| Investments | NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective. All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. Swap Agreements Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party over-the-counter Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund, an Ultra Fund, or an UltraPro Fund, the Matching VIX Fund, Ultra Fund, or UltraPro Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund, an UltraShort Fund, or an UltraPro Short Fund, the Short Fund, UltraShort Fund, or UltraPro Short Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at June 30, 2019 The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party non-payment The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2019, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market Forward Contracts Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements. The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party non-payment The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2019, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market The following tables indicate the location of derivative related items on the Statement of Financial Condition as well as the effect of derivative instruments on the Statement of Operations during the reporting period.
Fair Value of Derivative Instruments as of June 30, 2019
Asset Derivatives Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Unrealized Statements of Unrealized
VIX Futures Contracts Receivables on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term ETF $ 12,638,962 * $ —
ProShares Ultra VIX Short-Term ETF — 47,480,100 *
ProShares VIX Mid-Term Futures ETF 24,233 * 697,915 *
ProShares VIX Short-Term Futures ETF — 15,734,742 *
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 70,684,120 * —
ProShares Ultra Bloomberg Natural — 649,373 *
ProShares Ultra Gold 9,196,861 * —
ProShares Ultra Silver 8,228,969 * —
ProShares UltraPro 3x Crude Oil ETF 27,473,374 * —
ProShares UltraPro 3x Short Crude Oil ETF — 3,553,108 *
ProShares UltraShort Bloomberg Crude Oil — 11,549,945 *
ProShares UltraShort Bloomberg Natural — 24,924 *
ProShares UltraShort Gold — 1,503,532 *
ProShares UltraShort Silver $ — $ 770,864 *
Foreign Exchange Contracts Unrealized Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
ProShares Short Euro — 79,002 *
ProShares Ultra Euro 42,971 1,948
ProShares Ultra Yen 48,415 —
ProShares UltraShort Australian Dollar — 140,176 *
ProShares UltraShort Euro 37,719 977,928
ProShares UltraShort Yen — 416,803
Total Trust $ 128,375,624 * $ 83,580,360 *
* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
Fair Value of Derivative Instruments as of December 31, 2018
Asset Derivatives Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Unrealized Statements of Financial Condition Unrealized
VIX Futures Contracts Receivables on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF $ 910,460 * $ 15,386,661 *
ProShares Ultra VIX Short-Term Futures ETF 33,798,582 * 2,625,566 *
ProShares VIX Mid-Term 3,888,156 * 130,050 *
ProShares VIX Short-Term Futures ETF 18,392,959 * 1,014,514 *
Commodities Contracts Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements
ProShares Ultra Bloomberg Crude Oil — 86,807,426 *
ProShares Ultra — 10,323,163 *
ProShares Ultra Gold 4,325,971 * —
ProShares Ultra Silver 26,642,453 * —
ProShares UltraPro 3x Crude Oil ETF — 23,451,361 *
ProShares UltraPro 3x Short Crude Oil ETF 7,019,475 * —
ProShares UltraShort Bloomberg Crude Oil 23,918,881 * —
ProShares UltraShort Bloomberg Natural Gas $ 10,837,989 * $ —
ProShares UltraShort Gold — 1,022,566 *
ProShares UltraShort Silver — 1,837,928 *
Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
ProShares Short Euro — 43,281 *
ProShares Ultra Euro 61,971 4,033
ProShares Ultra Yen 179,187 2,076
ProShares UltraShort Australian Dollar 511,825 * —
ProShares UltraShort Euro 104,074 1,599,878
ProShares UltraShort Yen 678,152 3,801,896
Total Trust $ 131,270,135 * $ 148,050,399 *
* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2019
Derivatives Not Accounted Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation/ Depreciation on 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 $ 11,427,596 $ 4,538,343
ProShares Ultra VIX Short-Term Futures ETF (54,975,818 ) (39,603,173 )
ProShares VIX Mid-Term (2,853,271 ) 1,993,991
ProShares VIX Short-Term Futures ETF (11,288,249 ) (11,833,396 )
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 $ (25,911,476 ) $ 14,087,183
ProShares Ultra Bloomberg Natural Gas (7,976,053 ) (671,150 )
ProShares Ultra Gold 3,487,955 8,682,329
ProShares Ultra Silver (8,015,753 ) 8,474,186
ProShares UltraPro 3x Crude Oil ETF 3,901,537 (13,232,019 )
ProShares UltraPro 3x Short Crude Oil ETF 1,186,904 (1,076,230 )
ProShares UltraShort Bloomberg Crude Oil 10,123,122 (2,551,794 )
