
Bloomberg
Natural Gas Net asset value, at December 31, 2022 $ 58.71 $ 30.26 $ 18.15 $ 11.27 $ 55.09 $ 31.75 Net investment income (loss) 0.37 0.14 0.03 0.08 0.39 0.19 Net realized and unrealized gain (loss)# 4.65 (3.87 ) (14.49 ) 0.14 7.38 (0.84 ) Change in net asset value from operations 5.02 (3.73 ) (14.46 ) 0.22 7.77 (0.65 ) Net asset value, at March 31, 2023 $ 63.73 $ 26.53 $ 3.69 $ 11.49 $ 62.86 $ 31.10 $ 58.68 $ 30.31 $ 17.78 $ 11.26 $ 55.27 $ 32.00 $ 63.75 $ 26.47 $ 3.61 $ 11.49 $ 63.02 $ 31.23 8.6 % (12.3 )% (79.7 )% 2.0 % 14.1 % (2.0 )% 8.6 % (12.7 )% (79.7 )% 2.0 % 14.0 % (2.4 )% Expense ratio^^ 1.16 % 1.00 % 1.42 % 0.95 % 0.97 % 0.98 % Net investment income gain (loss) 2.38 % 2.05 % 2.24 % 2.86 % 2.70 % 2.70 % ** 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 New York Stock Exchange,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, 2017.March 31, 2023.^^
Performance
Short-Term
Futures ETF
Bloomberg
Crude Oil
Bloomberg
Natural Gas
Euro
Gold Net asset value, at December 31, 2022 $ 6.87 $ 34.54 $ 23.93 $ 27.00 $ 29.46 $ 31.10 Net investment income (loss) 0.02 0.23 0.18 0.25 0.21 0.18 Net realized and unrealized gain (loss)# (2.26 ) (1.72 ) 1.04 43.86 (0.63 ) (4.40 ) Change in net asset value from operations (2.24 ) (1.49 ) 1.22 44.11 (0.42 ) (4.22 ) Net asset value, at March 31, 2023 $ 4.63 $ 33.05 $ 25.15 $ 71.11 $ 29.04 $ 26.88 $ 6.86 $ 34.56 $ 23.85 $ 27.56 $ 29.45 $ 30.99 $ 4.65 $ 33.02 $ 25.22 $ 72.42 $ 29.04 $ 26.84 (32.7 )% (4.3 )% 5.1 % 163.4 % (1.4 )% (13.6 )% (32.2 )% (4.5 )% 5.8 % 162.8 % (1.4 )% (13.4 )% Expense ratio^^ 1.57 % 0.95 % 1.08 % 1.72 % 0.95 % 0.99 % Net investment income gain (loss) 1.48 % 2.78 % 2.85 % 2.08 % 2.85 % 2.48 % ** Percentages are annualized. (1)Amount represents less than $0.005.For the Three Months Ended September 30, 2017 (unaudited) UltraShort
Bloomberg
Natural Gas UltraShort Gold UltraShort
Silver Short
Euro UltraShort
Australian
Dollar UltraShort
Euro $ 33.16 $ 76.30 $ 34.75 $ 41.74 $ 47.90 $ 23.12 (0.06 ) (0.00 )(2) (0.00 )(2) (0.01 ) (0.01 ) 0.00 (1) 0.77 (5.02 ) (2.76 ) (1.26 ) (2.26 ) (1.43 ) 0.71 (5.02 ) (2.76 ) (1.27 ) (2.27 ) (1.43 ) $ 33.87 $ 71.28 $ 31.99 $ 40.47 $ 45.63 $ 21.69 $ 33.33 $ 76.37 $ 34.09 $ 41.71 $ 47.80 $ 23.12 $ 33.64 $ 71.55 $ 32.78 $ 40.56 $ 45.85 $ 21.68 2.1 % (6.6 )% (7.9 )% (3.0 )% (4.7 )% (6.2 )% 0.9 % (6.3 )% (3.8 )% (2.8 )% (4.1 )% (6.2 )% 1.34 % 0.95 % 0.95 % 0.96 % 1.01 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.73 )% (0.01 )% (0.05 )% (0.14 )% (0.13 )% 0.04 % #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.^Percentages are not annualized for the period ended September 30, 2017.**Percentages are annualized.(1)Amount represents less than $0.005.(2)Amount represents less than $(0.005).For the Three Months Ended September 30, 2017 (unaudited) UltraShort Yen Ultra
Bloomberg
Crude Oil UltraPro 3X
Crude Oil ETF Ultra
Bloomberg
Natural Gas Ultra Gold Ultra Silver $ 74.07 $ 14.80 $ 19.52 $ 9.77 $ 37.75 $ 33.23 0.01 (0.00 )(2) (0.07 ) (0.01 ) 0.00 (1) 0.00 (1) 0.18 3.10 5.82 (1.02 ) 2.07 0.79 0.19 3.10 5.75 (1.03 ) 2.07 0.79 $ 74.26 $ 17.90 $ 25.27 $ 8.74 $ 39.82 $ 34.02 $ 74.05 $ 14.86 $ 19.68 $ 9.74 $ 37.68 $ 33.82 $ 74.21 $ 17.82 $ 25.09 $ 8.80 $ 39.60 $ 33.15 0.3 % 20.9 % 29.5 % (10.5 )% 5.5 % 2.4 % 0.2 % 19.9 % 27.5 % (9.7 )% 5.1 % (2.0 )% 0.95 % 0.97 % 1.24 % 1.16 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.03 % (0.01 )% (1.24 )% (0.37 )% 0.03 % 0.00 %(3) #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.^Percentages are not annualized for the period ended September 30, 2017.**Percentages are annualized.(1)Amount represents less than $0.005.(2)Amount represents less than $(0.005).(3)Amount represents less than 0.005%.For the Three Months Ended September 30, 2017 (unaudited) Ultra Euro Ultra Yen $ 16.16 $ 58.68 (0.00 )(2) (0.04 ) 0.97 (0.57 ) 0.97 (0.61 ) $ 17.13 $ 58.07 $ 16.17 $ 58.68 $ 17.10 $ 58.17 6.0 % (1.0 )% 5.8 % (0.9 )% 0.95 % 0.95 % 0.95 % 0.95 % (0.04 )% (0.28 )% #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.^Percentages are not annualized for the period ended September 30, 2017.**Percentages are annualized.(2)Amount represents less than $(0.005).Selected data for a Share outstanding throughout the three months ended September 30, 2016:For the Three Months Ended September 30, 2016 (unaudited) 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 $ 180.57 $ 51.98 $ 24.92 $ 912.60 $ 40.97 $ 34.09 (0.24 ) (0.09 ) (0.09 ) (1.64 ) (0.09 ) (0.13 )
(loss)# (66.20 ) (6.14 ) 11.49 (572.92 ) (0.88 ) 2.36 (66.44 ) (6.23 ) 11.40 (574.56 ) (0.97 ) 2.23 $ 114.13 $ 45.75 $ 36.32 $ 338.04 $ 40.00 $ 36.32 $ 183.20 $ 52.53 $ 24.53 $ 943.00 $ 40.81 $ 34.06 $ 113.32 $ 45.69 $ 36.61 $ 333.00 $ 40.45 $ 36.14 (36.8 )% (12.0 )% 45.7 % (63.0 )% (2.4 )% 6.5 % (38.1 )% (13.0 )% 49.2 % (64.7 )% (0.9 )% 6.1 % 0.99 % 0.94 % 1.42 % 1.59 % 1.01 % 1.58 % 0.85 % 0.85 % 0.95 % 0.95 % 0.95 % 0.95 % (0.73 )% (0.70 )% (1.17 )% (1.36 )% (0.75 )% (1.40 )% *See Note 1 of these Notes to Financial Statements.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the New York Stock Exchange,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, 2016.March 31, 2023.^^
Performance
Silver
Yen
Term Futures
ETF
Term Futures
ETF Net asset value, at December 31, 2022 $ 19.46 $ 53.68 $ 30.41 $ 11.40 Net investment income (loss) 0.11 0.39 0.18 0.06 Net realized and unrealized gain (loss)# (0.94 ) 1.91 (3.80 ) (2.43 ) Change in net asset value from operations (0.83 ) 2.30 (3.62 ) (2.37 ) Net asset value, at March 31, 2023 $ 18.63 $ 55.98 $ 26.79 $ 9.03 $ 19.30 $ 53.57 $ 30.36 $ 11.38 $ 18.56 $ 56.00 $ 26.82 $ 9.05 (4.2 )% 4.3 % (11.9 )% (20.8 )% (3.8 )% 4.5 % (11.7 )% (20.5 )% Expense ratio^^ 1.04 % 0.95 % 0.97 % 1.09 % Net investment income gain (loss) 2.12 % 2.87 % 2.70 % 2.39 % ** Percentages are annualized. For the Three Months Ended September 30, 2016 (unaudited) UltraShort Gold UltraShort
Silver Short Euro UltraShort
Australian
Dollar UltraShort Euro UltraShort Yen $ 70.31 $ 33.16 $ 42.81 $ 53.47 $ 24.32 $ 63.53 (0.12 ) (0.05 ) (0.08 ) (0.10 ) (0.04 ) (0.11 ) (0.58 ) (5.17 ) (0.51 ) (3.69 ) (0.50 ) (2.74 ) (0.70 ) (5.22 ) (0.59 ) (3.79 ) (0.54 ) (2.85 ) $ 69.61 $ 27.94 $ 42.22 $ 49.68 $ 23.78 $ 60.68 $ 70.00 $ 31.65 $ 42.81 $ 53.47 $ 24.32 $ 63.53 $ 70.19 $ 28.41 $ 42.22 $ 49.67 $ 23.76 $ 60.64 (1.0 )% (15.8 )% (1.4 )% (7.1 )% (2.2 )% (4.5 )% 0.3 % (10.2 )% (1.4 )% (7.1 )% (2.3 )% (4.5 )% 0.95 % 0.95 % 0.96 % 1.02 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.69 )% (0.70 )% (0.75 )% (0.75 )% (0.69 )% (0.69 )% #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.^Percentages are not annualized for the period ended September 30, 2016.**Percentages are annualized.For the Three Months Ended September 30, 2016 (unaudited) Ultra
Bloomberg
Crude Oil* Ultra
Bloomberg
Natural Gas Ultra Gold Ultra Silver Ultra Euro Ultra Yen $ 24.33 $ 17.75 $ 44.80 $ 45.53 $ 15.89 $ 72.67 (0.04 ) (0.04 ) (0.08 ) (0.09 ) (0.03 ) (0.13 ) (3.27 ) (3.23 ) (0.30 ) 3.56 0.27 1.92 (3.31 ) (3.27 ) (0.38 ) 3.47 0.24 1.79 $ 21.02 $ 14.48 $ 44.42 $ 49.00 $ 16.13 $ 74.46 $ 24.44 $ 17.65 $ 45.03 $ 47.67 $ 15.86 $ 72.71 $ 20.76 $ 14.58 $ 44.01 $ 48.11 $ 16.12 $ 74.48 (13.6 )% (18.4 )% (0.8 )% 7.6 % 1.5 % 2.5 % (15.1 )% (17.4 )% (2.3 )% 0.9 % 1.6 % 2.4 % 1.00 % 1.23 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.75 )% (1.03 )% (0.67 )% (0.68 )% (0.69 )% (0.70 )% *See Note 1 of these Notes to Financial Statements.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the New York Stock Exchange,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, 2016.March 31, 2023.**^^Percentages are annualized.dataData for a Share outstanding throughoutOutstanding Throughout the nine months ended September 30, 2017:NineThree Months Ended September 30, 2017March 31, 2022 (unaudited) 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+ $ 84.86 $ 42.14 $ 45.62 $ 173.93 $ 31.70 $ 25.00 (0.11 ) (0.07 ) (0.45 ) (0.43 ) (0.08 ) (0.16 ) (52.18 ) (16.87 ) 48.51 (152.86 ) 1.98 (7.32 ) (52.29 ) (16.94 ) 48.06 (153.29 ) 1.90 (7.48 ) $ 32.57 $ 25.20 $ 93.68 $ 20.64 $ 33.60 $ 17.52 $ 85.04 $ 42.34 $ 45.49 $ 175.00 $ 31.65 $ 25.00 $ 32.53 $ 25.17 $ 93.75 $ 20.60 $ 33.73 $ 17.63 (61.6 )% (40.2 )% 105.3 % (88.1 )% 6.0 % (29.9 )% (61.7 )% (40.6 )% 106.1 % (88.2 )% 6.6 % (29.5 )% 0.97 % 0.89 % 1.52 % 1.88 % 0.99 % 1.34 % 0.85 % 0.85 % 0.95 % 0.95 % 0.95 % 0.95 % (0.30 )% (0.30 )% (0.80 )% (1.28 )% (0.29 )% (1.34 )%
Performance
Short-Term
Futures ETF
Bloomberg
Crude Oil
Bloomberg
Natural Gas Net asset value, at December 31, 2021 $ 61.56 $ 21.54 $ 25.55 $ 13.32 $ 59.69 $ 34.84 Net investment income (loss) (0.17 ) (0.08 ) (0.11 ) (0.02 ) (0.14 ) (0.08 ) Net realized and unrealized gain (loss)# (6.84 ) 16.48 30.62 (0.83 ) 7.44 4.30 Change in net asset value from operations (7.01 ) 16.40 30.51 (0.85 ) 7.30 4.22 Net asset value, at March 31, 2022 $ 54.55 $ 37.94 $ 56.06 $ 12.47 $ 66.99 $ 39.06 $ 61.55 $ 21.70 $ 26.09 $ 13.33 $ 59.81 $ 34.74 $ 54.56 $ 38.33 $ 56.31 $ 12.46 $ 66.14 $ 38.53 (11.4 )% 76.1 % 119.4 % (6.4 )% 12.2 % 12.1 % (11.4 )% 76.7 % 115.8 % (6.5 )% 10.6 % 10.9 % Expense ratio^^ 1.34 % 1.09 % 1.33 % 0.95 % 1.01 % 0.99 % Net investment income gain (loss) (1.25 )% (0.99 )% (1.23 )% (0.74 )% (0.87 )% (0.88 )% * See Note 1 of these Notes to Financial Statements. +**From commencement of operations, March 24, 2017 through September 30, 2017.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 New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.^Percentages are not annualized for the period ended September 30, 2017.**Percentages are annualized.For the Nine Months Ended September 30, 2017 (unaudited) UltraShort
Bloomberg
Natural Gas UltraShort Gold UltraShort
Silver Short Euro UltraShort
Australian
Dollar UltraShort Euro $ 23.10 $ 91.33 $ 37.31 $ 45.06 $ 55.38 $ 27.08 (0.20 ) (0.13 ) (0.06 ) (0.12 ) (0.15 ) (0.04 ) 10.97 (19.92 ) (5.26 ) (4.47 ) (9.60 ) (5.35 ) 10.77 (20.05 ) (5.32 ) (4.59 ) (9.75 ) (5.39 ) $ 33.87 $ 71.28 $ 31.99 $ 40.47 $ 45.63 $ 21.69 $ 23.05 $ 90.54 $ 38.76 $ 45.12 $ 55.24 $ 27.08 $ 33.64 $ 71.55 $ 32.78 $ 40.56 $ 45.85 $ 21.68 46.6 % (22.0 )% (14.3 )% (10.2 )% (17.6 )% (19.9 )% 45.9 % (21.0 )% (15.4 )% (10.1 )% (17.0 )% (19.9 )% 1.32 % 0.95 % 0.95 % 0.96 % 1.01 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.83 )% (0.23 )% (0.27 )% (0.37 )% (0.42 )% (0.23 )% #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange,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, 2017.March 31, 2022.^^
Performance
Short-Term
Futures ETF
Bloomberg
Crude Oil
Bloomberg
Natural Gas
Euro
Gold Net asset value, at December 31, 2021 $ 12.41 $ 47.29 $ 64.26 $ 247.40 $ 25.84 $ 31.71 Net investment income (loss) (0.07 ) (0.09 ) (0.10 ) (0.44 ) (0.05 ) (0.06 ) Net realized and unrealized gain (loss)# 1.16 (5.18 ) (34.99 ) (182.25 ) 1.51 (4.42 ) Change in net asset value from operations 1.09 (5.27 ) (35.09 ) (182.69 ) 1.46 (4.48 ) Net asset value, at March 31, 2022 $ 13.50 $ 42.02 $ 29.17 $ 64.71 $ 27.30 $ 27.23 $ 12.43 $ 47.29 $ 63.75 $ 242.20 $ 25.86 $ 31.66 $ 13.46 $ 42.09 $ 28.95 $ 64.56 $ 27.31 $ 27.61 8.8 % (11.1 )% (54.6 )% (73.9 )% 5.6 % (14.1 )% 8.3 % (11.0 )% (54.6 )% (73.4 )% 5.6 % (12.8 )% Expense ratio^^ 1.78 % 0.95 % 1.24 % 1.56 % 0.95 % 1.02 % Net investment income gain (loss) (1.73 )% (0.80 )% (1.13 )% (1.46 )% (0.83 )% (0.88 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. For the Nine Months Ended September 30, 2017 (unaudited) UltraShort Yen Ultra Bloomberg
Crude Oil UltraPro 3X
Crude Oil ETF+ Ultra Bloomberg
Natural Gas Ultra Gold Ultra Silver $ 80.24 $ 23.34 $ 25.00 $ 18.85 $ 32.90 $ 33.44 (0.14 ) (0.03 ) (0.14 ) (0.05 ) (0.06 ) (0.06 ) (5.84 ) (5.41 ) 0.41 (10.06 ) 6.98 0.64 (5.98 ) (5.44 ) 0.27 (10.11 ) 6.92 0.58 $ 74.26 $ 17.90 $ 25.27 $ 8.74 $ 39.82 $ 34.02 $ 80.25 $ 23.36 $ 25.00 $ 18.96 $ 33.20 $ 32.09 $ 74.21 $ 17.82 $ 25.09 $ 8.80 $ 39.60 $ 33.15 (7.5 )% (23.3 )% 1.1 % (53.6 )% 21.0 % 1.7 % (7.5 )% (23.7 )% 0.4 % (53.6 )% 19.3 % 3.3 % 0.95 % 0.97 % 1.26 % 1.16 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.26 )% (0.24 )% (1.26 )% (0.57 )% (0.22 )% (0.23 )% +From commencement of operations, March 24, 2017 through September 30, 2017.# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated. For ProShares UltraPro 3x Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.^Percentages are not annualized for the period ended September 30, 2017.The returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Crude Oil ETF.**Percentages are annualized.For the Nine Months Ended September 30, 2017 (unaudited) Ultra Euro Ultra Yen $ 14.02 $ 55.43 (0.03 ) (0.21 ) 3.14 2.85 3.11 2.64 $ 17.13 $ 58.07 $ 14.09 $ 55.52 $ 17.10 $ 58.17 22.2 % 4.8 % 21.4 % 4.8 % 0.95 % 0.95 % 0.95 % 0.95 % (0.26 )% (0.47 )% #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange,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, 2017.March 31, 2022.**^^Percentages are annualized.Selected data for a Share outstanding throughout the nine months ended September 30, 2016:NineThree Months Ended September 30, 2016March 31, 2022 (unaudited) 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 $ 264.84 $ 53.96 $ 25.41 $ 2,808.40 $ 66.60 $ 46.53 (1.03 ) (0.28 ) (0.21 ) (9.40 ) (0.31 ) (0.57 ) (149.68 ) (7.93 ) 11.12 (2,460.96 ) (26.29 ) (9.64 ) (150.71 ) (8.21 ) 10.91 (2,470.36 ) (26.60 ) (10.21 ) $ 114.13 $ 45.75 $ 36.32 $ 338.04 $ 40.00 $ 36.32 $ 266.60 $ 53.99 $ 25.23 $ 2,835.00 $ 66.82 $ 46.55 $ 113.32 $ 45.69 $ 36.61 $ 333.00 $ 40.45 $ 36.14 (56.9 )% (15.2 )% 42.9 % (88.0 )% (39.9 )% (22.0 )% (57.5 )% (15.4 )% 45.1 % (88.3 )% (39.5 )% (22.4 )% 1.01 % 0.93 % 1.36 % 1.56 % 1.04 % 1.68 % 0.85 % 0.85 % 0.95 % 0.95 % 0.95 % 0.95 % (0.78 )% (0.71 )% (1.13 )% (1.33 )% (0.79 )% (1.46 )%
Performance
Silver
Yen
Term Futures
ETF
Term Futures
ETF Net asset value, at December 31, 2021 $ 26.77 $ 41.50 $ 30.61 $ 15.12 Net investment income (loss) (0.06 ) (0.08 ) (0.08 ) (0.05 ) Net realized and unrealized gain (loss)# (5.26 ) 4.90 0.92 1.54 Change in net asset value from operations (5.32 ) 4.82 0.84 1.49 Net asset value, at March 31, 2022 $ 21.45 $ 46.32 $ 31.45 $ 16.61 $ 26.84 $ 41.50 $ 30.57 $ 15.17 $ 21.78 $ 46.37 $ 31.50 $ 16.57 (19.9 )% 11.6 % 2.7 % 9.9 % (18.9 )% 11.7 % 3.0 % 9.2 % Expense ratio^^ 1.08 % 0.95 % 1.09 % 1.23 % Net investment income gain (loss) (0.94 )% (0.80 )% (0.99 )% (1.15 )% * See Note 1 of these Notes to Financial StatementsStatements.** 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 New York Stock Exchange,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, 2016.**Percentages are annualized.For the Nine Months Ended September 30, 2016 (unaudited) UltraShort Gold UltraShort
Silver Short Euro UltraShort
Australian
Dollar UltraShort Euro UltraShort Yen $ 115.88 $ 64.58 $ 43.78 $ 58.46 $ 25.54 $ 87.94 (0.42 ) (0.21 ) (0.25 ) (0.33 ) (0.13 ) (0.38 ) (45.85 ) (36.43 ) (1.31 ) (8.45 ) (1.63 ) (26.88 ) (46.27 ) (36.64 ) (1.56 ) (8.78 ) (1.76 ) (27.26 ) $ 69.61 $ 27.94 $ 42.22 $ 49.68 $ 23.78 $ 60.68 $ 115.83 $ 64.55 $ 43.74 $ 58.15 $ 25.53 $ 87.89 $ 70.19 $ 28.41 $ 42.22 $ 49.67 $ 23.76 $ 60.64 (39.9 )% (56.7 )% (3.6 )% (15.0 )% (6.9 )% (31.0 )% (39.4 )% (56.0 )% (3.5 )% (14.6 )% (6.9 )% (31.0 )% 0.95 % 0.95 % 0.97 % 1.03 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.71 )% (0.71 )% (0.78 )% (0.80 )% (0.70 )% (0.74 )% #The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.March 31, 2022.^^ Percentages are not annualized for the period ended September 30, 2016.**Percentages are annualized.For the Nine Months Ended September 30, 2016 (unaudited) Ultra Bloomberg
Crude Oil* Ultra Bloomberg
Natural Gas Ultra Gold Ultra Silver Ultra Euro Ultra Yen $ 25.15 $ 18.57 $ 29.73 $ 27.06 $ 15.51 $ 54.75 (0.12 ) (0.12 ) (0.21 ) (0.21 ) (0.08 ) (0.36 ) (4.01 ) (3.97 ) 14.90 22.15 0.70 20.07 (4.13 ) (4.09 ) 14.69 21.94 0.62 19.71 $ 21.02 $ 14.48 $ 44.42 $ 49.00 $ 16.13 $ 74.46 $ 25.08 $ 18.48 $ 29.73 $ 27.08 $ 15.51 $ 54.70 $ 20.76 $ 14.58 $ 44.01 $ 48.11 $ 16.12 $ 74.48 (16.4 )% (22.0 )% 49.4 % 81.1 % 4.0 % 36.0 % (17.2 )% (21.1 )% 48.0 % 77.7 % 3.9 % 36.2 % 1.02 % 1.36 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % (0.78 )% (1.17 )% (0.69 )% (0.71 )% (0.71 )% (0.71 )% *See Note 1 of these Notes to Financial Statements#The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.†Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated^Percentages are not annualized for the period ended September 30, 2016.**Percentages are annualized.87 – RISK(-1x) of the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds)or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and compounding.other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.Fund with a 1.5x or 2x multiple should be approximately one anda Short oran UltraShort Fund is designed to return the inverse(-1x) or two times the inversedifferentsignificant risks thannot applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.expectseek to meet their investment objectives, several factorsthere is no guarantee they will do so. Factors that may affect theira Fund’s ability to do so. Among these factors are:meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark indexIndex that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, overweightingover weighting or underweightingunder weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.or extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.(i.e.,-1x,In addition, unlikeCertain of the Funds willand/orand forward contracts (collectively referred to in this Counterparty Risk section as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. Such Funds willThe use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tendof derivatives by a Fund exposes the Fund to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.Swap agreements and forward contractscounterparty risks.have only recently becomeare subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation by(in the CFTC.case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).however, domay not coverapply to all types of the swap agreements and forward contracts.contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.with respect toof the counterparties to the derivatives contracts (whether a clearing corporation inderivatives. In the case of cleared instruments or another third partyderivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of uncleared OTC uncleared instruments). Unlike in futures contracts,derivatives, the Funds will be subject to the credit risk of the counterparty to uncleared swap agreements or forward contracts is generallythe transaction – typically a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions.institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contractsOTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.thresholds; howeverthresholds. However, there are no limitations on the percentage of its assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.swaps or forward contractsderivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. IfThese agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.derivative transactionsderivatives benefit from dailymarking-to-marketTransactionsTo the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of futures customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties generally do not necessarily benefit from such protections. This exposesprotections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. Bilateral OTC derivatives expose the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.Fund.derivativederivatives transactions is generally lower than for uncleared OTC derivatives since generallyderivatives. Once a transaction is cleared, the clearing organization becomesis substituted for eachand is a Fund’s counterparty to a cleared derivative contract and, in effect,on the derivative. The clearing organization guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However,the other side of the derivative. Nevertheless, some risk remains, as there can beis no assurance that the clearing house,organization, or its members, will satisfy its obligations to thea Fund.could result inincreases the risk of total loss of an investor’s investment. (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward20162022 may specify a January 20172023 expiration. As that contract nears expiration, it may be replaced by selling the January 20172023 contract and purchasing the contract expiring in March 2017.2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 20172023 contract would take place at a price that is higher than the price at which the March 20172023 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.exhibitexhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is becauseneeds to build inventories for mostcrude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the yearfutures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.enougha significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.makebuy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.throughwill escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a normal winter. PeriodsFund’s performance, and the value of backwardationan investment in a Fund may decline significantly.typically thoughtsubject to increased margin requirements, they will incur increased costs and may not be caused by demand shocksable to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or supply shortages such as an unusually cold winter or a hurricane.98 – SUBSEQUENT EVENTS
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential”“potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022 and in this Quarterly Report on Form 10-Q for the period ended March 31, 2023, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the Trustee (as each term is defined below)Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the TrusteeAdministrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Introduction
ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2017, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form10-Q.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of ten Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
Groups of Funds are collectively referred to in this Quarterly Report on Form10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index (collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments)instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.
EachThe “Short” Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one-halfthe inverse(-1x)(-0.5x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse(-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, (beforebefore fees and expenses),expenses, both overfor a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the next.Fund’s next NAV calculation.
Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation.any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from-1x,-0.5x, -2x, 1.5x, or 2x, of the return of the indexbenchmark to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatilityVolatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that aredo not geared.use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day.
Each Matching VIX Fund seeks investment results, (beforebefore fees and expenses), both over a single day and over time,expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIXMid-Term Futures Index (the“Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarilytaking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”Cboe”) Volatility Index (the “VIX”).
ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF,Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF and ProShares Ultra Bloomberg Natural Gas each have a benchmark that is an indexare benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexesIndexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase
1
and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at aper-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca,its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Forward and Reverse Splits
On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding. ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, and each Fund’s trading in futures, andand/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2017March 31, 2023 and 2016,2022, each of the Funds earned interest income as follows:
Interest Income
Fund | Interest Income Three Months Ended September 30, 2017 | Interest Income Three Months Ended September 30, 2016 | Interest Income Nine Months Ended September 30, 2017 | Interest Income Nine Months Ended September 30, 2016 | Interest Income Three Months Ended March 31, 2023 | Interest Income Three Months Ended March 31, 2022 | ||||||||||||||||||
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 | $ | 2,109,122 | $ | 94,343 | ||||||||||||||||
ProShares Ultra Bloomberg Crude Oil | 6,007,908 | 308,880 | ||||||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas | 8,958,523 | 39,581 | ||||||||||||||||||||||
ProShares Ultra Euro | 97,237 | 4,587 | ||||||||||||||||||||||
ProShares Ultra Gold | 1,649,014 | 95,113 | ||||||||||||||||||||||
ProShares Ultra Silver | 3,374,396 | 140,449 | ||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF | 866,857 | 400,731 | 1,833,411 | 1,227,394 | 4,416,655 | 95,261 | ||||||||||||||||||
ProShares Ultra Yen | 120,118 | 873 | ||||||||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil | 458,896 | 112,015 | 998,438 | 345,514 | 2,003,209 | 53,907 | ||||||||||||||||||
ProShares UltraPro 3X Short Crude Oil ETF | — | — | — | — | ||||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas | 11,436 | 2,395 | 25,909 | 16,513 | 1,186,752 | 55,825 | ||||||||||||||||||
ProShares UltraShort Euro | 647,120 | 15,405 | ||||||||||||||||||||||
ProShares UltraShort Gold | 85,802 | 44,515 | 202,149 | 118,780 | 132,562 | 9,685 | ||||||||||||||||||
ProShares UltraShort Silver | 44,411 | 22,794 | 103,317 | 71,536 | 200,078 | 8,920 | ||||||||||||||||||
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 | 204,200 | 9,399 | ||||||||||||||||||
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 | ||||||||||||||||||||
ProShares VIX Mid-Term Futures ETF | 647,920 | 23,923 | ||||||||||||||||||||||
ProShares VIX Short-Term Futures ETF | 2,120,561 | 70,709 | ||||||||||||||||||||||
2
Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed“off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying thesuch Fund’s benchmark at a specified date and price, should it hold such derivativesderivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
3
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an unclearedOTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
limiting the outstanding amounts due from counterparties to the Funds;
not posting margin directly with a counterparty;
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
limiting the amount of margin or premium posted at a futures commission merchant (“FCM”);(FCM): and
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance Sheet Arrangements and Contractual Obligations
As of November 2, 2017,May 8, 2023, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitateoff-balance sheet financing arrangements and have no loan guarantee arrangements oroff-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of paymentspayment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
The Trust’s and the Funds’ critical accounting policies are as follows:
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America (“GAAP”) requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
For financial reporting purposes, the Funds value transactionsinvestments based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the three and nine monthsperiod ended September 30, 2017.March 31, 2023.
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.
4
Derivatives (e.g.(e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold Silver, Australian Dollar and Short EuroSilver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold Silver, Australian Dollar and Short EuroSilver Funds, are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day,Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and fornon-exchange-traded derivatives,foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day.position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, theThe Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The prices used by the Leveraged or the VIXa Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open positionsinvestments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFANational Futures Association fees,give-up give up fees, pit brokeragefutures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions onin VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
5
Results of Operations for the Three Months Ended September 30, 2017March 31, 2023 Compared to the Three Months Ended September 30, 2016March 31, 2022
ProShares Short VIX Short-Term Futures ETF*ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
NAV beginning of period | $ | 162,053,094 | $ | 190,955,944 | $ | 339,591,638 | $ | 423,812,594 | ||||||||
NAV end of period | $ | 191,364,819 | $ | 227,819,218 | $ | 295,340,393 | $ | 495,588,849 | ||||||||
Percentage change in NAV | 18.1 | % | 19.3 | % | (13.0 | )% | 16.9 | % | ||||||||
Shares outstanding beginning of period | 3,796,113 | 1,057,491 | 5,784,307 | 6,884,307 | ||||||||||||
Shares outstanding end of period | 5,876,317 | 1,996,113 | 4,634,307 | 9,084,307 | ||||||||||||
Percentage change in shares outstanding | 54.8 | % | 88.8 | % | (19.9 | )% | 32.0 | % | ||||||||
Shares created | 3,106,250 | 1,151,250 | 2,450,000 | 3,000,000 | ||||||||||||
Shares redeemed | 1,026,046 | 212,628 | 3,600,000 | 800,000 | ||||||||||||
Per share NAV beginning of period | $ | 42.69 | $ | 180.57 | $ | 58.71 | $ | 61.56 | ||||||||
Per share NAV end of period | $ | 32.57 | $ | 114.13 | $ | 63.73 | $ | 54.55 | ||||||||
Percentage change in per share NAV | (23.7 | )% | (36.8 | )% | 8.6 | % | (11.4 | )% | ||||||||
Percentage change in benchmark | (23.4 | )% | (36.8 | )% | (20.3 | )% | 10.2 | % | ||||||||
Benchmark annualized volatility | 65.8 | % | 55.1 | % | 68.1 | % | 86.4 | % | ||||||||
During the three months ended September 30, 2017,March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 4,634,307 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,796,1136,884,307 outstanding Shares at June 30, 2017December 31, 2021 to 5,876,3179,084,307 outstanding Shares at September 30, 2017.March 31, 2022. 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,057,491 outstanding Shares at June 30, 2016 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $179.80 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.
The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (61,284 | ) | $ | (407,697 | ) | ||
Management fee | 381,123 | 474,982 | ||||||
Brokerage commissions | 59,243 | 76,959 | ||||||
Net realized gain (loss) | (27,446,786 | ) | (101,781,283 | ) | ||||
Change in net unrealized appreciation/depreciation | (17,216,367 | ) | 6,811,763 | |||||
Net income (loss) | $ | (44,724,437 | ) | $ | (95,377,217 | ) | ||
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.
ProShares VIXMid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 30,550,943 | $ | 42,224,892 | ||||
NAV end of period | $ | 45,047,423 | $ | 58,894,811 | ||||
Percentage change in NAV | 47.5 | % | 39.5 | % | ||||
Shares outstanding beginning of period | 1,112,403 | 812,403 | ||||||
Shares outstanding end of period | 1,787,403 | 1,287,403 | ||||||
Percentage change in shares outstanding | 60.7 | % | 58.5 | % | ||||
Shares created | 675,000 | 525,000 | ||||||
Shares redeemed | — | 50,000 | ||||||
Per share NAV beginning of period | $ | 27.46 | $ | 51.98 | ||||
Per share NAV end of period | $ | 25.20 | $ | 45.75 | ||||
Percentage change in per share NAV | (8.2 | )% | (12.0 | )% | ||||
Percentage change in benchmark | (8.0 | )% | (11.7 | )% | ||||
Benchmark annualized volatility | 27.0 | % | 20.2 | % | ||||
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIXMid-Term Futures Index.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016 was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.