ProShares UltraShort Bloomberg Natural Gas 3,449,841 (546,368 )
ProShares UltraShort Gold (1,901,072 ) (1,358,879 )
ProShares UltraShort Silver 469,453 (1,068,581 )
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 $ 76,518 $ (239,858 )
ProShares Ultra Euro (132,599 ) 208,561
ProShares Ultra Yen 171,283 (16,099 )
ProShares UltraShort Australian Dollar 250,116 (74,786 )
ProShares UltraShort Euro 1,947,377 (3,873,835 )
ProShares UltraShort Yen (2,600,562 ) 273,224
Total Trust $ (79,163,151 ) $ (37,888,351 ) The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2019
Derivatives Not Accounted Hedging Instruments Location of Gain Derivatives Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF $ 70,532,950 $ 27,115,163
ProShares Ultra VIX Short-Term Futures ETF (250,199,159 ) (78,653,116 )
ProShares VIX Mid-Term (7,055,291 ) (4,431,788 )
ProShares VIX Short-Term Futures ETF $ (66,194,833 ) $ (33,113,187 )
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 50,611,681 157,491,546
ProShares Ultra Bloomberg Natural Gas (21,277,891 ) 9,673,790
ProShares Ultra Gold 7,580,540 4,870,890
ProShares Ultra Silver 5,286,038 (18,413,484 )
ProShares UltraPro 3x Crude Oil ETF 26,174,406 50,924,735
ProShares UltraPro 3x Short Crude Oil ETF (1,081,892 ) (10,572,583 )
ProShares UltraShort Bloomberg Crude Oil 967,963 (35,468,826 )
ProShares UltraShort Bloomberg Natural Gas 14,769,166 (10,862,913 )
ProShares UltraShort Gold (3,069,976 ) (480,966 )
ProShares UltraShort Silver (920,689 ) 1,067,064
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 223,624 (35,721 )
ProShares Ultra Euro (359,872 ) (16,915 )
ProShares Ultra Yen 93,976 (128,696 )
ProShares UltraShort Australian Dollar 512,861 (652,001 )
ProShares UltraShort Euro 5,276,619 555,595
ProShares UltraShort Yen (2,943,970 ) 2,706,941
Total Trust $ (171,073,749 ) $ 61,575,528 The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2018
Derivatives Not Accounted Hedging Instruments Location of Gain Derivatives Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation/ Depreciation on 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 $ 56,008,377 $ 14,232,558
ProShares Ultra VIX Short-Term Futures ETF (155,817,104 ) 7,071,541
ProShares VIX Mid-Term 247,018 (3,080,525 )
ProShares VIX Short-Term Futures ETF (23,529,528 ) 177,711
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 39,220,725 64,077,371
ProShares Ultra Bloomberg Natural Gas 3,945,962 (2,369,992 )
ProShares Ultra Gold (5,706,990 ) (5,799,159 )
ProShares Ultra Silver (5,627,237 ) (4,043,563 )
ProShares UltraPro 3x Crude Oil ETF 1,740,951 6,901,529
ProShares UltraPro 3x Short Crude Oil ETF (6,793,148 ) (1,707,316 )
ProShares UltraShort Bloomberg Crude Oil (27,663,521 ) (21,642,290 )
ProShares UltraShort Bloomberg Natural Gas (759,484 ) 171,317
ProShares UltraShort Gold 1,572,920 1,879,470
ProShares UltraShort Silver 334,485 475,292
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 443,811 16,282
ProShares Ultra Euro (1,110,032 ) 46,013
ProShares Ultra Yen (299,704 ) 22,366
ProShares UltraShort Australian Dollar 415,369 93,610
ProShares UltraShort Euro 22,934,693 (342,410 )
ProShares UltraShort Yen 8,333,424 (417,848 )
Total Trust $ (92,109,013 ) $ 55,761,957 The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2018
Derivatives Not Accounted Location of Gain (Loss) on Derivatives Fund Realized Gain Change in
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF $ (1,827,517,354 ) $ (39,569,847 )
ProShares Ultra VIX Short-Term Futures ETF 260,792,676 74,528,029
ProShares VIX Mid-Term 3,967,454 1,837,040
ProShares VIX Short-Term Futures ETF 53,747,452 14,188,337
Commodities Contracts Net realized gain (loss) on futures contracts, swap and/or forward agreements/ changes in unrealized appreciation/ depreciation on futures contracts, swap and/ or forward agreements
ProShares Ultra Bloomberg Crude Oil 151,738,616 25,533,633
ProShares Ultra Bloomberg Natural Gas 5,080,774 (7,344,433 )
ProShares Ultra Gold 2,948,285 (10,819,851 )
ProShares Ultra Silver 7,174,506 (35,893,615 )
ProShares UltraPro 3x Crude Oil ETF 3,361,776 8,487,486
ProShares UltraPro 3x Short Crude Oil ETF (11,469,115 ) (2,454,299 )
ProShares UltraShort Bloomberg Crude Oil (75,759,671 ) (6,360,359 )
ProShares UltraShort Bloomberg Natural Gas (12,513 ) 1,103,321
ProShares UltraShort Gold (1,696,955 ) 3,785,409
ProShares UltraShort Silver (1,262,356 ) 3,178,568
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 64,225 253,501
ProShares Ultra Euro (309,519 ) (436,206 )
ProShares Ultra Yen 22,846 10,565
ProShares UltraShort Australian Dollar (704,621 ) 1,284,990
ProShares UltraShort Euro $ 4,011,451 $ 9,744,219
ProShares UltraShort Yen (2,918,979 ) (833,945 )
Total Trust $ (1,428,741,022 ) $ 40,222,543 Offsetting Assets and Liabilities Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2019.