The benchmark’s decline of 8.0% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 11.7% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (15,787 | ) | $ | (89,667 | ) | ||
Management fee | 80,574 | 108,438 | ||||||
Brokerage commissions | 6,764 | 10,935 | ||||||
Net realized gain (loss) | (3,965,084 | ) | (4,899,386 | ) | ||||
Change in net unrealized appreciation/depreciation | 365,957 | (1,141,385 | ) | |||||
Net income (loss) | $ | (3,614,914 | ) | $ | (6,130,438 | ) | ||
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIXMid-Term Futures Index during the three months ended September 30, 2017.
ProShares Short VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 793,060,423 | $ | 687,712,265 | ||||
NAV end of period | $ | 1,039,873,910 | $ | 504,798,665 | ||||
Percentage change in NAV | 31.1 | % | (26.6 | )% | ||||
Shares outstanding beginning of period | 9,900,000 | 27,600,000 | ||||||
Shares outstanding end of period | 11,100,000 | 13,900,000 | ||||||
Percentage change in shares outstanding | 12.1 | % | (49.6 | )% | ||||
Shares created | 17,750,000 | 18,500,000 | ||||||
Shares redeemed | 16,550,000 | 32,200,000 | ||||||
Per share NAV beginning of period | $ | 80.11 | $ | 24.92 | ||||
Per share NAV end of period | $ | 93.68 | $ | 36.32 | ||||
Percentage change in per share NAV | 16.9 | % | 45.7 | % | ||||
Percentage change in benchmark | (23.4 | )% | (36.8 | )% | ||||
Benchmark annualized volatility | 65.8 | % | 55.1 | % | ||||
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an 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 (before fees and expenses) that correspond toone-half the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 27,600,000 outstanding Shares at June 30, 2016 to 13,900,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse(-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2017March 31, 2023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.9%8.6% for the three months ended September 30, 2017,March 31, 2023, as compared to the Fund’s per Share NAV increasedecrease of 45.7%11.4% for the three months ended September 30, 2016,March 31, 2022, was primarily due to a lesser appreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on August 18, 2017 at $70.05 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on July 5, 2016 at $25.02 per Share.March 31, 2023.
The benchmark’s decline of 23.4%20.3% for the three months ended September 30, 2017,March 31, 2023, as compared to the benchmark’s declinerise of 36.8%10.2% for the three months ended September 30, 2016,March 31, 2022, can be attributed to a lesser declinedecrease in the value of the prices of the near-term futures contracts on the VIX futures curve during the three monthsperiod ended September 30, 2017.March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| 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 | ||||
6
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,416,842 | $ | (1,296,922 | ) | |||
Management fee | 565,777 | 986,537 | ||||||
Brokerage commission | 126,503 | 187,698 | ||||||
Futures account fees | — | 217,030 | ||||||
Net realized gain (loss) | 29,604,148 | (41,111,108 | ) | |||||
Change in net unrealized appreciation (depreciation) | 3,155,177 | 4,297,907 | ||||||
Net Income (loss) | $ | 34,176,167 | $ | (38,110,123 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2017,March 31, 2023 as compared to the three months ended September 30, 2016,March 31, 2022, primarily due to a decrease in the pricesvalue of near-term futures contracts on the VIX futures curve, in conjunction with an increase in shares outstanding,prices during the three months ended September 30, 2017.March 31, 2023.
ProShares Ultra VIX Short-Term Futures ETF*Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
NAV beginning of period | $ | 378,714,636 | $ | 839,613,853 | $ | 859,094,274 | $ | 1,103,783,570 | ||||||||
NAV end of period | $ | 535,095,732 | $ | 738,749,800 | $ | 811,668,456 | $ | 1,336,980,685 | ||||||||
Percentage change in NAV | 41.3 | % | (12.0 | )% | (5.5 | )% | 21.2 | % | ||||||||
Shares outstanding beginning of period | 9,631,952 | 920,025 | 28,393,096 | 51,243,096 | ||||||||||||
Shares outstanding end of period | 25,927,238 | 2,185,383 | 30,593,096 | 35,243,096 | ||||||||||||
Percentage change in shares outstanding | 169.2 | % | 137.5 | % | 7.7 | % | (31.2 | )% | ||||||||
Shares created | 33,400,000 | 2,356,500 | 19,100,000 | 8,600,000 | ||||||||||||
Shares redeemed | 17,104,14 | 1,091,142 | 16,900,000 | 24,600,000 | ||||||||||||
Per share NAV beginning of period | $ | 39.32 | $ | 912.60 | $ | 30.26 | $ | 21.54 | ||||||||
Per share NAV end of period | $ | 20.64 | $ | 338.04 | $ | 26.53 | $ | 37.94 | ||||||||
Percentage change in per share NAV | (47.5 | )% | (63.0 | )% | (12.3 | )% | 76.1 | % | ||||||||
Percentage change in benchmark | (23.4 | )% | (36.8 | )% | (5.4 | )% | 36.7 | % | ||||||||
Benchmark annualized volatility | 65.8 | % | 55.1 | % | 30.8 | % | 46.0 | % | ||||||||
During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 9,631,952 outstanding Shares at June 30, 2017 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016,March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times (2x) the daily performance of the S&P 500 VIX Short-Term Futures Index.Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The decrease in the Fund’s NAV was offset by an increase from 920,02528,393,096 outstanding Shares at June 30, 2016December 31, 2022 to 2,185,38330,593,096 outstanding Shares at September 30, 2016.March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM. The increase in the Fund’s NAV was offset by a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 35,243,096 outstanding Shares at March 31, 2022.
For the three months ended September 30, 2017March 31, 2023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 47.5%12.3% for the three months ended September 30, 2017,March 31, 2023, as compared to the Fund’s per Share NAV decreaseincrease of 63.0%76.1% for the three months ended September 30, 2016,March 31, 2022, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $43.94 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $904.80 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.March 31, 2023.
The benchmark’s decline of 23.4%5.4% for the three months ended September 30, 2017,March 31, 2023, as compared to the benchmark’s declinerise of 36.8%36.7% for the three months ended September 30, 2016,March 31, 2022, can be attributed to a lesser declinedecrease in pricesthe value of the near-term futures contracts on the VIX futures curveWTI Crude Oil during the three monthsperiod ended September 30, 2017.
7
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
Net investment income (loss) | $ | (1,324,516 | ) | $ | (2,326,627 | ) | $ | 4,038,946 | $ | (3,224,160 | ) | |||||
Management fee | 1,040,567 | 1,625,260 | 1,874,618 | 3,084,812 | ||||||||||||
Brokerage commissions | 1,150,806 | 1,102,098 | ||||||||||||||
Brokerage commission | 94,344 | 195,541 | ||||||||||||||
Futures account fees | — | 252,687 | ||||||||||||||
Net realized gain (loss) | (126,538,682 | ) | (745,085,668 | ) | 85,780,427 | 799,419,934 | ||||||||||
Change in net unrealized appreciation/depreciation | (95,494,039 | ) | 139,001,218 | |||||||||||||
Net income (loss) | $ | (223,357,237 | ) | $ | (608,411,077 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (138,210,442 | ) | (94,663,987 | ) | ||||||||||||
Net Income (loss) | $ | (48,391,069 | ) | $ | 701,531,787 | |||||||||||
The Fund’s net income increaseddecreased for the three months ended September 30, 2017,March 31, 2023 as compared to the three months ended September 30, 2016,March 31, 2022, primarily due to a lesser declinedecrease in the pricesvalue of WTI Crude Oil, in conjunction with the near-term futures contracts on the VIX futures curvetiming of shareholder activity, during the three months ended September 30, 2017.March 31, 2023.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the |
ProShares UltraShortUltra Bloomberg Crude Oil*Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
NAV beginning of period | $ | 121,175,298 | $ | 165,504,746 | $ | 586,151,113 | $ | 193,892,178 | ||||||||
NAV end of period | $ | 238,227,025 | $ | 189,577,580 | $ | 1,139,983,773 | $ | 145,069,486 | ||||||||
Percentage change in NAV | 96.6 | % | 14.5 | % | 94.5 | % | (25.2 | )% | ||||||||
Shares outstanding beginning of period | 2,789,884 | 4,039,884 | 32,287,527 | 7,587,527 | ||||||||||||
Shares outstanding end of period | 7,089,884 | 4,739,884 | 309,087,527 | 2,587,527 | ||||||||||||
Percentage change in shares outstanding | 154.1 | % | 17.3 | % | 857.3 | % | (65.9 | )% | ||||||||
Shares created | 5,400,000 | 3,100,000 | 379,450,000 | 2,600,000 | ||||||||||||
Shares redeemed | 1,100,000 | 2,400,000 | 102,650,000 | 7,600,000 | ||||||||||||
Per share NAV beginning of period | $ | 43.43 | $ | 40.97 | $ | 18.15 | $ | 25.55 | ||||||||
Per share NAV end of period | $ | 33.60 | $ | 40.00 | $ | 3.69 | $ | 56.06 | ||||||||
Percentage change in per share NAV | (22.6 | )% | (2.4 | )% | (79.7 | )% | 119.4 | % | ||||||||
Percentage change in benchmark | 11.2 | % | (5.0 | )% | (50.4 | )% | 58.4 | % | ||||||||
Benchmark annualized volatility | 25.6 | % | 40.5 | % | 78.6 | % | 72.9 | % | ||||||||
During the three months ended September 30, 2017,March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 2,789,88432,287,527 outstanding Shares at June 30, 2017December 31, 2022 to 7,089,884309,087,527 outstanding Shares at September 30, 2017.March 31, 2023. 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 oftwo times (2x) the daily performance of the Bloomberg WTI Crude OilNatural Gas SubindexSM. By comparison, during the three months ended September 30, 2016,March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 2,587,527 outstanding Shares at March 31, 2022.
8
For the three months ended March 31, 2023 and 2022, 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 79.7% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 119.4% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s decline of 50.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 58.4% for the three months ended March 31, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 5,489,641 | $ | (516,598 | ) | |||
Management fee | 2,328,410 | 396,610 | ||||||
Brokerage commission | 952,779 | 88,452 | ||||||
Futures account fees | 187,693 | 71,117 | ||||||
Net realized gain (loss) | (1,061,634,864 | ) | 76,217,236 | |||||
Change in net unrealized appreciation (depreciation) | (53,009,690 | ) | 84,867,744 | |||||
Net Income (loss) | $ | (1,109,154,913 | ) | $ | 160,568,382 | |||
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2023.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 10,704,662 | $ | 8,659,095 | ||||
NAV end of period | $ | 8,616,433 | $ | 6,236,982 | ||||
Percentage change in NAV | (19.5 | )% | (28.0 | )% | ||||
Shares outstanding beginning of period | 950,000 | 650,000 | ||||||
Shares outstanding end of period | 750,000 | 500,000 | ||||||
Percentage change in shares outstanding | (21.1 | )% | (23.1 | )% | ||||
Shares created | 200,000 | 100,000 | ||||||
Shares redeemed | 400,000 | 250,000 | ||||||
Per share NAV beginning of period | $ | 11.27 | $ | 13.32 | ||||
Per share NAV end of period | $ | 11.49 | $ | 12.47 | ||||
Percentage change in per share NAV | 2.0 | % | (6.4 | )% | ||||
Percentage change in benchmark | 1.31 | % | (2.8 | )% | ||||
Benchmark annualized volatility | 9.21 | % | 8.6 | % | ||||
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 750,000 outstanding Shares at March 31, 2023. 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 spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the
9
decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 2023 and 2022, 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 2.0% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 6.4% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s rise of 1.31% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 72,991 | $ | (15,691 | ) | |||
Management fee | 24,246 | 20,278 | ||||||
Net realized gain (loss) | 280,279 | (446,979 | ) | |||||
Change in net unrealized appreciation (depreciation) | (96,945 | ) | (138,425 | ) | ||||
Net Income (loss) | $ | 256,325 | $ | (601,095 | ) | |||
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended March 31, 2023.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 173,524,136 | $ | 232,780,534 | ||||
NAV end of period | $ | 201,161,529 | $ | 355,029,822 | ||||
Percentage change in NAV | 15.9 | % | 52.5 | % | ||||
Shares outstanding beginning of period | 3,150,000 | 3,900,000 | ||||||
Shares outstanding end of period | 3,200,000 | 5,300,000 | ||||||
Percentage change in shares outstanding | 1.6 | % | 35.9 | % | ||||
Shares created | 400,000 | 1,500,000 | ||||||
Shares redeemed | 350,000 | 100,000 | ||||||
Per share NAV beginning of period | $ | 55.09 | $ | 59.69 | ||||
Per share NAV end of period | $ | 62.86 | $ | 66.99 | ||||
Percentage change in per share NAV | 14.1 | % | 12.2 | % | ||||
Percentage change in benchmark | 8.1 | % | 6.6 | % | ||||
Benchmark annualized volatility | 15.7 | % | 17.3 | % | ||||
10
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The increase in the Fund’s NAV also resulted in part from an increase from 4,039,8843,150,000 outstanding Shares at June 30, 2016December 31, 2022 to 4,739,8843,200,000 outstanding Shares at September 30, 2016.March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 5,300,000 outstanding Shares at March 31, 2022. 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 (2x) the daily performance of the Bloomberg Gold SubindexSM.
For the three months ended March 31, 2023 and 2022, 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 14.1% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended March 31, 2022, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,213,285 | $ | (617,466 | ) | |||
Management fee | 427,114 | 671,415 | ||||||
Brokerage commission | 8,615 | 21,659 | ||||||
Futures account fees | — | 19,505 | ||||||
Net realized gain (loss) | 10,799,896 | 57,818,596 | ||||||
Change in net unrealized appreciation (depreciation) | 10,688,379 | (24,820,511 | ) | |||||
Net Income (loss) | $ | 22,701,560 | $ | 32,380,619 | ||||
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in average net assets, which was offset by an increase in futures prices, during the three months ended March 31, 2023.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
11
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 414,285,878 | $ | 515,453,594 | ||||
NAV end of period | $ | 429,115,334 | $ | 558,375,842 | ||||
Percentage change in NAV | 3.6 | % | 8.3 | % | ||||
Shares outstanding beginning of period | 13,046,526 | 14,796,526 | ||||||
Shares outstanding end of period | 13,796,526 | 14,296,526 | ||||||
Percentage change in shares outstanding | 5.7 | % | (3.4 | )% | ||||
Shares created | 1,900,000 | 1,000,000 | ||||||
Shares redeemed | 1,150,000 | 1,500,000 | ||||||
Per share NAV beginning of period | $ | 31.75 | $ | 34.84 | ||||
Per share NAV end of period | $ | 31.10 | $ | 39.06 | ||||
Percentage change in per share NAV | (2.0 | )% | 12.1 | % | ||||
Percentage change in benchmark | 0.8 | % | 7.5 | % | ||||
Benchmark annualized volatility | 27.6 | % | 31.9 | % | ||||
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,796,526 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 2022.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.0% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 12.1% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of silver futures contracts during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 2,476,275 | $ | (1,128,206 | ) | |||
Management fee | 871,559 | 1,217,599 | ||||||
Brokerage commission | 26,562 | 30,551 | ||||||
Futures account fees | — | 20,505 | ||||||
Net realized gain (loss) | (28,743,864 | ) | 116,637,037 | |||||
Change in net unrealized appreciation (depreciation) | 22,352,120 | (58,036,245 | ) | |||||
Net Income (loss) | $ | (3,915,469 | ) | $ | 57,472,586 | |||
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023.
12
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 639,318,362 | $ | 816,679,636 | ||||
NAV end of period | $ | 535,980,236 | $ | 1,127,608,641 | ||||
Percentage change in NAV | (16.2 | )% | 38.1 | % | ||||
Shares outstanding beginning of period | 93,078,420 | 65,828,420 | ||||||
Shares outstanding end of period | 115,878,420 | 83,528,420 | ||||||
Percentage change in shares outstanding | 24.5 | % | 26.9 | % | ||||
Shares created | 83,700,000 | 83,100,000 | ||||||
Shares redeemed | 60,900,000 | 65,400,000 | ||||||
Per share NAV beginning of period | $ | 6.87 | $ | 12.41 | ||||
Per share NAV end of period | $ | 4.63 | $ | 13.50 | ||||
Percentage change in per share NAV | (32.7 | )% | 8.8 | % | ||||
Percentage change in benchmark | (20.3 | )% | 10.2 | % | ||||
Benchmark annualized volatility | 68.1 | % | 86.4 | % | ||||
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 93,078,420 outstanding Shares at December 31, 2022 to 115,878,420 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. 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 one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 32.7% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 8.8% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
13
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 2,141,823 | $ | (3,585,362 | ) | |||
Management fee | 1,373,770 | 1,961,177 | ||||||
Brokerage commission | 777,701 | 936,758 | ||||||
Futures account fees | 123,361 | 782,688 | ||||||
Net realized gain (loss) | (182,241,208 | ) | 280,979,531 | |||||
Change in net unrealized appreciation (depreciation) | 2,037,527 | (35,000,884 | ) | |||||
Net Income (loss) | $ | (178,061,858 | ) | $ | 242,393,285 | |||
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2023.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 13,814,796 | $ | 2,362,849 | ||||
NAV end of period | $ | 9,915,083 | $ | 2,099,705 | ||||
Percentage change in NAV | (28.2 | )% | (11.1 | )% | ||||
Shares outstanding beginning of period | 399,970 | 49,970 | ||||||
Shares outstanding end of period | 299,970 | 49,970 | ||||||
Percentage change in shares outstanding | (25.0 | )% | — | % | ||||
Shares created | 50,000 | — | ||||||
Shares redeemed | 150,000 | — | ||||||
Per share NAV beginning of period | $ | 34.54 | $ | 47.29 | ||||
Per share NAV end of period | $ | 33.05 | $ | 42.02 | ||||
Percentage change in per share NAV | (4.3 | )% | (11.1 | )% | ||||
Percentage change in benchmark | (1.16 | )% | (5.5 | )% | ||||
Benchmark annualized volatility | 12.37 | % | 7.1 | % | ||||
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,970 outstanding Shares at December 31, 2022 to 299,970 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022.
For the three months ended March 31, 2023 and 2022, 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 4.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended March 31, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
14
The benchmark’s decline of 1.16% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 5.5% for the three months ended March 31, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 89,558 | $ | (4,556 | ) | |||
Management fee | 30,560 | 5,429 | ||||||
Net realized gain (loss) | (298,808 | ) | (117,223 | ) | ||||
Change in net unrealized appreciation (depreciation) | (494,067 | ) | (141,365 | ) | ||||
Net Income (loss) | $ | (703,317 | ) | $ | (263,144 | ) | ||
The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the three months ended March 31, 2023.
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 222,697,337 | $ | 114,167,602 | ||||
NAV end of period | $ | 144,762,563 | $ | 416,799,231 | ||||
Percentage change in NAV | (35.0 | )% | 265.1 | % | ||||
Shares outstanding beginning of period | 9,305,220 | 1,776,760 | ||||||
Shares outstanding end of period | 5,755,220 | 14,286,760 | ||||||
Percentage change in shares outstanding | (38.2 | )% | 704.1 | % | ||||
Shares created | 5,300,000 | 15,570,000 | ||||||
Shares redeemed | 8,850,000 | 3,060,000 | ||||||
Per share NAV beginning of period | $ | 23.93 | $ | 64.26 | ||||
Per share NAV end of period | $ | 25.15 | $ | 29.17 | ||||
Percentage change in per share NAV | 5.1 | % | (54.6 | )% | ||||
Percentage change in benchmark | (5.4 | )% | 36.6 | % | ||||
Benchmark annualized volatility | 30.8 | % | 46.0 | % | ||||
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 5,755,220 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 14,286,760 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM.
15
For the three months ended March 31, 2023 and 2022, 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 5.1% for the Bloombergthree months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 54.6% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s decline of 5.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 36.6% for the three months ended March 31, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 1,452,572 | $ | (585,973 | ) | |||
Management fee | 484,880 | 492,647 | ||||||
Brokerage commission | 65,757 | 77,056 | ||||||
Futures account fees | — | 70,177 | ||||||
Net realized gain (loss) | 27,614,767 | (106,482,101 | ) | |||||
Change in net unrealized appreciation (depreciation) | 10,956,230 | 1,929,042 | ||||||
Net Income (loss) | $ | 40,023,569 | $ | (105,139,032 | ) | |||
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2023.
| * | 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. |
ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
16
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 134,109,520 | $ | 242,145,130 | ||||
NAV end of period | $ | 146,981,760 | $ | 250,340,837 | ||||
Percentage change in NAV | 9.6 | % | 3.4 | % | ||||
Shares outstanding beginning of period | 4,966,856 | 978,742 | ||||||
Shares outstanding end of period | 2,066,856 | 3,868,619 | ||||||
Percentage change in shares outstanding | (58.4 | )% | 295.3 | % | ||||
Shares created | 7,250,000 | 4,640,000 | ||||||
Shares redeemed | 10,150,000 | 1,750,123 | ||||||
Per share NAV beginning of period | $ | 27.00 | $ | 247.40 | ||||
Per share NAV end of period | $ | 71.11 | $ | 64.71 | ||||
Percentage change in per share NAV | 163.4 | % | (73.9 | )% | ||||
Percentage change in benchmark | (50.4 | )% | 58.4 | % | ||||
Benchmark annualized volatility | 78.6 | % | 72.9 | % | ||||
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,066,856 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 3,868,619 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.
For the three months ended September 30, 2017March 31, 2023 and 2016,2022, 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 163.4% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 73.9% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s decline of 50.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 58.4% for the three months ended March 31, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 650,640 | $ | (837,419 | ) | |||
Management fee | 296,862 | 542,364 | ||||||
Brokerage commission | 209,641 | 220,951 | ||||||
Futures account fees | 29,609 | 129,929 | ||||||
Net realized gain (loss) | 183,405,966 | (114,724,308 | ) | |||||
Change in net unrealized appreciation (depreciation) | (44,959,798 | ) | (87,787,071 | ) | ||||
Net Income (loss) | $ | 139,096,808 | $ | (203,348,798 | ) | |||
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas, during the three months ended March 31, 2023.
| * | 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 Natural Gas. |
17
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 75,113,179 | $ | 54,263,045 | ||||
NAV end of period | $ | 59,537,260 | $ | 50,498,084 | ||||
Percentage change in NAV | (20.7 | )% | (6.9 | )% | ||||
Shares outstanding beginning of period | 2,550,000 | 2,100,000 | ||||||
Shares outstanding end of period | 2,050,000 | 1,850,000 | ||||||
Percentage change in shares outstanding | (19.6 | )% | (11.9 | )% | ||||
Shares created | 100,000 | 50,000 | ||||||
Shares redeemed | 600,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 29.46 | $ | 25.84 | ||||
Per share NAV end of period | $ | 29.04 | $ | 27.30 | ||||
Percentage change in per share NAV | (1.4 | )% | 5.6 | % | ||||
Percentage change in benchmark | 1.31 | % | (2.8 | )% | ||||
Benchmark annualized volatility | 9.21 | % | 8.6 | % | ||||
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 2,050,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.6%1.4% for the three months ended September 30, 2017,March 31, 2023, as compared to the Fund’s per Share NAV decreaseincrease of 2.4%5.6% for the three months ended September 30, 2016,March 31, 2022, was primarily due to a greater depreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on 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.March 31, 2023.
The benchmark’s rise of 11.2%1.31% for the three months ended September 30, 2017,March 31, 2023, as compared to the benchmark’s decline of 5.0%2.8% for the three months ended September 30, 2016,March 31, 2022, can be attributed to an increase in the pricevalue of WTI Crude Oilthe euro versus the U.S. dollar during the three monthsperiod ended September 30, 2017.March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| 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 | |||
18
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 485,552 | $ | (102,051 | ) | |||
Management fee | 161,568 | 117,456 | ||||||
Net realized gain (loss) | (1,407,311 | ) | 2,753,108 | |||||
Change in net unrealized appreciation (depreciation) | 141,211 | 268,741 | ||||||
Net Income (loss) | $ | (780,548 | ) | $ | 2,919,798 | |||
The Fund’s net income decreased for the three months ended September 30, 2017,March 31, 2023 as compared to the three months ended September 30, 2016,March 31, 2022, primarily due to an increase in the pricevalue of WTI Crude Oilthe euro versus the U.S. dollar during the three months ended September 30, 2017.March 31, 2023.
ProShares UltraPro 3x Short Crude Oil ETFUltraShort Gold
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:March 31, 2023 and 2022:
| Three Months Ended September 30, 2017 | ||||
NAV beginning of period | $ | 5,292,315 | ||
NAV end of period | $ | 15,768,728 | ||
Percentage change in NAV | 198.0 | % | ||
Shares outstanding beginning of period | 200,008 | |||
Shares outstanding end of period | 900,008 | |||
Percentage change in shares outstanding | 350.0 | % | ||
Shares created | 700,000 | |||
Shares redeemed | — | |||
Per share NAV beginning of period | $ | 26.46 | ||
Per share NAV end of period | $ | 17.52 | ||
Percentage change in per share NAV | (33.8 | )% | ||
Percentage change in benchmark | 11.2 | % | ||
Benchmark annualized volatility | 25.6 | % | ||
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 Three Months Ended
March 31, 2023 Three Months Ended
March 31, 2022 $ 15,456,037 $ 26,859,844 $ 16,049,273 $ 32,598,451 3.8 % 21.4 % 496,977 846,977 596,977 1,196,977 20.1 % 41.3 % 300,000 450,000 200,000 100,000 $ 31.10 $ 31.71 $ 26.88 $ 27.23 (13.6 )% (14.1 )% 8.1 % 6.6 % 15.7 % 17.3 %
During the three months ended September 30, 2017,March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 200,008496,977 outstanding Shares at June 30, 2017December 31, 2022 to 900,008596,977 outstanding Shares at September 30, 2017.March 31, 2023. 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 3x oftwo times the inverse(-2x) of the daily performance of the Bloomberg WTI Crude OilGold SubindexSM.
For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.
The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil By comparison, during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information forMarch 31, 2022, the Fund for the three months ended September 30, 2017:
| Three Months Ended September 30, 2017 | ||||
Net investment income (loss) | $ | (34,013 | ) | |
Brokerage commissions | 9,395 | |||
Offering costs | 37,405 | |||
Limitation by Sponsor | (12,787 | ) | ||
Net realized gain (loss) | (1,540,337 | ) | ||
Change in net unrealized appreciation/depreciation | (2,178,096 | ) | ||
Net income (loss) | $ | (3,752,446 | ) | |
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 7,455,967 | $ | 2,550,965 | ||||
NAV end of period | $ | 5,921,434 | $ | 6,349,132 | ||||
Percentage change in NAV | (20.6 | )% | 148.9 | % | ||||
Shares outstanding beginning of period | 224,832 | 74,832 | ||||||
Shares outstanding end of period | 174,832 | 174,832 | ||||||
Percentage change in shares outstanding | (22.2 | )% | 133.6 | % | ||||
Shares created | 150,000 | 400,000 | ||||||
Shares redeemed | 200,000 | 300,000 | ||||||
Per share NAV beginning of period | $ | 33.16 | $ | 34.09 | ||||
Per share NAV end of period | $ | 33.87 | $ | 36.32 | ||||
Percentage change in per share NAV | 2.1 | % | 6.5 | % | ||||
Percentage change in benchmark | (4.1 | )% | (8.0 | )% | ||||
Benchmark annualized volatility | 29.6 | % | 36.5 | % | ||||
During the three months ended September 30, 2017, the decreaseincrease in the Fund’s NAV resulted primarily from a decreasean increase from 224,832846,977 outstanding Shares at June 30, 2017December 31, 2021 to 174,8321,196,977 outstanding Shares at September 30, 2017.March 31, 2022. 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 two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.6% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 14.1% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023.
19
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 94,828 | $ | (61,130 | ) | |||
Management fee | 36,373 | 66,138 | ||||||
Brokerage commission | 1,361 | 2,811 | ||||||
Futures account fees | — | 1,866 | ||||||
Net realized gain (loss) | (1,030,881 | ) | (6,308,669 | ) | ||||
Change in net unrealized appreciation (depreciation) | (655,702 | ) | 2,028,779 | |||||
Net Income (loss) | $ | (1,591,755 | ) | $ | (4,341,020 | ) | ||
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a greater increase in the value of the futures prices during the three months ended March 31, 2023.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 31,932,799 | $ | 26,537,000 | ||||
NAV end of period | $ | 20,335,691 | $ | 23,406,516 | ||||
Percentage change in NAV | (36.3 | )% | (11.8 | )% | ||||
Shares outstanding beginning of period | 1,641,329 | 991,329 | ||||||
Shares outstanding end of period | 1,091,329 | 1,091,329 | ||||||
Percentage change in shares outstanding | (33.5 | )% | 10.1 | % | ||||
Shares created | 650,000 | 1,100,000 | ||||||
Shares redeemed | 1,200,000 | 1,000,000 | ||||||
Per share NAV beginning of period | $ | 19.46 | $ | 26.77 | ||||
Per share NAV end of period | $ | 18.63 | $ | 21.45 | ||||
Percentage change in per share NAV | (4.2 | )% | (19.9 | )% | ||||
Percentage change in benchmark | 0.8 | % | 7.5 | % | ||||
Benchmark annualized volatility | 27.6 | % | 31.9 | % | ||||
During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 1,091,329 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural GasSilver SubindexSM. By comparison, during the three months ended September 30, 2016,March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,091,329 outstanding Shares at March 31, 2022.
For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023.
20
The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of the silver futures contracts during the period ended March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
Net investment income (loss) | $ | 134,207 | $ | (60,608 | ) | |||
Management fee | 60,168 | 60,953 | ||||||
Brokerage commission | 5,703 | 5,301 | ||||||
Futures account fees | — | 3,274 | ||||||
Net realized gain (loss) | 2,713,623 | (7,373,936 | ) | |||||
Change in net unrealized appreciation (depreciation) | (1,183,236 | ) | 1,789,652 | |||||
Net Income (loss) | $ | 1,664,594 | $ | (5,644,892 | ) | |||
The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022:
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 21,397,736 | $ | 24,840,784 | ||||
NAV end of period | $ | 25,111,818 | $ | 27,726,701 | ||||
Percentage change in NAV | 17.4 | % | 11.6 | % | ||||
Shares outstanding beginning of period | 398,580 | 598,580 | ||||||
Shares outstanding end of period | 448,580 | 598,580 | ||||||
Percentage change in shares outstanding | 12.5 | % | — | % | ||||
Shares created | 200,000 | 200,000 | ||||||
Shares redeemed | 150,000 | 200,000 | ||||||
Per share NAV beginning of period | $ | 53.68 | $ | 41.50 | ||||
Per share NAV end of period | $ | 55.98 | $ | 46.32 | ||||
Percentage change in per share NAV | 4.3 | % | 11.6 | % | ||||
Percentage change in benchmark | (1.16 | )% | (5.5 | )% | ||||
Benchmark annualized volatility | 12.37 | % | 7.1 | % | ||||
During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 74,832398,580 outstanding Shares at June 30, 2016December 31, 2022 to 174,832448,580 outstanding Shares at September 30, 2016.March 31, 2023. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, (beforebefore fees and expenses)expenses, that correspond to 2x oftwo times the inverse(-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022.
21
For the three months ended September 30, 2017March 31, 2023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.1%4.3% for the three months ended September 30, 2017,March 31, 2023, as compared to the Fund’s per Share NAV increase of 6.5%11.6% for the three months ended September 30, 2016,March 31, 2022, was primarily due to a lesser appreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on 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.March 31, 2023.
The benchmark’s decline of 4.1%1.16% for the three months ended September 30, 2017,March 31, 2023, as compared to the benchmark’s decline of 8.0%5.5% for the three months ended September 30, 2016,March 31, 2022, can be attributed to a lesser decrease in the pricevalue of Henry Hub Natural Gasthe Japanese yen versus the U.S. dollar during the three monthsperiod ended September 30, 2017.March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
Net investment income (loss) | $ | (13,899 | ) | $ | (19,256 | ) | $ | 153,388 | $ | (50,421 | ) | |||||
Management fee | 18,019 | 13,043 | 50,812 | 59,820 | ||||||||||||
Brokerage commissions | 7,316 | 8,608 | ||||||||||||||
Net realized gain (loss) | (151,443 | ) | (101,563 | ) | (1,027,976 | ) | 1,183,144 | |||||||||
Change in net unrealized appreciation/depreciation | 615,756 | 712,823 | ||||||||||||||
Net income (loss) | $ | 450,414 | $ | 592,004 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 1,859,501 | 1,438,464 | ||||||||||||||
Net Income (loss) | $ | 984,913 | $ | 2,571,187 | ||||||||||||
The Fund’s net income decreased for the three months ended September 30, 2017,March 31, 2023 as compared to the three months ended September 30, 2016,March 31, 2022, primarily due to a lesser decrease in the price of Henry Hub Natural Gas, during the three months ended September 30, 2017.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 37,919,363 | $ | 56,037,110 | ||||
NAV end of period | $ | 35,426,783 | $ | 76,364,786 | ||||
Percentage change in NAV | (6.6 | )% | 36.3 | % | ||||
Shares outstanding beginning of period | 496,978 | 796,978 | ||||||
Shares outstanding end of period | 496,978 | 1,096,978 | ||||||
Percentage change in shares outstanding | 0.0 | % | 37.6 | % | ||||
Shares created | 50,000 | 300,000 | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 76.30 | $ | 70.31 | ||||
Per share NAV end of period | $ | 71.28 | $ | 69.61 | ||||
Percentage change in per share NAV | (6.6 | )% | (1.0 | )% | ||||
Percentage change in benchmark | 3.3 | % | 0.1 | % | ||||
Benchmark annualized volatility | 10.6 | % | 10.8 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 796,978 outstanding Shares at June 30, 2016 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.6% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.
The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, 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) | $ | (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 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.
ProShares UltraShort 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 | $ | 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 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 666,976 outstanding Shares at June 30, 2017 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 966,976 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.7% 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 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.
The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (2,336 | ) | $ | (64,078 | ) | ||
Management fee | 46,737 | 86,864 | ||||||
Brokerage commissions | 10 | 8 | ||||||
Net realized gain (loss) | (467,217 | ) | (14,865,805 | ) | ||||
Change in net unrealized appreciation/depreciation | (393,727 | ) | 9,509,304 | |||||
Net income (loss) | $ | (863,280 | ) | $ | (5,420,579 | ) | ||
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 10,433,992 | $ | 17,125,648 | ||||
NAV end of period | $ | 8,093,438 | $ | 14,775,779 | ||||
Percentage change in NAV | (22.4 | )% | (13.7 | )% | ||||
Shares outstanding beginning of period | 250,000 | 400,000 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | (12.5 | )% | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | 50,000 | ||||||
Per share NAV beginning of period | $ | 41.74 | $ | 42.81 | ||||
Per share NAV end of period | $ | 40.47 | $ | 42.22 | ||||
Percentage change in per share NAV | (3.0 | )% | (1.4 | )% | ||||
Percentage change in benchmark | 3.5 | % | 1.2 | % | ||||
Benchmark annualized volatility | 7.3 | % | 5.9 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.