Fair Values of Derivative Instruments as of June 30, 2019
Assets Liabilities
Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements $ 63,955,500 $ — $ 63,955,500 $ — $ — $ —
ProShares Ultra Euro
Foreign currency forward contracts 42,971 — 42,971 1,948 — 1,948
ProShares Ultra Gold
Swap agreements 6,364,233 — 6,364,233 — — —
ProShares Ultra Silver
Swap agreements 7,150,743 — 7,150,743 — — —
ProShares Ultra VIX Short-Term Futures ETF
Swap agreements — — — 2,214,313 — 2,214,313
ProShares Ultra Yen
Foreign currency forward contracts 48,415 — 48,415 — — —
ProShares UltraShort Bloomberg Crude Oil
Swap agreements — — — 9,999,452 — 9,999,452
ProShares UltraShort Euro
Foreign currency forward contracts 37,719 — 37,719 977,928 — 977,928
ProShares UltraShort Gold
Swap agreements — — — 1,183,904 — 1,183,904
ProShares UltraShort Silver
Swap agreements — — — 706,553 — 706,553
ProShares UltraShort Yen
Foreign currency forward contracts — — — 416,803 — 416,803 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2019. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2019
Fund Amounts of Recognized Financial Instruments for the Benefit of (the Funds) / the Cash Collateral Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A. $ 20,411,089 $ — $ (20,411,089 ) $ —
Goldman Sachs International 12,242,346 (12,242,346 ) — —
Royal Bank of Canada 12,425,400 — (12,425,400 ) —
Societe Generale 5,785,856 (4,515,856 ) (1,270,000 ) —
UBS AG 13,090,809 (13,090,809 ) — —
ProShares Ultra Euro
Goldman Sachs International 21,170 — — 21,170
UBS AG 19,853 — — 19,853
ProShares Ultra Gold
Citibank, N.A. 2,159,447 — (1,568,000 ) 591,447
Goldman Sachs International 1,984,333 (1,984,333 ) — —
UBS AG 2,220,453 (2,197,167 ) — 23,286
ProShares Ultra Silver
Citibank, N.A. 2,519,423 — (2,190,000 ) 329,423
Goldman Sachs International 2,228,652 (2,018,453 ) — 210,199
UBS AG 2,402,668 (2,120,448 ) — 282,220
ProShares Ultra VIX Short-Term Futures
Goldman Sachs International (2,214,313 ) — 2,214,313 —
ProShares Ultra Yen
Goldman Sachs International 12,231 — — 12,231
UBS AG 36,184 — — 36,184
ProShares UltraShort Bloomberg Crude Oil
Citibank, N.A. (3,234,411 ) 3,234,411 — —
Goldman Sachs International (1,908,195 ) 1,908,195 — —
Royal Bank of Canada (2,005,334 ) 2,005,334 — —
Societe Generale (831,294 ) 831,294 — —
UBS AG (2,020,218 ) 2,020,218 — —
ProShares UltraShort Euro
Goldman Sachs International (390,174 ) 390,174 — —
UBS AG (550,035 ) 550,035 — —
ProShares UltraShort Gold
Citibank, N.A. (472,961 ) 472,961 — —
Goldman Sachs International (374,705 ) 374,705 — —
UBS AG |