The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,071 | ) | $ | (29,155 | ) | ||
Management fee | 21,606 | 36,752 | ||||||
Brokerage commissions | 330 | 580 | ||||||
Net realized gain (loss) | (599,589 | ) | 327,210 | |||||
Change in net unrealized appreciation/depreciation | 292,113 | (487,210 | ) | |||||
Net income (loss) | $ | (310,547 | ) | $ | (189,155 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 11,974,974 | $ | 18,713,405 | ||||
NAV end of period | $ | 9,125,205 | $ | 17,389,549 | ||||
Percentage change in NAV | (23.8 | )% | (7.1 | )% | ||||
Shares outstanding beginning of period | 250,000 | 350,000 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (20.0 | )% | 0.0 | % | ||||
Shares created | — | — | ||||||
Shares redeemed | 50,000 | — | ||||||
Per share NAV beginning of period | $ | 47.90 | $ | 53.47 | ||||
Per share NAV end of period | $ | 45.63 | $ | 49.68 | ||||
Percentage change in per share NAV | (4.7 | )% | (7.1 | )% | ||||
Percentage change in benchmark | 2.1 | % | 2.7 | % | ||||
Benchmark annualized volatility | 7.3 | % | 9.7 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share.
The benchmark’s rise of 2.1% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 2.7% for the three months ended September 30, 2016, can be attributed to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,456 | ) | $ | (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 | ) | ||
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 value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.
ProShares UltraShort 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 | $ | 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 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 10,250,000 outstanding Shares at June 30, 2017 to 10,450,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share.
The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | 22,669 | $ | (657,657 | ) | |||
Management fee | 537,193 | 906,488 | ||||||
Net realized gain (loss) | (24,506,914 | ) | (5,535,442 | ) | ||||
Change in net unrealized appreciation/depreciation | 10,108,092 | (2,516,227 | ) | |||||
Net income (loss) | $ | (14,376,153 | ) | $ | (8,709,326 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 170,316,152 | $ | 193,732,080 | ||||
NAV end of period | $ | 148,459,101 | $ | 263,899,544 | ||||
Percentage change in NAV | (12.8 | )% | 36.2 | % | ||||
Shares outstanding beginning of period | 2,299,290 | 3,049,290 | ||||||
Shares outstanding end of period | 1,999,290 | 4,349,290 | ||||||
Percentage change in shares outstanding | (13.0 | )% | 42.6 | % | ||||
Shares created | 150,000 | 1,300,000 | ||||||
Shares redeemed | 450,000 | — | ||||||
Per share NAV beginning of period | $ | 74.07 | $ | 63.53 | ||||
Per share NAV end of period | $ | 74.26 | $ | 60.68 | ||||
Percentage change in per share NAV | 0.3 | % | (4.5 | )% | ||||
Percentage change in benchmark | —^ | 1.8 | % | |||||
Benchmark annualized volatility | 8.3 | % | 13.4 | % | ||||
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, 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% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended September 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.
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) | $ | 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 | ) | ||
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 decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.
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.March 31, 2023.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form10-Q regarding the |
ProShares UltraPro 3x Crude OilVIX Mid-Term Futures 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:March 31, 2023 and 2022:
| 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 | % | ||
22
| Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||
NAV beginning of period | $ | 84,014,959 | $ | 112,875,680 | ||||
NAV end of period | $ | 67,306,087 | $ | 97,869,914 | ||||
Percentage change in NAV | (19.9 | )% | (13.4 | )% | ||||
Shares outstanding beginning of period | 2,762,403 | 3,687,403 | ||||||
Shares outstanding end of period | 2,512,403 | 3,112,403 | ||||||
Percentage change in shares outstanding | (9.1 | )% | (15.6 | )% | ||||
Shares created | 275,000 | 700,000 | ||||||
Shares redeemed | 525,000 | 1,275,000 | ||||||
Per share NAV beginning of period | $ | 30.41 | $ | 30.61 | ||||
Per share NAV end of period | $ | 26.79 | $ | 31.45 | ||||
Percentage change in per share NAV | (11.9 | )% | 2.7 | % | ||||
Percentage change in benchmark | (11.4 | )% | 3.3 | % | ||||
Benchmark annualized volatility | 36.4 | % | 32.8 | % | ||||
During the three months ended September 30, 2017,March 31, 2023, the decrease in the Fund’s NAV resulted primarily 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, (beforebefore fees and expenses)expenses, that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the three months ended September 30, 2017,S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s daily performance hadNAV also resulted in part from a statistical correlation over 0.99decrease from 2,762,403 outstanding Shares at December 31, 2022 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, 20172,512,403 outstanding Shares 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 OilMarch 31, 2023. By comparison, 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,March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,492,1693,687,403 outstanding Shares at June 30, 2017December 31, 2021 to 5,842,1693,112,403 outstanding Shares at September 30, 2017.March 31, 2022. 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 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.S&P 500 VIX Mid-Term Futures Index.
For the three months ended September 30, 2017March 31, 2023 and 2016,2022, 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%11.9% for the three months ended September 30, 2017,March 31, 2023, as compared to the Fund’s per Share NAV decreaseincrease of 18.4%2.7% for the three months ended September 30, 2016,March 31, 2022, was primarily due to a lesser depreciation in the value of the assets ofheld by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on 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.March 31, 2023.
The benchmark’s decline of 4.1%11.4% for the three months ended September 30, 2017,March 31, 2023, as compared to the benchmark’s declinerise of 8.0%3.3% for the three months ended September 30, 2016,March 31, 2022, can be attributed to a lesser decrease in the pricevalue of Henry Hub Natural Gasthe futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the three monthsperiod ended September 30, 2017.March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
Net investment income (loss) | $ | (42,774 | ) | $ | (93,432 | ) | $ | 477,188 | $ | (252,097 | ) | |||||
Management fee | 110,894 | 85,894 | 150,123 | 215,663 | ||||||||||||
Brokerage commissions | 24,919 | 25,652 | ||||||||||||||
Brokerage commission | 9,169 | 24,869 | ||||||||||||||
Futures account fees | 11,440 | 35,488 | ||||||||||||||
Net realized gain (loss) | (2,015,002 | ) | 1,964,675 | (15,820,720 | ) | 4,791,497 | ||||||||||
Change in net unrealized appreciation/depreciation | (1,076,819 | ) | (8,407,770 | ) | ||||||||||||
Net income (loss) | $ | (3,134,595 | ) | $ | (6,536,527 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 4,582,460 | (473,835 | ) | |||||||||||||
Net Income (loss) | $ | (10,761,072 | ) | $ | 4,065,565 | |||||||||||
The Fund’s net income increaseddecreased for the three months ended September 30, 2017,March 31, 2023 as compared to the three months ended September 30, 2016,March 31, 2022, primarily due to a lesser decrease in the pricevalue of Henry Hub Natural Gasthe futures prices during the three months ended September 30, 2017.March 31, 2023.
23
ProShares Ultra GoldVIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017March 31, 2023 and 2016:2022:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
NAV beginning of period | $ | 88,717,834 | $ | 100,789,893 | $ | 266,580,320 | $ | 269,703,164 | ||||||||
NAV end of period | $ | 89,587,943 | $ | 99,949,269 | $ | 226,765,204 | $ | 404,950,400 | ||||||||
Percentage change in NAV | 1.0 | % | (0.8 | )% | (14.9 | )% | 50.1 | % | ||||||||
Shares outstanding beginning of period | 2,350,000 | 2,250,000 | 23,382,826 | 17,832,826 | ||||||||||||
Shares outstanding end of period | 2,250,000 | 2,250,000 | 25,107,826 | 24,382,826 | ||||||||||||
Percentage change in shares outstanding | (4.3 | )% | 0.0 | % | 7.4 | % | 36.7 | % | ||||||||
Shares created | 50,000 | 50,000 | 11,500,000 | 9,950,000 | ||||||||||||
Shares redeemed | 150,000 | 50,000 | 9,775,000 | 3,400,000 | ||||||||||||
Per share NAV beginning of period | $ | 37.75 | $ | 44.80 | $ | 11.40 | $ | 15.12 | ||||||||
Per share NAV end of period | $ | 39.82 | $ | 44.42 | $ | 9.03 | $ | 16.61 | ||||||||
Percentage change in per share NAV | 5.5 | % | (0.8 | )% | (20.8 | )% | 9.9 | % | ||||||||
Percentage change in benchmark | 3.3 | % | 0.1 | % | (20.3 | )% | 10.2 | % | ||||||||
Benchmark annualized volatility | 10.6 | % | 10.8 | % | 68.1 | % | 86.4 | % | ||||||||
During the three months ended September 30, 2017,March 31, 2023, the increasedecrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, (beforebefore 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 three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (1,256 | ) | $ | (16,659 | ) | ||
Management fee | 31,427 | 22,916 | ||||||
Net realized gain (loss) | 1,259,650 | 46,258 | ||||||
Change in net unrealized appreciation/depreciation | (519,604 | ) | 116,211 | |||||
Net income (loss) | $ | 738,790 | $ | 145,810 | ||||
The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 5,866,403 | $ | 7,265,264 | ||||
NAV end of period | $ | 5,804,920 | $ | 7,443,729 | ||||
Percentage change in NAV | (1.0 | )% | 2.5 | % | ||||
Shares outstanding beginning of period | 99,970 | 99,970 | ||||||
Shares outstanding end of period | 99,970 | 99,970 | ||||||
Percentage change in shares outstanding | 0.0 | % | 0.0 | % | ||||
Shares created | — | — | ||||||
Shares redeemed | — | — | ||||||
Per share NAV beginning of period | $ | 58.68 | $ | 72.67 | ||||
Per share NAV end of period | $ | 58.07 | $ | 74.46 | ||||
Percentage change in per share NAV | (1.0 | )% | 2.5 | % | ||||
Percentage change in benchmark | —^ | 1.8 | % | |||||
Benchmark annualized volatility | 8.3 | % | 13.4 | % | ||||
During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.
For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.
During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.
The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:
| Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (4,166 | ) | $ | (12,886 | ) | ||
Management fee | 14,387 | 17,545 | ||||||
Net realized gain (loss) | (4,545 | ) | 955,119 | |||||
Change in net unrealized appreciation/depreciation | (52,772 | ) | (763,768 | ) | ||||
Net income (loss) | $ | (61,483 | ) | $ | 178,465 | |||
The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.
Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 174,160,146 | $ | 105,272,823 | ||||
NAV end of period | $ | 191,364,819 | $ | 227,819,218 | ||||
Percentage change in NAV | 9.9 | % | 116.4 | % | ||||
Shares outstanding beginning of period | 2,052,363 | 397,491 | ||||||
Shares outstanding end of period | 5,876,317 | 1,996,113 | ||||||
Percentage change in shares outstanding | 186.3 | % | 402.2 | % | ||||
Shares created | 6,125,000 | 2,497,500 | ||||||
Shares redeemed | 2,301,046 | 898,878 | ||||||
Per share NAV beginning of period | $ | 84.86 | $ | 264.84 | ||||
Per share NAV end of period | $ | 32.57 | $ | 114.13 | ||||
Percentage change in per share NAV | (61.6 | )% | (56.9 | )% | ||||
Percentage change in benchmark | (61.5 | )% | (56.7 | )% | ||||
Benchmark annualized volatility | 53.1 | % | 78.7 | % | ||||
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses)expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.
The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (356,273 | ) | $ | (1,116,018 | ) | ||
Management fee | 1,004,091 | 1,210,844 | ||||||
Brokerage commission | 138,487 | 229,993 | ||||||
Net realized gain (loss) | (126,203,648 | ) | (134,339,691 | ) | ||||
Change in net unrealized appreciation/depreciation | (17,854,285 | ) | (8,439,809 | ) | ||||
Net income (loss) | $ | (144,414,206 | ) | $ | (143,895,518 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 30, 2017.
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 1,087,40323,382,826 outstanding Shares at December 31, 20162022 to 1,787,40325,107,826 outstanding Shares at September 30, 2017.March 31, 2023. By comparison, during the ninethree months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at DecemberMarch 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, 2017,2022, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,00017,832,826 outstanding Shares at December 31, 20162021 to 11,100,00024,382,826 outstanding Shares at September 30, 2017.March 31, 2022. 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 of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 25,300,080 outstanding Shares at December 31, 2015 to 13,900,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the ninethree months ended September 30, 2017March 31, 2023 and 2016,2022, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse ofto the daily performance of its benchmark. The Fund’s per Share NAV increasedecrease of 105.3%20.8% for the ninethree months ended September 30, 2017,March 31, 2023, as compared to the Fund’s per Share NAV increase of 42.9%9.9% for the ninethree months ended September 30, 2016,March 31, 2022, was primarily due to a greater declinedeprecation in pricesthe value of the first and second month VIX futuresassets held by the Fund during the ninethree 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.March 31, 2023.
The benchmark’s decline of 61.5%20.3% for the ninethree months ended September 30, 2017,March 31, 2023, as compared to the benchmark’s declinerise of 56.7%10.2% for the ninethree months ended September 30, 2016,March 31, 2022, can be attributed to a greater decline ofdecrease in the pricesvalue of the near-term futures contracts on the VIX futures curve during the nine monthsperiod ended September 30, 2017.March 31, 2023.
Net Income/Loss
The following table provides summary income information for the Fund for the ninethree months ended September 30, 2017March 31, 2023 and 2016:2022:
| 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, the increase in the Fund’s NAV resulted from an increase from 2,965,383 outstanding Shares at December 31, 2016 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 2,185,383 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.1% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $147.20 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $5,715.40 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.
The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (3,866,250 | ) | $ | (7,007,927 | ) | ||
Management fee | 2,880,339 | 5,006,558 | ||||||
Brokerage commission | 2,819,322 | 3,228,763 | ||||||
Net realized gain (loss) | (646,063,604 | ) | (1,269,208,841 | ) | ||||
Change in net unrealized appreciation/depreciation | (93,756,755 | ) | (51,154,812 | ) | ||||
Net income (loss) | $ | (743,686,609 | ) | $ | (1,327,371,580 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 200,958,303 | $ | 95,897,894 | ||||
NAV end of period | $ | 238,227,025 | $ | 189,577,580 | ||||
Percentage change in NAV | 18.5 | % | 97.7 | % | ||||
Shares outstanding beginning of period | 6,339,884 | 1,439,888 | ||||||
Shares outstanding end of period | 7,089,884 | 4,739,884 | ||||||
Percentage change in shares outstanding | 11.8 | % | 229.2 | % | ||||
Shares created | 10,700,000 | 13,100,000 | ||||||
Shares redeemed | 9,950,000 | 9,800,004 | ||||||
Per share NAV beginning of period | $ | 31.70 | $ | 66.60 | ||||
Per share NAV end of period | $ | 33.60 | $ | 40.00 | ||||
Percentage change in per share NAV | 6.0 | % | (39.9 | )% | ||||
Percentage change in benchmark | (9.4 | )% | (0.3 | )% | ||||
Benchmark annualized volatility | 25.4 | % | 47.3 | % | ||||
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,739,884 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $116.11 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.
The benchmark’s decline of 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (426,772 | ) | $ | (1,070,888 | ) | ||
Management fee | 1,374,438 | 1,291,075 | ||||||
Brokerage commission | 50,772 | 125,327 | ||||||
Net realized gain (loss) | 49,805,940 | (36,901,010 | ) | |||||
Change in net unrealized appreciation/depreciation | (5,398,492 | ) | (29,797,685 | ) | ||||
Net income (loss) | $ | 43,980,676 | $ | (67,769,583 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.
ProShares UltraPro 3x Short Crude Oil ETF
Fund Performance
Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.
The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:
| March 24, 2017 (Commencement of Operations) through September 30, 2017 | ||||
NAV beginning of period | $ | 200 | ||
NAV end of period | $ | 15,768,728 | ||
Percentage change in NAV | NM | |||
Shares outstanding beginning of period | 8 | |||
Shares outstanding end of period | 900,008 | |||
Percentage change in shares outstanding | NM | |||
Shares created | 1,050,008 | |||
Shares redeemed | 150,000 | |||
Per share NAV beginning of period | $ | 25.00 | ||
Per share NAV end of period | $ | 17.52 | ||
Percentage change in per share NAV | (29.9 | )% | ||
Percentage change in benchmark | (4.8 | )% | ||
Benchmark annualized volatility | 26.1 | % | ||
NM — Not Meaningful
During the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 900,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.
During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.
The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:
| March 24, 2017 (Commencement of Operations) through September 30, 2017 | ||||
Net investment income (loss) | $ | (59,643 | ) | |
Brokerage commission | 17,296 | |||
Offering costs | 77,250 | |||
Limitation by Sponsor | (34,903 | ) | ||
Net realized gain (loss) | 232,006 | |||
Change in net unrealized appreciation/depreciation | (2,423,370 | ) | ||
Net income (loss) | $ | (2,251,007 | ) | |
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 4,038,794 | $ | 10,462,856 | ||||
NAV end of period | $ | 5,921,434 | $ | 6,349,132 | ||||
Percentage change in NAV | 46.6 | % | (39.3 | )% | ||||
Shares outstanding beginning of period | 174,832 | 224,856 | ||||||
Shares outstanding end of period | 174,832 | 174,832 | ||||||
Percentage change in shares outstanding | 0.0 | % | (22.2 | )% | ||||
Shares created | 300,000 | 850,000 | ||||||
Shares redeemed | 300,000 | 900,024 | ||||||
Per share NAV beginning of period | $ | 23.10 | $ | 46.53 | ||||
Per share NAV end of period | $ | 33.87 | $ | 36.32 | ||||
Percentage change in per share NAV | 46.6 | % | (21.9 | )% | ||||
Percentage change in benchmark | (27.9 | )% | (5.9 | )% | ||||
Benchmark annualized volatility | 34.64 | % | 39.6 | % | ||||
During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas SubindexSM.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 46.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 21.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.
The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | Three Months Ended March 31, 2023 | Three Months Ended March 31, 2022 | |||||||||||||
Net investment income (loss) | $ | (44,874 | ) | $ | (107,463 | ) | $ | 1,455,917 | $ | (952,113 | ) | |||||
Management fee | 51,110 | 70,066 | 517,488 | 705,691 | ||||||||||||
Brokerage commission | 19,673 | 53,910 | 96,497 | 116,474 | ||||||||||||
Futures account fees | 50,659 | 200,657 | ||||||||||||||
Net realized gain (loss) | 1,755,918 | 458,954 | (46,096,694 | ) | 53,734,224 | |||||||||||
Change in net unrealized appreciation/depreciation | 830,801 | 2,803,491 | ||||||||||||||
Net income (loss) | $ | 2,541,845 | $ | 3,154,982 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 1,130,026 | (13,448,381 | ) | |||||||||||||
Net Income (loss) | $ | (43,510,751 | ) | $ | 39,333,730 | |||||||||||
The Fund’s net income decreased for the ninethree months ended September 30, 2017,March 31, 2023 as compared to the ninethree months ended September 30, 2016,March 31, 2022, primarily due to a greater decrease in the price of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstanding during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 63,653,647 | $ | 74,971,764 | ||||
NAV end of period | $ | 35,426,783 | $ | 76,364,786 | ||||
Percentage change in NAV | (44.3 | )% | 1.9 | % | ||||
Shares outstanding beginning of period | 696,978 | 646,978 | ||||||
Shares outstanding end of period | 496,978 | 1,096,978 | ||||||
Percentage change in shares outstanding | (28.7 | )% | 69.6 | % | ||||
Shares created | 300,000 | 1,000,000 | ||||||
Shares redeemed | 500,000 | 550,000 | ||||||
Per share NAV beginning of period | $ | 91.33 | $ | 115.88 | ||||
Per share NAV end of period | $ | 71.28 | $ | 69.61 | ||||
Percentage change in per share NAV | (22.0 | )% | (39.9 | )% | ||||
Percentage change in benchmark | 12.0 | % | 24.8 | % | ||||
Benchmark annualized volatility | 11.7 | % | 17.0 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fundfutures prices during the ninethree months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.
The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:March 31, 2023.
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (66,015 | ) | $ | (350,865 | ) | ||
Management fee | 268,125 | 469,612 | ||||||
Brokerage commission | 39 | 33 | ||||||
Net realized gain (loss) | (10,940,120 | ) | (29,965,948 | ) | ||||
Change in net unrealized appreciation/depreciation | (99,988 | ) | (225,049 | ) | ||||
Net income (loss) | $ | (11,106,123 | ) | $ | (30,541,862 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.24
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017Item 3. Quantitative and 2016:Qualitative Disclosures About Market Risk.
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 23,017,656 | $ | 55,987,938 | ||||
NAV end of period | $ | 22,933,677 | $ | 39,589,348 | ||||
Percentage change in NAV | (0.4 | )% | (29.3 | )% | ||||
Shares outstanding beginning of period | 616,976 | 866,978 | ||||||
Shares outstanding end of period | 716,976 | 1,416,976 | ||||||
Percentage change in shares outstanding | 16.2 | % | 63.4 | % | ||||
Shares created | 700,000 | 1,600,000 | ||||||
Shares redeemed | 600,000 | 1,050,002 | ||||||
Per share NAV beginning of period | $ | 37.31 | $ | 64.58 | ||||
Per share NAV end of period | $ | 31.99 | $ | 27.94 | ||||
Percentage change in per share NAV | (14.3 | )% | (56.7 | )% | ||||
Percentage change in benchmark | 3.8 | % | 40.0 | % | ||||
Benchmark annualized volatility | 19.6 | % | 27.1 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.
The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (40,264 | ) | $ | (210,102 | ) | ||
Management fee | 143,542 | 281,605 | ||||||
Brokerage commission | 39 | 33 | ||||||
Net realized gain (loss) | (2,693,510 | ) | (26,657,499 | ) | ||||
Change in net unrealized appreciation/depreciation | 745,784 | (4,263,685 | ) | |||||
Net income (loss) | $ | (1,987,990 | ) | $ | (31,131,286 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 15,770,088 | $ | 17,510,898 | ||||
NAV end of period | $ | 8,093,438 | $ | 14,775,779 | ||||
Percentage change in NAV | (48.7 | )% | (15.6 | )% | ||||
Shares outstanding beginning of period | 350,000 | 400,005 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (42.9 | )% | (12.5 | )% | ||||
Shares created | — | 50,000 | ||||||
Shares redeemed | 150,000 | 100,005 | ||||||
Per share NAV beginning of period | $ | 45.06 | $ | 43.78 | ||||
Per share NAV end of period | $ | 40.47 | $ | 42.22 | ||||
Percentage change in per share NAV | (10.2 | )% | (3.6 | )% | ||||
Percentage change in benchmark | 12.3 | % | 3.4 | % | ||||
Benchmark annualized volatility | 7.4 | % | 8.3 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.
The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (36,347 | ) | $ | (95,407 | ) | ||
Management fee | 92,259 | 116,244 | ||||||
Brokerage commission | 1,433 | 2,009 | ||||||
Net realized gain (loss) | (1,335,372 | ) | (199,557 | ) | ||||
Change in net unrealized appreciation/depreciation | (26,290 | ) | (268,792 | ) | ||||
Net income (loss) | $ | (1,398,009 | ) | $ | (563,756 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 16,613,473 | $ | 20,460,679 | ||||
NAV end of period | $ | 9,125,205 | $ | 17,389,549 | ||||
Percentage change in NAV | (45.1 | )% | (15.0 | )% | ||||
Shares outstanding beginning of period | 300,000 | 350,005 | ||||||
Shares outstanding end of period | 200,000 | 350,000 | ||||||
Percentage change in shares outstanding | (33.3 | )% | —^ | |||||
Shares created | — | — | ||||||
Shares redeemed | 100,000 | 5 | ||||||
Per share NAV beginning of period | $ | 55.38 | $ | 58.46 | ||||
Per share NAV end of period | $ | 45.63 | $ | 49.68 | ||||
Percentage change in per share NAV | (17.6 | )% | (15.0 | )% | ||||
Percentage change in benchmark | 8.7 | % | 5.1 | % | ||||
Benchmark annualized volatility | 7.7 | % | 12.1 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.
The benchmark’s rise of 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (42,311 | ) | $ | (115,076 | ) | ||
Management fee | 94,837 | 136,306 | ||||||
Brokerage commission | 6,088 | 11,011 | ||||||
Net realized gain (loss) | (1,920,783 | ) | (2,462,114 | ) | ||||
Change in net unrealized appreciation/depreciation | (802,007 | ) | (493,626 | ) | ||||
Net income (loss) | $ | (2,765,101 | ) | $ | (3,070,816 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 349,392,650 | $ | 522,306,518 | ||||
NAV end of period | $ | 226,620,904 | $ | 370,915,586 | ||||
Percentage change in NAV | (35.1 | )% | (29.0 | )% | ||||
Shares outstanding beginning of period | 12,900,000 | 20,450,014 | ||||||
Shares outstanding end of period | 10,450,000 | 15,600,000 | ||||||
Percentage change in shares outstanding | (19.0 | )% | (23.7 | )% | ||||
Shares created | 1,800,000 | 650,000 | ||||||
Shares redeemed | 4,250,000 | 5,500,014 | ||||||
Per share NAV beginning of period | $ | 27.08 | $ | 25.54 | ||||
Per share NAV end of period | $ | 21.69 | $ | 23.78 | ||||
Percentage change in per share NAV | (19.9 | )% | (6.9 | )% | ||||
Percentage change in benchmark | 12.3 | % | 3.4 | % | ||||
Benchmark annualized volatility | 7.4 | % | 8.3 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.
During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.
The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (461,825 | ) | $ | (2,129,104 | ) | ||
Management fee | 1,914,770 | 2,894,802 | ||||||
Net realized gain (loss) | (45,338,431 | ) | (60,591,510 | ) | ||||
Change in net unrealized appreciation/depreciation | (12,255,062 | ) | 30,468,759 | |||||
Net income (loss) | $ | (58,055,318 | ) | $ | (32,251,855 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
NAV beginning of period | $ | 276,781,747 | $ | 237,372,900 | ||||
NAV end of period | $ | 148,459,101 | $ | 263,899,544 | ||||
Percentage change in NAV | (46.4 | )% | 11.2 | % | ||||
Shares outstanding beginning of period | 3,449,290 | 2,699,294 | ||||||
Shares outstanding end of period | 1,999,290 | 4,349,290 | ||||||
Percentage change in shares outstanding | (42.0 | )% | 61.1 | % | ||||
Shares created | 900,000 | 2,100,000 | ||||||
Shares redeemed | 2,350,000 | 450,004 | ||||||
Per share NAV beginning of period | $ | 80.24 | $ | 87.94 | ||||
Per share NAV end of period | $ | 74.26 | $ | 60.68 | ||||
Percentage change in per share NAV | (7.5 | )% | (31.0 | )% | ||||
Percentage change in benchmark | 3.9 | % | 18.5 | % | ||||
Benchmark annualized volatility | 8.7 | % | 13.0 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.5% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, was primarily due to a lesser 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 $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.
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) | $ | (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 | ) | ||
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 value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.
ProShares Ultra 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 | $ | 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 | % | ||||
During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 40,013,933 outstanding Shares at December 31, 2016 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x 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 31,163,934 outstanding Shares at December 31, 2015 to 46,613,933 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the nine months ended September 30, 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 23.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 16.4% 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 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.
The benchmark’s decline of 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:
| Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||
Net investment income (loss) | $ | (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 | |||
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 WTI Crude Oil during the nine months ended September 30, 2017.
ProShares UltraPro 3x Crude Oil ETF
Fund Performance
Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.
The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:
| March 24, 2017 (Commencement of Operations) through September 30, 2017 | ||||
NAV beginning of period | $ | 200 | ||
NAV end of period | $ | 7,581,464 | ||
Percentage change in NAV | NM | |||
Shares outstanding beginning of period | 8 | |||
Shares outstanding end of period | 300,008 | |||
Percentage change in shares outstanding | NM | |||
Shares created | 1,400,008 | |||
Shares redeemed | 1,100,000 | |||
Per share NAV beginning of period | $ | 25.00 | ||
Per share NAV end of period | $ | 25.27 | ||
Percentage change in per share NAV | 1.1 | % | ||
Percentage change in benchmark | (4.8 | )% | ||
Benchmark annualized volatility | 26.1 | % | ||
NM – Not Meaningful
During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 3x of the daily performance of the Bloomberg WTI Crude Oil SubindexSM.
For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.
During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.
The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.
Net Income/Loss
The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:
| March 24, 2017 (Commencement of Operations) through September 30, 2017 | ||||
Net investment income (loss) | $ | (99,140 | ) | |
Brokerage commission | 24,374 | |||
Offering costs | 77,250 | |||
Limitation by Sponsor | (2,484 | ) | ||
Net realized gain (loss) | 3,137,907 | |||
Change in net unrealized appreciation/depreciation | 1,272,779 | |||
Net income (loss) | $ | 4,311,546 | ||
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.
Quantitative Disclosure
Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The following tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes.and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2017March 31, 2023 and 2016,2022, each of the VIX Funds’Fund’s positions were as follows:
ProShares VIX Short-Term Futures ETF:
As of September 30, 2017 and 2016, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 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 | October 2017 | 9,373 | $ | 11.68 | 1,000 | $ | 109,429,775 | ||||||||||||||||
VIX Futures (CBOE) | Long | November 2017 | 6,252 | 13.03 | 1,000 | 81,432,300 | ||||||||||||||||||
Futures Positions as of September 30, 2016
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | October 2016 | 8,392 | $ | 15.78 | 1,000 | $ | 132,383,800 | ||||||||||||||||
VIX Futures (CBOE) | Long | November 2016 | 5,601 | 16.95 | 1,000 | 94,936,950 | ||||||||||||||||||
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 Trust’s Annual Report on Form10-K for the year ended December 31, 2016 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2017 ( the “Form10-K”) for additional information regarding performance for periods longer than a single day.
ProShares VIXMid-Term Futures ETF:
As of September 30, 2017 and 2016, the ProShares VIXMid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2017 and 2016, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2017
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | January 2018 | 582 | $ | 14.78 | 1,000 | $ | 8,599,050 | ||||||||||||||||
VIX Futures (CBOE) | Long | February 2018 | 971 | 15.23 | 1,000 | 14,783,475 | ||||||||||||||||||
VIX Futures (CBOE) | Long | March 2018 | 971 | 15.80 | 1,000 | 15,341,800 | ||||||||||||||||||
VIX Futures (CBOE) | Long | April 2018 | 388 | 16.28 | 1,000 | 6,314,700 | ||||||||||||||||||
Futures Positions as of September 30, 2016
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Long | January 2017 | 614 | $ | 18.50 | 1,000 | $ | 11,359,000 | ||||||||||||||||
VIX Futures (CBOE) | Long | February 2017 | 1,024 | 19.05 | 1,000 | 19,507,200 | ||||||||||||||||||
VIX Futures (CBOE) | Long | March 2017 | 1,023 | 19.40 | 1,000 | 19,846,200 | ||||||||||||||||||
VIX Futures (CBOE) | Long | April 2017 | 409 | 19.98 | 1,000 | 8,169,775 | ||||||||||||||||||
The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach dayto match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF:ETF
As of September 30, 2017March 31, 2023 and 2016,2022, 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, 2017March 31, 2023 and 2016,2022, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2017
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | April 2023 | 4,007 | $ | 20.76 | 1,000 | $ | (83,202,149 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | May 2023 | 2,915 | 22.13 | 1,000 | (64,504,578 | ) | |||||||||||||||||
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, 201625
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (CBOE) | Short | October 2016 | 18,688 | $ | 15.78 | 1,000 | $ | (294,803,200 | ) | |||||||||||||||
VIX Futures (CBOE) | Short | November 2016 | 12,445 | 16.95 | 1,000 | (210,942,750 | ) | |||||||||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
VIX Futures (Cboe) | Short | April 2022 | 4,910 | $ | 23.47 | 1,000 | $ | (115,232,790 | ) | |||||||||||||||
VIX Futures (Cboe) | Short | May 2022 | 5,324 | 24.99 | 1,000 | (133,034,515 | ) | |||||||||||||||||
The September 30, 2017March 31, 2023 and 20162022 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 positionsposition in Financial Instrumentseach dayto have $1.00$0.50 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one.one-half. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.
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 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 | 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 | ||||||||||||||||||
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. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
Commodity Price Sensitivity
Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 2017 and 2016, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 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 | ||||||||||||||||
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 | ) | |||||||
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 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.
ProShares UltraPro 3x Short Crude Oil ETF:
As of September 30, 2017, the ProShares UltraPro 3x Short Crude Oil ETF was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.
| Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
WTI Crude Oil (NYMEX) | Short | November 2017 | 916 | $ | 51.67 | 1,000 | $ | (47,329,720 | ) | |||||||||||||||
The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than one day.
ProShares UltraShort Bloomberg Natural Gas:
As of September 30, 2017 and 2016, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 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 | ||||||||||||||||||
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 | ) | |||||||||||||||
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 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.
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 Instrumentseach day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.
Exchange Rate Sensitivity
Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:
ProShares Short Euro:
As of September 30, 2017 and 2016, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.
| Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2017 | 55 | $ | 1.19 | 125,000 | $ | (8,156,844 | ) | |||||||||||||||
| Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Euro Fx Currency Futures (CME) | Short | December 2016 | 105 | $ | 1.13 | 125,000 | $ | (14,801,063 | ) | |||||||||||||||
The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Australian Dollar:
As of September 30, 2017 and 2016, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017 and 2016, which were sensitive to exchange rate price risk.
| Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||||
Australian Dollar Fx Currency Futures (CME) | Short | December 2017 | 232 | $ | 78.36 | 1,000 | $ | (18,179,520 | ) | |||||||||||||||
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, 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, 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 | 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 | ) | ||||||||||||
The September 30, 2017 and 2016 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the 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 UltraShort Yen:
As of September 30, 2017 and 2016, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 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 | 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 | ) | ||||||||||||
The September 30, 2017 and 2016 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instrumentseach day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two See “Item 1A. Risk Factors” in the 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.
Commodity Price Sensitivity
Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2017March 31, 2023 and 2016,2022, 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 SubindexSM.IndexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017March 31, 2023 and 2016,2022, which were sensitive to commodity price risk.
| Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||||||||||||||||||
| Futures Positions as of March 31, 2023 | Futures Positions as of March 31, 2023 | |||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | 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 | Long | June 2023 | 2,112 | $ | 75.80 | 1,000 | $ | 160,089,600 | ||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2023 | 2,182 | 73.55 | 1,000 | 160,486,100 | ||||||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2024 | 2,261 | 71.23 | 1,000 | 161,051,030 | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||
| Swap Agreements as of March 31, 2023 | ||||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Citibank, N.A. | Long | $ | 80.1009 | $ | 180,552,235 | ||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Goldman Sachs International | Long | 80.1009 | 224,484,374 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | Morgan Stanley & Co. | |||||||||||||||
Index | International PLC | Long | 80.1009 | 312,723,926 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | Societe Generale | Long | 80.1009 | 170,398,805 | ||||||||||||
Bloomberg Commodity Balanced WTI Crude Oil | ||||||||||||||||
Index | UBS AG | Long | 80.1009 | 253,675,785 | ||||||||||||
| Futures Positions as of September 30, 2016 | ||||||||||||||||||||||||||||||||||||||||
| Futures Positions as of March 31, 2022 | Futures Positions as of March 31, 2022 | |||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | 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 | Long | June 2022 | 4,115 | $ | 98.52 | 1,000 | $ | 405,409,800 | ||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | December 2022 | 4,724 | 89.60 | 1,000 | 423,270,400 | ||||||||||||||||||||||||||||||||||
WTI Crude Oil (NYMEX) | Long | June 2023 | 5,012 | 84.61 | 1,000 | 424,065,320 | ||||||||||||||||||||||||||||||||||
| 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. | 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 | ||||||||
26
| Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Citibank, N.A. | Long | $ | 89.7299 | $ | 202,256,578 | ||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Goldman Sachs International | Long | 89.7299 | 394,073,711 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Morgan Stanley & Co. International PLC | Long | 89.7299 | 350,316,746 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | Societe Generale | Long | 89.7299 | 190,882,596 | ||||||||
Bloomberg Commodity Balanced WTI Crude Oil Index | UBS AG | Long | 89.7299 | 284,170,376 | ||||||||
The September 30, 2017March 31, 2023 and 20162022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017March 31, 2023 and 20162022 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 twotwo. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregatedtri-party accounts at the Fund’s custodian bank.
ProShares UltraPro 3x Crude Oil ETF:
As of September 30, 2017, the ProShares UltraPro 3x Crude Oil ETF was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil SubindexSM. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.
| Futures Positions as of September 30, 2017 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
WTI Crude Oil (NYMEX) | Long | November 2017 | 440 | $ | 51.67 | 1,000 | $ | 22,734,800 | ||||||||||||
The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional (gains) losses associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $3.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form10-K for additional information regarding performance for periods longer than one day.
ProShares Ultra Bloomberg Natural Gas:
As of September 30, 2017March 31, 2023 and 2016,2022, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts.contracts and swap agreements linked to the Bloomberg Natural Gas SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017March 31, 2023 and 2016,2022, which were sensitive to commodity price risk.
| Futures Positions as of September 30, 2017 | ||||||||||||||||||||||||||||||||||||||||
| Futures Positions as of March 31, 2023 | Futures Positions as of March 31, 2023 | |||||||||||||||||||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | 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 | Long | May 2023 | 95,284 | $ | 2.22 | 10,000 | $ | 2,111,493,440 | ||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||
| Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Natural Gas Subindex | Citibank, N.A. | Long | $ | 0.0885 | $ | 67,247,193 | ||||||
Bloomberg Natural Gas Subindex | Goldman Sachs International | Long | 0.0885 | 100,389,846 | ||||||||
Bloomberg Natural Gas Subindex | UBS AG | Long | 0.0885 | 803,815 | ||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Natural Gas (NYMEX) | Long | May 2022 | 5,149 | $ | 5.64 | 10,000 | $ | 290,506,580 | ||||||||||||
The September 30, 2017March 31, 2023 and 20162022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, 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 Annual Report on Form10-K for additional information regarding performance for periods longer than a single day.
ProShares Ultra Gold:
As of September 30, 2017 and 2016, the ProShares Ultra Gold Fund was exposed to commodity price Swap counterparty 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) | 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) 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.
27
ProShares Ultra Silver:Euro:
As of September 30, 2017March 31, 2023 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 2016,2022, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2017March 31, 2023 and 2016,2022, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2017
| Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Euro | Goldman Sachs International | Long | 04/14/23 | 8,826,921 | 1.0680 | $ | 9,427,525 | |||||||||||
Euro | UBS AG | Long | 04/14/23 | 9,821,502 | 1.0684 | 10,492,894 | ||||||||||||
Euro | Goldman Sachs International | Short | 04/14/23 | (308,000 | ) | 1.0633 | (327,497 | ) | ||||||||||
Euro | UBS AG | Short | 04/14/23 | (2,461,000 | ) | 1.0877 | (2,676,882 | ) | ||||||||||
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
| Foreign Currency Forward Contracts as of March 31, 2022 | Foreign Currency Forward Contracts as of March 31, 2022 | |||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Euro | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||
Euro | Goldman Sachs International | Long | 10/07/16 | 9,020,825 | 1.1236 | $ | 10,135,383 | Goldman Sachs International | Long | 04/08/22 | 4,422,921 | 1.1082 | $ | 4,901,569 | ||||||||||||||||||||||||||
Euro | UBS AG | Long | 10/07/16 | 8,385,200 | 1.1236 | 9,421,224 | UBS AG | Long | 04/08/22 | 11,991,502 | 1.1091 | 13,299,566 | ||||||||||||||||||||||||||||
Euro | UBS AG | Short | 10/07/16 | (169,500 | ) | 1.1236 | (190,442 | ) | UBS AG | Short | 04/08/22 | (5,127,000 | ) | 1.1044 | (5,662,185 | ) | ||||||||||||||||||||||||
The September 30, 2017March 31, 2023 and 20162022 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 Annual Report on 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.third-party custodian.
ProShares Ultra Yen:Gold:
As of September 30, 2017March 31, 2023 and 2016,2022 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | June 2023 | 667 | $ | 1,986.20 | 100 | $ | 132,479,540 | ||||||||||||
| Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 209.1875 | $ | 115,835,052 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 209.1875 | 55,017,986 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 209.1875 | 98,916,314 | ||||||||
28
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Gold Futures (COMEX) | Long | June 2022 | 1,871 | $ | 1,954.00 | 100 | $ | 365,593,400 | ||||||||||||
| Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Long | $ | 214.4125 | $ | 118,728,333 | ||||||
Bloomberg Gold Subindex | Goldman Sachs International | Long | 214.4125 | 102,600,526 | ||||||||
Bloomberg Gold Subindex | UBS AG | Long | 214.4125 | 123,508,801 | ||||||||
The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of March 31, 2023 and 2022 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | May 2023 | 2,879 | $ | 24.16 | 5,000 | $ | 347,725,620 | ||||||||||||
| Swap Agreements as of March 31, 2023 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
| Long | $ | 211.9607 | $ | 159,299,488 | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | 211.9607 | 177,727,745 | ||||||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 211.9607 | 23,479,523 | ||||||||||
Bloomberg Silver Subindex | UBS AG | Long | 211.9607 | 149,931,926 | ||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Long | May 2022 | 1,351 | $ | 25.13 | 5,000 | $ | 169,773,415 | ||||||||||||
29
| Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Long | $ | 227.4218 | $ | 237,998,246 | ||||||
Bloomberg Silver Subindex | Goldman Sachs International | Long | 227.4218 | 249,395,557 | ||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Long | 227.4218 | 232,374,365 | ||||||||
Bloomberg Silver Subindex | UBS AG | Long | 227.4218 | 227,857,585 | ||||||||
The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of March 31, 2023 and 2022, 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 Financial Instruments as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 21,811 | $ | 20.76 | 1,000 | $ | 452,887,966 | ||||||||||||
VIX Futures (Cboe) | Long | May 2023 | 15,863 | 22.13 | 1,000 | 351,024,396 | ||||||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 33,482 | $ | 23.47 | 1,000 | $ | 785,789,058 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 36,263 | 24.99 | 1,000 | 906,128,965 | ||||||||||||||
The March 31, 2023 and 2022 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 or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares Ultra Yen:
As of March 31, 2023 and 2022, 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, 2017March 31, 2023 and 2016,2022, 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
| Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||
Yen | Goldman Sachs International | Long | 04/14/23 | 1,492,519,517 | 0.007400 | $ | 11,044,802 | |||||||||||
Yen | UBS AG | Long | 04/14/23 | 1,730,435,856 | 0.007387 | 12,782,072 | ||||||||||||
Yen | Goldman Sachs International | Short | 04/14/23 | (16,977,000 | ) | 0.007387 | (125,407 | ) | ||||||||||
Yen | UBS AG | Short | 04/14/23 | (577,337,000 | ) | 0.007533 | (4,348,806 | ) | ||||||||||
| Foreign Currency Forward Contracts as of March 31, 2022 | Foreign Currency Forward Contracts as of March 31, 2022 | |||||||||||||||||||||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Yen | Forward Rate | Market Value USD | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||||||||||||||
Yen | Goldman Sachs International | Long | 10/07/16 | 1,029,857,000 | 0.009863 | $ | 10,157,661 | Goldman Sachs International | Long | 04/08/22 | 321,397,517 | 0.008653 | $ | 2,781,048 | ||||||||||||||||||||||||||
Yen | UBS AG | Long | 10/07/16 | 524,705,100 | 0.009863 | 5,175,259 | UBS AG | Long | 04/08/22 | 234,765,856 | 0.008634 | 2,027,006 | ||||||||||||||||||||||||||||
Yen | Goldman Sachs International | Short | 10/07/16 | (34,119,100 | ) | 0.009863 | (336,523 | ) | Goldman Sachs International | Short | 04/08/22 | (6,529,000 | ) | 0.008177 | (53,386 | ) | ||||||||||||||||||||||||
Yen | UBS AG | Short | 10/07/16 | (11,065,500 | ) | 0.009863 | (109,141 | ) | UBS AG | Short | 04/08/22 | (37,680,000 | ) | 0.008411 | (316,941 | ) | ||||||||||||||||||||||||
The September 30, 2017March 31, 2023 and 20162022 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 Annual Report on 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.third-party custodian.
ProShares UltraShort Bloomberg Crude Oil:
As of March 31, 2023 and 2022, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.
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| Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2023 | 1,269 | $ | 75.80 | 1,000 | $ | (96,190,200 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2023 | 1,312 | 73.55 | 1,000 | (96,497,600 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2024 | 1,359 | 71.23 | 1,000 | (96,801,570 | ) | |||||||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
WTI Crude Oil (NYMEX) | Short | June 2022 | 2,737 | $ | 98.52 | 1,000 | $ | (269,649,240 | ) | |||||||||||||
WTI Crude Oil (NYMEX) | Short | December 2022 | 3,147 | 89.60 | 1,000 | (281,971,200 | ) | |||||||||||||||
WTI Crude Oil (NYMEX) | �� | Short | June 2023 | 3,339 | 84.61 | 1,000 | (282,512,790 | ) | ||||||||||||||
The March 31, 2023 and 2022 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 or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Natural Gas:
As of March 31, 2023 and 2022, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | May 2023 | 13,265 | $ | 2.22 | 10,000 | $ | (293,952,400 | ) | |||||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Natural Gas (NYMEX) | Short | May 2022 | 8,883 | $ | 5.64 | 10,000 | $ | (501,178,860 | ) | |||||||||||||
The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
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ProShares UltraShort Euro:
As of March 31, 2023 and 2022, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to exchange rate price risk.
| Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||||
Euro | Goldman Sachs International | Long | 04/14/23 | 13,747,000 | 1.0724 | $ | 14,742,763 | |||||||||||||||
Euro | UBS AG | Long | 04/14/23 | 21,381,000 | 1.0781 | 23,050,631 | ||||||||||||||||
Euro | Goldman Sachs International | Short | 04/14/23 | (71,345,263 | ) | 1.0673 | (76,146,038 | ) | ||||||||||||||
Euro | UBS AG | Short | 04/14/23 | (73,465,199 | ) | 1.0668 | (78,376,112 | ) | ||||||||||||||
| Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Euro | UBS AG | Long | 04/08/22 | 13,916,000 | 1.1059 | $ | 15,390,379 | |||||||||||||
Euro | Goldman Sachs International | Short | 04/08/22 | (46,280,263 | ) | 1.1082 | (51,288,713 | ) | ||||||||||||
Euro | UBS AG | Short | 04/08/22 | (58,998,199 | ) | 1.1072 | (65,320,957 | ) | ||||||||||||
The March 31, 2023 and 2022 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of March 31, 2023 and 2022 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Gold Futures (COMEX) | Short | June 2023 | 76 | $ | 1,986.20 | 100 | $ | (15,095,120 | ) | |||||||||||||
| Swap Agreements as of March 31, 2023 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 209.1875 | $ | (3,932,159 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 209.1875 | (5,153,543 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 209.1875 | (7,971,123 | ) | |||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
Gold Futures (COMEX) | Short | June 2022 | 134 | $ | 1,954.00 | 100 | $ | (26,183,600 | ) | |||||||||||||
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| Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Gold Subindex | Citibank, N.A. | Short | $ | 214.4125 | $ | (16,074,140 | ) | |||||
Bloomberg Gold Subindex | Goldman Sachs International | Short | 214.4125 | (10,515,819 | ) | |||||||
Bloomberg Gold Subindex | UBS AG | Short | 214.4125 | (12,574,684 | ) | |||||||
The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of March 31, 2023 and 2022 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to commodity price risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | May 2023 | 137 | $ | 24.16 | 5,000 | $ | (16,546,860 | ) | |||||||||||
| Swap Agreements as of March 31, 2023 | ||||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 211.9607 | $ | (2,858,231 | ) | |||||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 211.9607 | (10,412,145 | ) | |||||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 211.9607 | (8,232,766 | ) | |||||||||
Bloomberg Silver Subindex | UBS AG | Short | 211.9607 | (2,632,575 | ) | |||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
Silver Futures (COMEX) | Short | May 2022 | 167 | $ | 25.13 | 5,000 | $ | (20,986,055 | ) | |||||||||||
34
| Swap Agreements as of March 31, 2022 | ||||||||||||
Reference Index | Counterparty | Long or Short | Index Close | Notional Amount at Value | ||||||||
Bloomberg Silver Subindex | Citibank, N.A. | Short | $ | 227.4218 | $ | (3,066,720 | ) | |||||
Bloomberg Silver Subindex | Goldman Sachs International | Short | 227.4218 | (11,171,645 | ) | |||||||
Bloomberg Silver Subindex | Morgan Stanley & Co. International PLC | Short | 227.4218 | (8,833,290 | ) | |||||||
Bloomberg Silver Subindex | UBS AG | Short | 227.4218 | (2,824,603 | ) | |||||||
The March 31, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 and 2022 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of March 31, 2023 and 2022, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2023 and 2022, which were sensitive to exchange rate price risk.
| Foreign Currency Forward Contracts as of March 31, 2023 | ||||||||||||||||||||
Reference Currency | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | Goldman Sachs International | Long | 04/14/23 | 1,438,381,000 | 0.007577 | $ | 10,898,111 | |||||||||||||
Yen | UBS AG | Long | 04/14/23 | 1,461,674,000 | 0.007452 | 10,891,748 | ||||||||||||||
Yen | Goldman Sachs International | Short | 04/14/23 | (4,075,246,165 | ) | 0.007410 | (30,197,307 | ) | ||||||||||||
Yen | UBS AG | Short | 04/14/23 | (5,475,162,574 | ) | 0.007421 | (40,629,712 | ) | ||||||||||||
| Foreign Currency Forward Contracts as of March 31, 2022 | ||||||||||||||||||||
Reference | Counterparty | Long or Short | Settlement Date | Local Currency | Forward Rate | Market Value USD | ||||||||||||||
Yen | UBS AG | Long | 04/08/22 | 2,874,020,000 | 0.008228 | $ | 23,648,854 | |||||||||||||
Yen | Goldman Sachs International | Short | 04/08/22 | (1,973,114,165 | ) | 0.008595 | (16,958,793 | ) | ||||||||||||
Yen | UBS AG | Short | 04/08/22 | (7,652,928,574 | ) | 0.008428 | (64,498,778 | ) | ||||||||||||
The March 31, 2023 and 2022 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
35
ProShares VIX Mid-Term Futures ETF
As of March 31, 2023 and 2022, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | July 2023 | 545 | $ | 23.59 | 1,000 | $ | 12,858,785 | ||||||||||||||
VIX Futures (Cboe) | Long | August 2023 | 942 | 23.70 | 1,000 | 22,324,458 | ||||||||||||||||
VIX Futures (Cboe) | Long | September 2023 | 942 | 23.99 | 1,000 | 22,599,428 | ||||||||||||||||
VIX Futures (Cboe) | Long | October 2023 | 396 | 24.05 | 1,000 | 9,523,800 | ||||||||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | July 2022 | 593 | $ | 26.11 | 1,000 | $ | 15,480,562 | ||||||||||||
VIX Futures (Cboe) | Long | August 2022 | 1,235 | 26.25 | 1,000 | 32,424,802 | ||||||||||||||
VIX Futures (Cboe) | Long | September 2022 | 1,235 | 26.60 | 1,000 | 32,852,729 | ||||||||||||||
VIX Futures (Cboe) | Long | October 2022 | 642 | 26.86 | 1,000 | 17,245,083 | ||||||||||||||
The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares VIX Short-Term Futures ETF
As of March 31, 2023 and 2022, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2023 and 2022, which were sensitive to equity market volatility risk.
| Futures Positions as of March 31, 2023 | ||||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||||
VIX Futures (Cboe) | Long | April 2023 | 6,151 | $ | 20.76 | 1,000 | $ | 127,720,594 | ||||||||||||||
VIX Futures (Cboe) | Long | May 2023 | 4,474 | 22.13 | 1,000 | 99,002,909 | ||||||||||||||||
| Futures Positions as of March 31, 2022 | ||||||||||||||||||||
Contract | Long or Short | Expiration | Contracts | Valuation Price | Contract Multiplier | Notional Amount at Value | ||||||||||||||
VIX Futures (Cboe) | Long | April 2022 | 8,017 | $ | 23.47 | 1,000 | $ | 188,150,973 | ||||||||||||
VIX Futures (Cboe) | Long | May 2022 | 8,681 | 24.99 | 1,000 | 216,918,224 | ||||||||||||||
36
The March 31, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
Qualitative Disclosure
As described above in Item 27 in this Quarterlythe Annual Report on Form10-Q,10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one-halfthe inverse(-1x)(-0.5x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to two times the inverse(-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, (beforebefore fees and expenses)expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, (beforebefore fees and expenses), both over a single day and over time,expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half,two or negative two. Each Matching VIX Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark.three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated investment objectives both over a single day and over time.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and directlong exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and itssub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrencesstrategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described above in Item 27 in this Quarterlythe Annual Report on Form10-Q,10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a(1.1*0.9)-1 =-1% period benchmark return, thetwo-day period return for a theoreticaltwo-times fund would be equal to a (1.2*0.8)-1 =-4% period Fund return (rather than simply two times the period return of the benchmark).
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Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a(1.1*0.9)-1 =-1% period benchmark return, thetwo-day period return for a theoreticaltwo-times fund would be equal to a (1.2*0.8)-1 =-4% period Fund return (rather than simply two times the period return of the benchmark).
Equity Market Volatility Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective(-1x,-0.5x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times)times in “Note 2 - Significant Accounting Policies - Final Net Asset Value for Fiscal Period”), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 27 of this Quarterlythe Annual Report on Form10-Q,10-K, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfoliore-positioning are create/redeemcreation/redemption activity and index rebalances.
For Geared Funds, the impact of the index’s movements during theeach day also affects whether the Fund’s portfolio needs to bere-positioned. rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds orand UltraShort Funds will generally decrease when the Index rises on a given day.day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in aboth non-interest bearing and interest bearing demand deposit account.accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).
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Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in RuleRules 13a-15(e) and15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of DecemberMarch 31, 2016,2023, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the duly authorized officersprincipal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2017March 31, 2023 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
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Part IIII. OTHER INFORMATION
NoneAs of March 31, 2023, the Trust is not a party to any material legal proceedings.
There hasRegulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not beentrade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a material changesignificant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the Risk Factors previously disclosedperformance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the Trust’s Annual Report on Form10-Kmarkets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the year ended December 31, 2016, filedfirst time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on March 1, 2017.the performance of the Short Crude Oil Fund.
On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
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Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund.
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. To attempt to curb the spread of COVID-19, federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance r make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
The outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to COVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19, the extent of any such outbreak’s disruption to important global, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.
Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
a) None.
b) The Trust initially registered Shares on its Registration Statement on FormS-1 (FileNo. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on FormS-1 (FileNo. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and reallocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on FormS-3 (FileNo. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on FormS-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on FormS-1 (FileNo. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on FormS-3 (FileNo. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on FormS-1 (FileNo. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on FormS-1 (FileNo. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (FileNo. 333-183672) was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-176878). On September 27, 2012, a Registration Statement on FormS-3 (FileNo. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on FormS-1 (FileNo. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on FormS-1 (FileNo. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s FormS-1 Registration Statements (File Nos.333-183672 and333-178707). Also, on January 30, 2013, a Registration Statement on FormS-3 (FileNo. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s FormS-1 Registration Statement (FileNo. 333-193672) and FormS-3 Registration Statement (FileNo. 333-183674). On April 24, 2013, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on FormS-3 (FileNo. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short- Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined
prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-185289). On May 21, 2013, a Registration Statement on FormS-1 (File333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIXMid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 (FileNo. 333-185288). On July 30, 2013, a Registration Statement on FormS-3 (FileNo. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-187820). On May 6, 2014, a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-188215) was declared effective, updating the FormS-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional Shares. On July 30, 2014, a Registration Statement on FormS-1 (FileNo. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIXMid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a posteffective amendment to two FormS-1 registration statements (File Nos.333-188215 and333-185288). On July 30, 2014, a Registration Statement on FormS-3 (FileNo. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the FormS-1 to the FormS-3. On September 29, 2014, a Registration Statement on FormS-1 (FileNo. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the FormS-1 Registration Statement (FileNo. 333-196884). On November 25, 2014, a Registration Statement on FormS-1 (FileNo. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 registration statement (FileNo. 333-198189) and the FormS-3 registration statement(333-196885). On November 25, 2014, a Registration Statement on FormS-3 (FileNo. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the FormS-3 to the FormS-1. On March 31, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective, which registered additional Shares for ProShares VIXMid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the FormS-1 registration statement (FileNo. 333-199642). On March 31, 2015, a Registration Statement on FormS-3 (FileNo. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the FormS-3 (FileNo. 333-199641). On August 11, 2015, a Registration Statement on FormS-1 (FileNo. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the FormS-1; no additional Shares were registered with that filing. That registration statement was a combined prospectus and acted as apre-effective amendment to post-effective amendment No. 1 of the FormS-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on FormS-3 (FileNo. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on FormS-3 (FileNo. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra
Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. On March 1, 2017, a Registration Statement on FormS-3 (FileNo. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on FormS-3 (FileNo. 333-213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on FormS-1 (FileNo. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on FormS-3 (FileNo. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the FormS-3 to a FormS-1. On March 22, 2017, a Registration Statement on FormS-1 (FileNo. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On June 30, 2017, the Trust had four effective registration statements outstanding: (1) a FormS-1 Registration Statement (No.333-215929); (2) a FormS-1 Registration Statement (No.333-214904); (3) a FormS-1 Registration Statement (No.333-202724); and (4) a FormS-3 Registration Statement (No.333-215930).
Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.
Title of Securities Registered ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares VIXMid-Term Futures ETF Common Units of Beneficial Interest ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest ProShares UltraShort Gold Common Units of Beneficial Interest ProShares UltraShort Silver Common Units of Beneficial Interest ProShares Short Euro Common Units of Beneficial Interest ProShares UltraShort Australian Dollar Common Units of Beneficial Interest ProShares UltraShort Euro Common Units of Beneficial Interest ProShares UltraShort Yen Common Units of Beneficial Interest ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest ProShares Ultra Gold Common Units of Beneficial Interest ProShares Ultra Silver Common Units of Beneficial Interest ProShares Ultra Euro Common Units of Beneficial Interest ProShares Ultra Yen Common Units of Beneficial Interest Total: Amount
Registered As of
September 30, 2017 Shares Sold For the
Three Months Ended
September 30, 2017 Sale Price of Shares
Sold For the
Three Months Ended
September 30, 2017 1,878,742,424 3,106,250 $ 119,114,643 555,231,376 675,000 18,111,394 9,178,056,779 17,750,000 1,373,345,679 10,862,875,118 33,400,000 988,812,355 2,167,514,328 5,400,000 201,007,302 1,020,000,000 700,000 14,228,859 344,275,705 150,000 4,692,571 312,159,711 50,000 3,415,569 1,950,297,178 200,000 5,866,605 153,418,934 — — 172,771,084 — — 1,916,296,347 1,350,000 29,240,662 951,478,689 150,000 11,021,193 5,508,543,310 4,400,000 65,521,323 1,020,000,000 250,000 4,957,138 427,459,640 2,600,000 22,195,648 328,071,127 50,000 1,958,848 1,388,553,846 300,000 9,317,745 119,594,796 450,000 7,734,814 138,726,333 — $ — $ 40,394,066,725
(b) From July 1, 2017 through September 30, 2017, the number of Shares redeemed and average price per Share for each Fund were as follows:
Fund | Total Number of Shares Redeemed | Average Price Per Share | ||||||
ProShares VIX Short-Term Futures ETF* | ||||||||
07/01/17 to 07/31/17 | 151,046 | $ | 39.08 | |||||
08/01/17 to 08/31/17 | 775,000 | $ | 45.45 | |||||
09/01/17 to 09/30/17 | 100,000 | $ | 39.51 | |||||
ProShares VIXMid-Term Futures ETF | ||||||||
07/01/17 to 07/31/17 | — | $ | — | |||||
08/01/17 to 08/31/17 | — | $ | — | |||||
09/01/17 to 09/30/17 | — | $ | — | |||||
ProShares Short VIX Short-Term Futures ETF* | ||||||||
07/01/17 to 07/31/17 | 6,350,000 | $ | 86.46 | |||||
08/01/17 to 08/31/17 | 2,200,000 | $ | 75.67 | |||||
09/01/17 to 09/30/17 | 8,000,000 | $ | 87.22 | |||||
ProShares Ultra VIX Short-Term Futures ETF* | ||||||||
07/01/17 to 07/31/17 | 2,354,714 | $ | 31.97 | |||||
08/01/17 to 08/31/17 | 10,150,000 | $ | 39.90 | |||||
09/01/17 to 09/30/17 | 4,600,000 | $ | 28.01 | |||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||
07/01/17 to 07/31/17 | 100,000 | $ | 42.69 | |||||
08/01/17 to 08/31/17 | 900,000 | $ | 40.50 | |||||
09/01/17 to 09/30/17 | 100,000 | $ | 33.59 | |||||
ProShares UltraPro 3X Short Crude Oil ETF | ||||||||
07/01/17 to 07/31/17 | — | $ | — | |||||
08/01/17 to 08/31/17 | — | $ | — | |||||
09/01/17 to 09/30/17 | — | $ | — | |||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||
07/01/17 to 07/31/17 | 50,000 | $ | 33.97 | |||||
08/01/17 to 08/31/17 | — | $ | — | |||||
09/01/17 to 09/30/17 | 150,000 | $ | 33.19 | |||||
ProShares UltraShort Gold | ||||||||
07/01/17 to 07/31/17 | — | $ | — | |||||
08/01/17 to 08/31/17 | — | $ | — | |||||
09/01/17 to 09/30/17 | 50,000 | $ | 71.27 | |||||
ProShares UltraShort Silver | ||||||||
07/01/17 to 07/31/17 | 100,000 | $ | 36.69 | |||||
08/01/17 to 08/31/17 | 50,000 | $ | 31.53 | |||||
09/01/17 to 09/30/17 | — | $ | — | |||||
ProShares Short Euro | ||||||||
07/01/17 to 07/31/17 | — | $ | — | |||||
08/01/17 to 08/31/17 | 50,000 | $ | 40.60 | |||||
09/01/17 to 09/30/17 | — | $ | — | |||||
ProShares UltraShort Australian Dollar | ||||||||
07/01/17 to 07/31/17 | — | $ | — | |||||
08/01/17 to 08/31/17 | 50,000 | $ | 44.61 | |||||
09/01/17 to 09/30/17 | — | $ | — | |||||
ProShares UltraShort Euro | ||||||||
07/01/17 to 07/31/17 | 500,000 | $ | 22.66 | |||||
08/01/17 to 08/31/17 | 350,000 | $ | 21.53 | |||||
09/01/17 to 09/30/17 | 300,000 | $ | 21.31 | |||||
ProShares UltraShort Yen | ||||||||
07/01/17 to 07/31/17 | — | $ | — | |||||
08/01/17 to 08/31/17 | 400,000 | $ | 70.07 | |||||
09/01/17 to 09/30/17 | 50,000 | $ | 74.26 | |||||
ProShares Ultra Bloomberg Crude Oil | ||||||||
07/01/17 to 07/31/17 | 18,300,000 | $ | 15.77 | |||||
08/01/17 to 08/31/17 | 4,250,000 | $ | 16.42 | |||||
09/01/17 to 09/30/17 | 11,850,000 | $ | 17.05 | |||||
| a) | None. |
| b) | Not applicable. |
| c) | The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended March 31, 2023: |
Title of Securities Registered* |
| Total Number of Shares Redeemed | Average Price Per Share | |||||||||
ProShares Short VIX Short-Term Futures ETF | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
| 01/01/23 to 01/31/23 | 2,200,000 | $ | 62.86 | |||||||||
| 02/01/23 to 02/28/23 | 1,050,000 | $ | 64.50 | |||||||||
| 03/01/23 to 03/31/23 | 350,000 | $ | 63.64 | |||||||||
ProShares Ultra Bloomberg Crude Oil | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
| 01/01/23 to 01/31/23 | 3,100,000 | $ | 29.90 | |||||||||
| 02/01/23 to 02/28/23 | 3,700,000 | $ | 28.81 | |||||||||
| 03/01/23 to 03/31/23 | 10,100,000 | $ | 25.61 | |||||||||
ProShares Ultra Bloomberg Natural Gas | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
| 01/01/23 to 01/31/23 | 7,350,000 | $ | 10.61 | |||||||||
| 02/01/23 to 02/28/23 | 57,800,000 | $ | 6.16 | |||||||||
| 03/01/23 to 03/31/23 | 37,500,000 | $ | 6.27 | |||||||||
ProShares Ultra Euro | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
| 01/01/23 to 01/31/23 | — | $ | — | |||||||||
| 02/01/23 to 02/28/23 | 300,000 | $ | 11.52 | |||||||||
| 03/01/23 to 03/31/23 | 100,000 | $ | 11.62 | |||||||||
ProShares Ultra Gold | ||||||||||||
Common Units of Beneficial Interest | ||||||||||||
| 01/01/23 to 01/31/23 | 50,000 | $ | 61.88 | |||||||||
| 02/01/23 to 02/28/23 | 150,000 | $ | 55.99 | |||||||||
| 03/01/23 to 03/31/23 | 150,000 | $ | 56.97 | |||||||||
Fund ProShares UltraPro 3X Crude Oil ETF 07/01/17 to 07/31/17 08/01/17 to 08/31/17 09/01/17 to 09/30/17 ProShares Ultra Bloomberg Natural Gas 07/01/17 to 07/31/17 08/01/17 to 08/31/17 09/01/17 to 09/30/17 ProShares Ultra Gold 07/01/17 to 07/31/17 08/01/17 to 08/31/17 09/01/17 to 09/30/17 ProShares Ultra Silver 07/01/17 to 07/31/17 08/01/17 to 08/31/17 09/01/17 to 09/30/17 ProShares Ultra Euro 07/01/17 to 07/31/17 08/01/17 to 08/31/17 09/01/17 to 09/30/17 ProShares Ultra Yen 07/01/17 to 07/31/17 08/01/17 to 08/31/17 09/01/17 to 09/30/17 Total Number of
Shares Redeemed Average Price
Per Share 150,000 $ 22.74 150,000 $ 22.66 700,000 $ 23.82 350,000 $ 9.72 350,000 $ 9.23 550,000 $ 9.55 — $ — 50,000 $ 40.64 100,000 $ 39.80 — $ — 250,000 $ 35.67 250,000 $ 38.49 150,000 $ 16.49 100,000 $ 17.17 200,000 $ 17.53 — $ — — $ — — $ —
Title of Securities Registered* |
| Total Number of Shares Redeemed | Average Price Per Share | |||||||
ProShares Ultra Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 500,000 | $ | 31.11 | |||||||
| 02/01/23 to 02/28/23 | 100,000 | $ | 26.65 | |||||||
| 03/01/23 to 03/31/23 | 550,000 | $ | 26.07 | |||||||
ProShares Ultra VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 850,000 | $ | 5.73 | |||||||
| 02/01/23 to 02/28/23 | 10,600,000 | $ | 5.27 | |||||||
| 03/01/23 to 03/31/23 | 49,450,000 | $ | 6.07 | |||||||
ProShares Ultra Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 50,000 | $ | 34.84 | |||||||
| 02/01/23 to 02/28/23 | 50,000 | $ | 32.27 | |||||||
| 03/01/23 to 03/31/23 | 50,000 | $ | 33.07 | |||||||
ProShares UltraShort Bloomberg Crude Oil | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 1,450,000 | $ | 26.37 | |||||||
| 02/01/23 to 02/28/23 | 2,850,000 | $ | 25.33 | |||||||
| 03/01/23 to 03/31/23 | 4,550,000 | $ | 28.86 | |||||||
ProShares UltraShort Bloomberg Natural Gas | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 5,200,000 | $ | 40.04 | |||||||
| 02/01/23 to 02/28/23 | 2,050,000 | $ | 63.09 | |||||||
| 03/01/23 to 03/31/23 | 2,900,000 | $ | 58.90 | |||||||
ProShares UltraShort Euro | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 50,000 | $ | 30.02 | |||||||
| 02/01/23 to 02/28/23 | 350,000 | $ | 29.68 | |||||||
| 03/01/23 to 03/31/23 | 200,000 | $ | 29.48 | |||||||
ProShares UltraShort Gold | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | — | $ | — | |||||||
| 02/01/23 to 02/28/23 | 150,000 | $ | 30.85 | |||||||
| 03/01/23 to 03/31/23 | 50,000 | $ | 30.89 | |||||||
ProShares UltraShort Silver | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 300,000 | $ | 19.36 | |||||||
| 02/01/23 to 02/28/23 | 750,000 | $ | 23.64 | |||||||
| 03/01/23 to 03/31/23 | 150,000 | $ | 24.06 | |||||||
ProShares UltraShort Yen | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 50,000 | $ | 54.92 | |||||||
| 02/01/23 to 02/28/23 | — | $ | — | |||||||
| 03/01/23 to 03/31/23 | 100,000 | $ | 56.81 | |||||||
ProShares VIX Mid-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 175,000 | $ | 27.45 | |||||||
| 02/01/23 to 02/28/23 | 275,000 | $ | 25.96 | |||||||
| 03/01/23 to 03/31/23 | 75,000 | $ | 26.18 | |||||||
ProShares VIX Short-Term Futures ETF | ||||||||||
Common Units of Beneficial Interest | ||||||||||
| 01/01/23 to 01/31/23 | 1,650,000 | $ | 10.68 | |||||||
| 02/01/23 to 02/28/23 | 2,200,000 | $ | 9.71 | |||||||
| 03/01/23 to 03/31/23 | 5,925,000 | $ | 11.04 | |||||||
| * | The registration statement covers an indeterminate amount of |
43
Item 6. Exhibits.
| (1) | Filed herewith. |
| * | 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. |
45
SIGNATURES
Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PROSHARES TRUST II |
/s/ Todd Johnson |
| By: Todd Johnson |
| Principal Executive Officer |
| Date: May 8, 2023 |
/s/ Edward Karpowicz |
| By: Edward Karpowicz |
| Principal Financial and Accounting Officer |
| Date: |
23746